移動平均収束発散戦略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-08-21 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":500000}]
*/

//@version=5
strategy("均线粘合发散策略", shorttitle="Fixed MA Squeeze & Divergence", overlay=true, default_qty_value=10)

// ===== 参数设置 =====
// 均线参数
ma1_length = input.int(5, "短期均线", minval=1)
ma2_length = input.int(10, "中期均线1", minval=1)
ma3_length = input.int(20, "中期均线2", minval=1)
ma4_length = input.int(30, "长期均线", minval=1)

// 粘合参数 - 保持原有设置
squeeze_threshold = input.float(3.0, "粘合阈值(%)", minval=0.1, maxval=10.0, step=0.1) / 100
min_squeeze_bars = input.int(3, "最小粘合K线数", minval=1, maxval=10)

// 发散确认参数 - 修改为更合理的设置
divergence_threshold = input.float(5.0, "发散确认阈值(%)", minval=1.0, maxval=10.0, step=0.1) / 100
observation_period = input.int(5, "发散观察周期", minval=3, maxval=10)
volume_factor = input.float(1.5, "成交量倍数", minval=1.0, maxval=3.0, step=0.1)

// 风险管理参数
stop_loss_pct = input.float(2.0, "止损百分比(%)", minval=0.5, maxval=5.0, step=0.1) / 100
take_profit_pct = input.float(4.0, "止盈百分比(%)", minval=1.0, maxval=10.0, step=0.1) / 100
use_trailing_stop = input.bool(true, "使用跟踪止损")

// ===== 计算均线 =====
ma1 = ta.sma(close, ma1_length)
ma2 = ta.sma(close, ma2_length)
ma3 = ta.sma(close, ma3_length)
ma4 = ta.sma(close, ma4_length)

// 绘制均线
plot(ma1, "MA5", color=color.red, linewidth=1)
plot(ma2, "MA10", color=color.orange, linewidth=1)
plot(ma3, "MA20", color=color.blue, linewidth=1)
plot(ma4, "MA30", color=color.purple, linewidth=1)

// ===== 计算均线粘合状态 =====
// 计算均线最高值和最低值
ma_max = math.max(math.max(ma1, ma2), math.max(ma3, ma4))
ma_min = math.min(math.min(ma1, ma2), math.min(ma3, ma4))

// 计算均线带宽
ma_range = ma_max - ma_min
ma_avg = (ma1 + ma2 + ma3 + ma4) / 4
ma_range_pct = ma_avg > 0 ? ma_range / ma_avg : 0  // 添加除零保护

// 判断是否处于粘合状态
is_squeeze = ma_range_pct < squeeze_threshold

// 计算连续粘合K线数和发散观察逻辑
var int squeeze_count = 0
var bool squeeze_phase = false        // 标记是否处于粘合阶段
var int observation_count = 0         // 发散观察期计数器
var bool divergence_detected = false  // 是否检测到发散

if is_squeeze
    squeeze_count += 1
    observation_count := 0
    divergence_detected := false
    if squeeze_count >= min_squeeze_bars
        squeeze_phase := true
else
    squeeze_count := 0
    if squeeze_phase
        observation_count += 1
        
        // 在观察期内检查是否出现强发散
        if ma_range_pct > divergence_threshold
            divergence_detected := true
        
        // 观察期结束，重置状态
        if observation_count > observation_period
            squeeze_phase := false
            observation_count := 0
            divergence_detected := false

// 粘合状态确认：正在粘合或处于观察期
squeeze_confirmed = squeeze_phase

// ===== 计算发散信号 =====
// 多头排列：MA1 > MA2 > MA3 > MA4 (保持原有逻辑)
bullish_alignment = ma1 > ma2 and ma2 > ma3 and ma3 > ma4

// 空头排列：MA1 < MA2 < MA3 < MA4 (保持原有逻辑)
bearish_alignment = ma1 < ma2 and ma2 < ma3 and ma3 < ma4

// 成交量确认（添加na检查）
vol_avg = ta.sma(volume, 20)
volume_surge = not na(volume) and not na(vol_avg) and vol_avg > 0 ? volume > vol_avg * volume_factor : false

// 在观察期内记录是否出现过成交量激增
var bool volume_confirmed = false

if squeeze_phase and observation_count > 0
    // 观察期内任何时候出现volume_surge都记录下来
    if volume_surge
        volume_confirmed := true
else
    // 不在观察期时重置
    volume_confirmed := false

// ===== 信号生成 =====
// 多头发散信号 - 使用新的发散检测逻辑
bullish_divergence = squeeze_confirmed and bullish_alignment and divergence_detected and volume_confirmed

// 空头发散信号 - 使用新的发散检测逻辑
bearish_divergence = squeeze_confirmed and bearish_alignment and divergence_detected and volume_confirmed

// ===== 入场条件 =====
// 添加额外的安全检查
long_condition = bullish_divergence and strategy.position_size == 0 
short_condition = bearish_divergence and strategy.position_size == 0 

// ===== 执行交易 =====
if long_condition
    strategy.entry("Long", strategy.long)
    
if short_condition
    strategy.entry("Short", strategy.short)

// ===== 修复的出场条件 =====
// 计算止损止盈价格
if strategy.position_size > 0
    long_stop_loss = strategy.position_avg_price * (1 - stop_loss_pct)
    long_take_profit = strategy.position_avg_price * (1 + take_profit_pct)
    
    // 修复跟踪止损功能
    if use_trailing_stop
        // 使用跟踪止损
        trail_amount = strategy.position_avg_price * stop_loss_pct
        strategy.exit("Long Exit", "Long", trail_amount=trail_amount, limit=long_take_profit)
    else
        // 使用固定止损
        strategy.exit("Long Exit", "Long", stop=long_stop_loss, limit=long_take_profit)

if strategy.position_size < 0
    short_stop_loss = strategy.position_avg_price * (1 + stop_loss_pct)
    short_take_profit = strategy.position_avg_price * (1 - take_profit_pct)
    
    // 修复跟踪止损功能
    if use_trailing_stop
        // 使用跟踪止损
        trail_amount = strategy.position_avg_price * stop_loss_pct
        strategy.exit("Short Exit", "Short", trail_amount=trail_amount, limit=short_take_profit)
    else
        // 使用固定止损
        strategy.exit("Short Exit", "Short", stop=short_stop_loss, limit=short_take_profit)

// ===== 信号可视化 =====
// 粘合状态背景色
bgcolor(is_squeeze and squeeze_confirmed ? color.new(color.yellow, 90) : na, title="粘合状态")

// 观察期背景色
bgcolor(squeeze_confirmed and not is_squeeze ? color.new(color.blue, 95) : na, title="发散观察期")

// 发散检测背景色
bgcolor(divergence_detected ? color.new(color.orange, 95) : na, title="发散检测")

// 信号标记
plotshape(long_condition, title="做多信号", style=shape.triangleup, location=location.belowbar, 
          color=color.green, size=size.normal)
plotshape(short_condition, title="做空信号", style=shape.triangledown, location=location.abovebar, 
          color=color.red, size=size.normal)

// ===== 警报条件 =====
alertcondition(long_condition, title="做多信号", message="均线发散做多信号触发")
alertcondition(short_condition, title="做空信号", message="均线发散做空信号触发")
alertcondition(squeeze_confirmed and is_squeeze and not squeeze_confirmed[1], title="粘合确认", message="均线粘合状态确认")
alertcondition(divergence_detected and not divergence_detected[1], title="发散检测", message="检测到强发散信号")