Стратегия высокочастотной количественной разговорной торговли: адаптивная динамическая система управления позициями на основе прорывных сигналов

/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-10 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("ENIGMA ENDGAME Strategy", overlay=true, margin_long=100, margin_short=100)

// Description: 
// The ENIGMA ENDGAME strategy leverages price action breakouts within specific kill zones (London and US sessions) to capture profitable opportunities. 
// The strategy uses dynamic position sizing based on account equity, precise entry logic via buy-stop and sell-stop orders, and robust risk management to achieve consistent profitability. 
// Features include:
// - Customizable kill zones for session-specific trading.
// - Risk management with dynamic position sizing based on user-defined percentages.
// - Multiple entry opportunities with lookback-based high/low tracking.
// - Automatic pending order cancellation to avoid stale trades.
// - Adjustable risk-reward ratios for optimal profit-taking.

// Define customizable kill zones for London and US sessions
london_start_hour = input.int(2, minval=0, maxval=23, title="London Start Hour (UTC)")
london_end_hour = input.int(5, minval=0, maxval=23, title="London End Hour (UTC)")
us_start_hour = input.int(8, minval=0, maxval=23, title="US Start Hour (UTC)")
us_end_hour = input.int(11, minval=0, maxval=23, title="US End Hour (UTC)")

// Risk management parameters
risk_percentage = input.float(0.1, title="Risk Percentage per Trade (%)", step=0.01)
account_balance = strategy.equity

// Define lookback parameters
lookback_period = 3
cancel_after_bars = input.int(5, title="Cancel Pending Orders After Bars")

// User-defined risk-reward ratio
risk_reward_ratio = input.float(1.0, title="Risk-Reward Ratio", minval=0.1, step=0.1)

// Kill zone function
in_kill_zone = (hour(time) >= london_start_hour and hour(time) < london_end_hour) or (hour(time) >= us_start_hour and hour(time) < us_end_hour)

// Calculate Position Size Based on Risk
calc_position_size(entry_price, stop_loss) =>
    // This function calculates the position size based on the account equity, risk percentage, and stop-loss distance.
    risk = account_balance * (risk_percentage / 100)
    stop_loss_distance = math.abs(entry_price - stop_loss)
    // Validate stop-loss distance
    stop_loss_distance := stop_loss_distance < syminfo.mintick * 10 ? syminfo.mintick * 10 : stop_loss_distance
    position_size = risk / stop_loss_distance
    // Clamp position size
    math.min(position_size, 10000000000.0) // Limit to Pine Script max qty

// Initialize arrays to store high/low levels
var float[] buy_highs = array.new_float(0)
var float[] sell_lows = array.new_float(0)
var int[] pending_orders = array.new_int(0)

// Buy and Sell Arrow Conditions
bullish_arrow = close > open and close > high[1] and in_kill_zone // Triggers buy logic when price action breaks out in the upward direction within a kill zone.
bearish_arrow = close < open and close < low[1] and in_kill_zone // Triggers sell logic when price action breaks out in the downward direction within a kill zone.

// Store Highs and Place Buy-Stops
if bullish_arrow
    array.clear(buy_highs) // Clears previous data to store new highs.
    for i = 1 to lookback_period
        array.push(buy_highs, high[i]) // Tracks highs from the lookback period.
    
    // Place buy-stop orders
    for high_level in buy_highs
        stop_loss = low - syminfo.mintick * 10 // 1 pip below the low
        take_profit = high_level + (high_level - stop_loss) * risk_reward_ratio // Calculate take-profit based on the risk-reward ratio.
        strategy.entry("Buy", strategy.long, stop=high_level, qty=calc_position_size(high_level, stop_loss))
        strategy.exit("Take Profit", "Buy", limit=take_profit, stop=stop_loss)

// Store Lows and Place Sell-Stops
if bearish_arrow
    array.clear(sell_lows) // Clears previous data to store new lows.
    for i = 1 to lookback_period
        array.push(sell_lows, low[i]) // Tracks lows from the lookback period.
    
    // Place sell-stop orders
    for low_level in sell_lows
        stop_loss = high + syminfo.mintick * 10 // 1 pip above the high
        take_profit = low_level - (stop_loss - low_level) * risk_reward_ratio // Calculate take-profit based on the risk-reward ratio.
        strategy.entry("Sell", strategy.short, stop=low_level, qty=calc_position_size(low_level, stop_loss))
        strategy.exit("Take Profit", "Sell", limit=take_profit, stop=stop_loss)

// Cancel Pending Orders After Defined Bars
if array.size(pending_orders) > 0
    for i = 0 to array.size(pending_orders) - 1
        if bar_index - array.get(pending_orders, i) >= cancel_after_bars
            array.remove(pending_orders, i) // Removes outdated pending orders.

// Alerts for debugging
alertcondition(bullish_arrow, title="Buy Alert", message="Buy signal generated.")
alertcondition(bearish_arrow, title="Sell Alert", message="Sell signal generated.")