动态跟踪止损的三分之一K线量化交易策略

/*backtest
start: 2024-02-18 00:00:00
end: 2025-02-16 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("TrinityBar with Trailing Stop", overlay=true, initial_capital=100000, 
     default_qty_type=strategy.percent_of_equity, default_qty_value=250)

//─────────────────────────────────────────────────────────────
// 1. BAR THIRDS CALCULATIONS
//─────────────────────────────────────────────────────────────
cur_range      = high - low
cur_lowerThird = low + cur_range / 3
cur_upperThird = high - cur_range / 3

prev_range      = high[1] - low[1]
prev_lowerThird = low[1] + prev_range / 3
prev_upperThird = high[1] - prev_range / 3

//─────────────────────────────────────────────────────────────
// 2. DEFINE BULLISH & BEARISH BAR TYPES (CURRENT & PREVIOUS)
//─────────────────────────────────────────────────────────────
// Current bar types
is_1_3 = (open <= cur_lowerThird) and (close >= cur_upperThird)
is_3_3 = (open >= cur_upperThird) and (close >= cur_upperThird)
is_2_3 = (open > cur_lowerThird) and (open < cur_upperThird) and (close >= cur_upperThird)

is_3_1 = (open >= cur_upperThird) and (close <= cur_lowerThird)
is_1_1 = (open <= cur_lowerThird) and (close <= cur_lowerThird)
is_2_1 = (open > cur_lowerThird) and (open < cur_upperThird) and (close <= cur_lowerThird)

// Previous bar types
prev_is_1_3 = (open[1] <= prev_lowerThird) and (close[1] >= prev_upperThird)
prev_is_3_3 = (open[1] >= prev_upperThird) and (close[1] >= prev_upperThird)
prev_is_2_3 = (open[1] > prev_lowerThird) and (open[1] < prev_upperThird) and (close[1] >= prev_upperThird)

prev_is_3_1 = (open[1] >= prev_upperThird) and (close[1] <= prev_lowerThird)
prev_is_1_1 = (open[1] <= prev_lowerThird) and (close[1] <= prev_lowerThird)
prev_is_2_1 = (open[1] > prev_lowerThird) and (open[1] < prev_upperThird) and (close[1] <= prev_lowerThird)

//─────────────────────────────────────────────────────────────
// 3. VALID SIGNAL CONDITIONS
//─────────────────────────────────────────────────────────────
validBuy  = (prev_is_2_3 or prev_is_3_3 or prev_is_1_3) and (is_1_3 or is_3_3)
validSell = (prev_is_2_1 or prev_is_1_1 or prev_is_3_1) and (is_1_1 or is_3_1)

//─────────────────────────────────────────────────────────────
// 4. PLOT SIGNAL TRIANGLES
//─────────────────────────────────────────────────────────────
plotshape(validBuy, title="Valid Buy", style=shape.triangleup, location=location.belowbar, 
     color=color.green, size=size.small, text="B")
plotshape(validSell, title="Valid Sell", style=shape.triangledown, location=location.abovebar, 
     color=color.red, size=size.small, text="S")

//─────────────────────────────────────────────────────────────
// 5. MARKET ORDER EXECUTION BASED ON SIGNALS
//─────────────────────────────────────────────────────────────
if validBuy
    // Close any short positions.
    strategy.close("Short", comment="")
    // If not already long, enter a market long.
    if strategy.position_size <= 0
        strategy.entry("Long", strategy.long, comment="")
        
if validSell
    // Close any long positions.
    strategy.close("Long", comment="")
    // If not already short, enter a market short.
    if strategy.position_size >= 0
        strategy.entry("Short", strategy.short, comment="")

//─────────────────────────────────────────────────────────────
// 6. TRAILING STOP LOSS FUNCTION
//─────────────────────────────────────────────────────────────
// Inputs for trailing stop settings:
trailBars = input.int(title="Trailing Stop Bars Back", defval=1, minval=1)
trailTF   = input.timeframe(title="Trailing Stop Timeframe", defval="")  // "" = current timeframe

// For long positions, use the low from 'trailBars' bars back on the specified timeframe.
// For short positions, use the high from 'trailBars' bars back.
trailStopLong  = request.security(syminfo.tickerid, trailTF, low[trailBars])
trailStopShort = request.security(syminfo.tickerid, trailTF, high[trailBars])

// Apply trailing stops if a position is open.
if strategy.position_size > 0
    strategy.exit("Trailing Stop Long", from_entry="Long", stop=trailStopLong)
if strategy.position_size < 0
    strategy.exit("Trailing Stop Short", from_entry="Short", stop=trailStopShort)

• ATR增强型蜡烛反转模式识别与风险管理策略
• HalfTrend多空趋势追踪止损限价买入策略
• Chandelier Exit
• MilleMachine
• 基于随机振荡指标的波动区间交易策略
• AlphaTrend use mfi
• SUPERTREND ATR WITH TRAILING STOP LOSS
• 基于波动率的动态择时与仓位管理策略
• 动态趋势跟踪策略
• baguette by multigrain

• 多指标趋势跟踪与震荡预警结合策略
• 动态ichimoku均线突破趋势转换策略
• 多重支撑阻力位叠加动量反转交易策略
• 布林带交叉信号筛选交易策略
• 多指标动态平衡量化交易系统
• 基于移动平均线的自适应趋势跟踪策略
• 动态布林带结合PSAR指标的高级量化交易策略
• 动态趋势跟踪的EMA-ADX多级止盈策略
• 基于动量与成交量的多指标趋势反转策略
• 多重指标动态跟踪趋势波段交易策略
• 基于波浪趋势动量突破的自适应多周期交易策略
• 多周期高斯通道结合StochRSI趋势跟踪策略
• 多周期SAR趋势跟踪自适应止损优化策略
• 动量趋势跟踪指标DMI+ADX交叉策略
• 高频量化交易中的趋势匹配与退出优化策略
• 基于角度的VWMA趋势跟踪策略与动态追踪止损
• 基于双均线和交易量的趋势突破交易策略
• 开盘收盘均线交叉结合ADX动态指标的量化交易策略
• 趋势动量策略 - 之字形多重周期动态波段择时系统
• 三段趋势突破与动量跟踪策略