KDJエクストリーム反転トレンド追跡戦略：Jインジケーターに基づく多次元定量取引システム

//@version=6
strategy("J值极值趋势跟随策略", overlay = true, 
         default_qty_type = strategy.percent_of_equity, default_qty_value = 10,  // 降低每笔交易的仓位大小
         initial_capital = 10000, 
         margin_long = 20, margin_short = 20)  // 设置合理的保证金要求

// === 策略说明：J值极值趋势跟随策略 ===
// 主图：显示J值连续下降后反弹的买点和连续上升后回调的卖点
// 副图：显示J线走势、中轴线、极值区域
// 方向过滤：676均线，价格在上方只做多，下方只做空
// 止盈止损：基于百分比波动，默认1%止盈1%止损

// === 输入参数 ===
lengthK = input.int(60, title = "K period")
lengthD = input.int(3, title = "D period")
smoothK = input.int(3, title = "Smooth K")
emaLength = input.int(576, title = "趋势EMA周期", inline="ema")
extremeHigh = input.float(100, title = "J值极值上限", minval = 80, maxval = 120)
extremeLow = input.float(0, title = "J值极值下限", minval = -20, maxval = 20)

// === 止盈止损参数（改为百分比） ===
takeProfitPercent = input.float(3, title = "止盈百分比", minval = 0.1, step = 0.1)
stopLossPercent = input.float(2.2, title = "止损百分比", minval = 0.1, step = 0.1)

// === 风险控制参数 ===
useFixedPositionSize = input.bool(true, title = "使用固定合约数量")
fixedPositionSize = input.float(1.0, title = "固定合约数量", minval = 0.1, step = 0.1)
riskPerTrade = input.float(1.0, title = "每笔交易风险百分比", minval = 0.1, maxval = 10, step = 0.1)

// === KDJ计算（使用与bitcoinwisdom一致的算法） ===
// 自定义加权移动平均函数（与bitcoinwisdom一致）
bcwsma(s, l, m) => 
    var _bcwsma = 0.0
    _bcwsma := (m*s + (l-m)*nz(_bcwsma[1])) / l
    _bcwsma

highestHigh = ta.highest(high, lengthK)
lowestLow = ta.lowest(low, lengthK)
rsv = (close - lowestLow) / (highestHigh - lowestLow) * 100
K = bcwsma(rsv, smoothK, 1)
D = bcwsma(K, lengthD, 1)
J = 3 * K - 2 * D

// === 676均线方向判断 ===
ema676 = ta.ema(close, emaLength)
trendUp = close > ema676    // 价格在676均线上方
trendDown = close < ema676  // 价格在676均线下方

// === 检测J值连续下降和上升 ===
// 检测连续3根下降：J < J[1] < J[2] < J[3]
jContinuousDown = J < J[1] and J[1] < J[2] and J[2] < J[3]

// 检测连续3根上升：J > J[1] > J[2] > J[3]
jContinuousUp = J > J[1] and J[1] > J[2] and J[2] > J[3]

// === 检测反弹和回调（必须在极值区域内） ===
// 反弹：当前J值上升，且之前连续下降，且J值在极值下限以下
jBounce = J > J[1] and jContinuousDown[1] and J[1] <= extremeLow

// 回调：当前J值下降，且之前连续上升，且J值在极值上限以上
jPullback = J < J[1] and jContinuousUp[1] and J[1] >= extremeHigh

// === 开仓信号（带方向过滤） ===
// 买点：J值连续下降后反弹 + 价格在676均线上方
longEntry = jBounce and trendUp

// 卖点：J值连续上升后回调 + 价格在676均线下方
shortEntry = jPullback and trendDown

// === 记录开仓价格和止盈止损价格 ===
var float entryPrice = na
var float tpPrice = na
var float slPrice = na

// === 计算仓位大小 ===
// 基于风险百分比的仓位计算需要考虑止损百分比
positionSize = useFixedPositionSize ? fixedPositionSize : (strategy.equity * (riskPerTrade / 100)) / (close * stopLossPercent / 100)

// === 止盈止损信号变量 ===
var bool longTakeProfitHit = false
var bool longStopLossHit = false
var bool shortTakeProfitHit = false
var bool shortStopLossHit = false

// === 警报信号指示器 ===
// 多单入场信号将触发
longSignalComing = J <= extremeLow and jContinuousDown and trendUp
// 空单入场信号将触发
shortSignalComing = J >= extremeHigh and jContinuousUp and trendDown
// J值接近极值区域
jNearExtremeLow = J <= extremeLow + 5 and J > extremeLow
jNearExtremeHigh = J >= extremeHigh - 5 and J < extremeHigh

// === 策略执行 ===
if (longEntry and strategy.position_size == 0)
    entryPrice := close
    // 计算基于百分比的止盈止损价格
    tpPrice := entryPrice * (1 + takeProfitPercent / 100)
    slPrice := entryPrice * (1 - stopLossPercent / 100)
    strategy.entry("多单", strategy.long, qty=positionSize)
    // 重置止盈止损信号
    longTakeProfitHit := false
    longStopLossHit := false

if (shortEntry and strategy.position_size == 0)
    entryPrice := close
    // 计算基于百分比的止盈止损价格
    tpPrice := entryPrice * (1 - takeProfitPercent / 100)
    slPrice := entryPrice * (1 + stopLossPercent / 100)
    strategy.entry("空单", strategy.short, qty=positionSize)
    // 重置止盈止损信号
    shortTakeProfitHit := false
    shortStopLossHit := false

// === 手动检查止盈止损条件 ===
// 多单止盈止损
longTPHit = strategy.position_size > 0 and high >= tpPrice and not longTakeProfitHit
longSLHit = strategy.position_size > 0 and low <= slPrice and not longStopLossHit

if (longTPHit)
    strategy.close("多单", comment="止盈")
    longTakeProfitHit := true
    
if (longSLHit)
    strategy.close("多单", comment="止损")
    longStopLossHit := true

// 空单止盈止损
shortTPHit = strategy.position_size < 0 and low <= tpPrice and not shortTakeProfitHit
shortSLHit = strategy.position_size < 0 and high >= slPrice and not shortStopLossHit

if (shortTPHit)
    strategy.close("空单", comment="止盈")
    shortTakeProfitHit := true
    
if (shortSLHit)
    strategy.close("空单", comment="止损")
    shortStopLossHit := true

// === 在主图绘制676均线 ===
plot(ema676, title="676 EMA", color=color.blue, linewidth=2)

// === 在主图标注开仓信号 ===
plotshape(longEntry, title="多单入场", location=location.belowbar, color=color.lime, style=shape.triangleup, size=size.small, text="多单", force_overlay=true)
plotshape(shortEntry, title="空单入场", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small, text="空单", force_overlay=true)

// === 添加止盈止损信号 ===
// 多单止盈信号
plotshape(longTPHit, title="多单止盈", location=location.abovebar, 
         color=color.green, style=shape.circle, size=size.normal, text="止盈", force_overlay=true)

// 多单止损信号
plotshape(longSLHit, title="多单止损", location=location.abovebar, 
         color=color.red, style=shape.xcross, size=size.normal, text="止损", force_overlay=true)

// 空单止盈信号
plotshape(shortTPHit, title="空单止盈", location=location.belowbar, 
         color=color.green, style=shape.circle, size=size.normal, text="止盈", force_overlay=true)

// 空单止损信号
plotshape(shortSLHit, title="空单止损", location=location.belowbar, 
         color=color.red, style=shape.xcross, size=size.normal, text="止损", force_overlay=true)



// === 绘制止盈止损线 ===
plot(strategy.position_size != 0 ? tpPrice : na, title="止盈", color=color.green, style=plot.style_line, linewidth=1)
plot(strategy.position_size != 0 ? slPrice : na, title="止损", color=color.red, style=plot.style_line, linewidth=1)
plot(strategy.position_size != 0 ? entryPrice : na, title="入场价", color=color.yellow, style=plot.style_line, linewidth=1)

// === 设置警报条件（使用常量字符串） ===
// 基础信号警报
alertcondition(longEntry, title="多单入场信号", message="J值极值策略: 多单入场信号触发")
alertcondition(shortEntry, title="空单入场信号", message="J值极值策略: 空单入场信号触发")
alertcondition(longTPHit, title="多单止盈触发", message="J值极值策略: 多单止盈触发")
alertcondition(longSLHit, title="多单止损触发", message="J值极值策略: 多单止损触发")
alertcondition(shortTPHit, title="空单止盈触发", message="J值极值策略: 空单止盈触发")
alertcondition(shortSLHit, title="空单止损触发", message="J值极值策略: 空单止损触发")


// === 添加交易详情标签 ===
if (longTPHit)
    label.new(bar_index, high, text="多单止盈 +" + str.tostring(takeProfitPercent) + "%", 
              style=label.style_label_down, color=color.green, textcolor=color.white)

if (longSLHit)
    label.new(bar_index, low, text="多单止损 -" + str.tostring(stopLossPercent) + "%", 
              style=label.style_label_up, color=color.red, textcolor=color.white)

if (shortTPHit)
    label.new(bar_index, low, text="空单止盈 +" + str.tostring(takeProfitPercent) + "%", 
              style=label.style_label_up, color=color.green, textcolor=color.white)

if (shortSLHit)
    label.new(bar_index, high, text="空单止损 -" + str.tostring(stopLossPercent) + "%", 
              style=label.style_label_down, color=color.red, textcolor=color.white)