基于价格结构的高比例回报突破交易策略

/*backtest
start: 2024-02-19 00:00:00
end: 2024-11-14 08:00:00
period: 3h
basePeriod: 3h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("Filtered Price Action Breakout", overlay=true)

// === INPUTS ===
lookback = input.int(20, title="Breakout Lookback Period", minval=5)
stopLookback = input.int(10, title="Stop Loss Lookback Period", minval=3)
rrMultiplier = input.float(5.0, title="Risk-to-Reward Multiplier", step=0.1)
maxTradesPerDay = input.int(5, title="Max Trades Per Day", minval=1)

// Ensure there are enough bars for calculations
inRange = bar_index >= lookback

// === CALCULATIONS ===
// Highest high and lowest low over the 'lookback' period
highestHigh = ta.highest(high, lookback)
lowestLow = ta.lowest(low, lookback)

// Define breakout conditions (using previous bar's level)
bullBreakout = ta.crossover(close, highestHigh[1])
bearBreakout = ta.crossunder(close, lowestLow[1])

// Store breakout signals in variables to prevent inconsistencies
bullBreakoutSignal = bullBreakout
bearBreakoutSignal = bearBreakout

// Determine stop levels based on recent swing lows/highs
longStop = ta.lowest(low, stopLookback)
shortStop = ta.highest(high, stopLookback)

// Track number of trades per day (fixing boolean condition issue)
newDay = ta.change(time("D")) != 0
todayTrades = ta.barssince(newDay)
tradeCount = 0
if newDay
    tradeCount := 0
else
    tradeCount := tradeCount + 1

// === STRATEGY LOGIC: ENTRY & EXIT ===
if bullBreakoutSignal and tradeCount < maxTradesPerDay
    entryPrice = close
    stopLevel = longStop
    risk = entryPrice - stopLevel
    if risk > 0
        target = entryPrice + rrMultiplier * risk
        strategy.entry("Long", strategy.long)
        strategy.exit("Long Exit", from_entry="Long", stop=stopLevel, limit=target)
        tradeCount := tradeCount + 1
        
        // // Draw Markups
        // label.new(bar_index, entryPrice, text="Long Entry", color=color.green, textcolor=color.white, size=size.small, style=label.style_label_down)
        // line.new(x1=bar_index, y1=entryPrice, x2=bar_index + 5, y2=entryPrice, color=color.green, width=2)
        // line.new(x1=bar_index, y1=stopLevel, x2=bar_index + 5, y2=stopLevel, color=color.red, width=2, style=line.style_dotted)
        // line.new(x1=bar_index, y1=target, x2=bar_index + 5, y2=target, color=color.blue, width=2, style=line.style_dashed)
        // label.new(bar_index, stopLevel, text="Stop Loss", color=color.red, textcolor=color.white, size=size.small, style=label.style_label_down)
        // label.new(bar_index, target, text="Target", color=color.blue, textcolor=color.white, size=size.small, style=label.style_label_up)

if bearBreakoutSignal and tradeCount < maxTradesPerDay
    entryPrice = close
    stopLevel = shortStop
    risk = stopLevel - entryPrice
    if risk > 0
        target = entryPrice - rrMultiplier * risk
        strategy.entry("Short", strategy.short)
        strategy.exit("Short Exit", from_entry="Short", stop=stopLevel, limit=target)
        tradeCount := tradeCount + 1
        
        // // Draw Markups
        // label.new(bar_index, entryPrice, text="Short Entry", color=color.red, textcolor=color.white, size=size.small, style=label.style_label_up)
        // line.new(x1=bar_index, y1=entryPrice, x2=bar_index + 5, y2=entryPrice, color=color.red, width=2)
        // line.new(x1=bar_index, y1=stopLevel, x2=bar_index + 5, y2=stopLevel, color=color.green, width=2, style=line.style_dotted)
        // line.new(x1=bar_index, y1=target, x2=bar_index + 5, y2=target, color=color.blue, width=2, style=line.style_dashed)
        // label.new(bar_index, stopLevel, text="Stop Loss", color=color.green, textcolor=color.white, size=size.small, style=label.style_label_up)
        // label.new(bar_index, target, text="Target", color=color.blue, textcolor=color.white, size=size.small, style=label.style_label_down)

// === PLOTTING ===
plot(highestHigh, color=color.green, title="Highest High (Breakout Level)")
plot(lowestLow, color=color.red, title="Lowest Low (Breakout Level)")

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