动态ATR追踪止损与均线交叉组合策略

/*backtest
start: 2024-02-19 00:00:00
end: 2025-02-16 08:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title='UT Bot Strategy with 100 EMA Filter, Trailing Stop and EMA Cross Exit', overlay=true)

// Inputs
a = input(1, title='Key Value. \'This changes the sensitivity\'')
c = input(10, title='ATR Period')
h = input(false, title='Signals from Heikin Ashi Candles')

// Higher timeframe trend filter (1-hour)
higherTimeframeEMA = request.security(syminfo.tickerid, "60", ta.ema(close, 100)) // 1-hour EMA

xATR = ta.atr(c)

// Adjusting ATR multiplier for Gold on 15-minute timeframe
atrMultiplier = 3
nLoss = atrMultiplier * xATR  // ATR-based loss calculation

src = h ? request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close, lookahead=barmerge.lookahead_off) : close

// Trailing Stop Calculation
xATRTrailingStop = 0.0
iff_1 = src > nz(xATRTrailingStop[1], 0) ? src - nLoss : src + nLoss
iff_2 = src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0) ? math.min(nz(xATRTrailingStop[1]), src + nLoss) : iff_1
xATRTrailingStop := src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0) ? math.max(nz(xATRTrailingStop[1]), src - nLoss) : iff_2

pos = 0
iff_3 = src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0) ? -1 : nz(pos[1], 0)
pos := src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0) ? 1 : iff_3

xcolor = pos == -1 ? color.red : pos == 1 ? color.green : color.blue

// Define 100 EMA
ema100 = ta.ema(src, 100)
plot(ema100, title="100 EMA", color=color.black, linewidth=2)

// Define 15 EMA and 17 EMA for exit conditions
ema15 = ta.ema(src, 15)
ema17 = ta.ema(src, 17)
plot(ema15, title="15 EMA", color=color.blue, linewidth=1)
plot(ema17, title="17 EMA", color=color.purple, linewidth=1)

// Define Entry Conditions
longCondition = src > ema100 and src > xATRTrailingStop and close > higherTimeframeEMA and ta.crossover(ta.ema(src, 1), xATRTrailingStop)
shortCondition = src < ema100 and src < xATRTrailingStop and close < higherTimeframeEMA and ta.crossover(xATRTrailingStop, ta.ema(src, 1))

// RSI Filter
rsi = ta.rsi(close, 14)
longCondition := longCondition and rsi > 30 and rsi < 70  // Ensure RSI is not in extreme conditions
shortCondition := shortCondition and rsi > 30 and rsi < 70

// Volume Filter
volumeMA = ta.sma(volume, 20)
longCondition := longCondition and volume > volumeMA
shortCondition := shortCondition and volume > volumeMA

// ** Trailing Stop Setup **
trailOffset = nLoss  // The trailing stop distance is based on ATR, which is already calculated
trailPriceLong = close - trailOffset  // The trailing stop for long trades is below the entry price
trailPriceShort = close + trailOffset  // The trailing stop for short trades is above the entry price

// Define Take Profit (TP) condition
takeProfitMultiplier = 2  // This sets the take profit at 2x the ATR from the entry
takeProfitLong = close + takeProfitMultiplier * nLoss
takeProfitShort = close - takeProfitMultiplier * nLoss

// Strategy Entries
if (longCondition)
    strategy.entry('long', strategy.long)

if (shortCondition)
    strategy.entry('short', strategy.short)

// Exit conditions for 15 and 17 EMA cross (must be consecutive on two bars)
exitLong = ta.crossover(ema15, ema17) and ta.crossover(ema15[1], ema17[1])  // Exit long if both the current and previous bars have 15 EMA crossing above 17 EMA
exitShort = ta.crossunder(ema15, ema17) and ta.crossunder(ema15[1], ema17[1])  // Exit short if both the current and previous bars have 15 EMA crossing below 17 EMA

// Apply trailing stop and take profit along with EMA cross exit
strategy.exit("Exit Long", "long", trail_price=trailPriceLong, trail_offset=trailOffset, limit=takeProfitLong)  // Long exit with trailing stop and TP
strategy.exit("Exit Short", "short", trail_price=trailPriceShort, trail_offset=trailOffset, limit=takeProfitShort)  // Short exit with trailing stop and TP

// Close positions when 15 and 17 EMAs cross consecutively
strategy.close("long", when=exitLong)
strategy.close("short", when=exitShort)

// Alert condition for trade closure
longExitAlert = exitLong  // Only trigger alert for long if both consecutive bars show crossover
shortExitAlert = exitShort  // Only trigger alert for short if both consecutive bars show crossunder

alertcondition(longExitAlert, title="Close Long Trade", message="Long trade closed. 15 EMA crossed above 17 EMA on two consecutive bars.")
alertcondition(shortExitAlert, title="Close Short Trade", message="Short trade closed. 15 EMA crossed below 17 EMA on two consecutive bars.")

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