基于动态成本平均与流动性波动的机构级做市商跟踪策略

/*backtest
start: 2024-12-12 00:00:00
end: 2025-02-18 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("EDGE Market Maker Strategy – DCAA & HedgeFlow", overlay=true)

// ✅ Import Indicators  
vwapLine = ta.vwap
superTrend = ta.sma(close, 10)  // Replace with actual Supertrend formula if needed
volData = volume // Volume from current timeframe
cvdData = ta.cum(close - close[1]) // Approximation of CVD (Cumulative Volume Delta)
orderBlockHigh = ta.highest(high, 20) // Approximate Order Block Detection
orderBlockLow = ta.lowest(low, 20)

// ✅ Market Maker Buy Conditions  
longCondition = ta.crossover(close, vwapLine) and cvdData > cvdData[1] and volData > volData[1]
if longCondition
    strategy.entry("BUY", strategy.long)

// ✅ Market Maker Sell Conditions  
shortCondition = ta.crossunder(close, vwapLine) and cvdData < cvdData[1] and volData > volData[1]
if shortCondition
    strategy.entry("SELL", strategy.short)

// ✅ Order Block Confirmation (For Stronger Signals)  
longOB = longCondition and close > orderBlockHigh
shortOB = shortCondition and close < orderBlockLow

if longOB
    label.new(bar_index, high, "BUY (Order Block)", color=color.green, textcolor=color.white, style=label.style_label_down)

if shortOB
    label.new(bar_index, low, "SELL (Order Block)", color=color.red, textcolor=color.white, style=label.style_label_up)

// ✅ DCAA Levels – Adaptive Re-Entry Strategy  
dcaaBuy1 = close * 0.97  // First re-entry for long position (3% drop)
dcaaBuy2 = close * 0.94  // Second re-entry for long position (6% drop)
dcaaSell1 = close * 1.03 // First re-entry for short position (3% rise)
dcaaSell2 = close * 1.06 // Second re-entry for short position (6% rise)

if longCondition
    strategy.entry("DCAA_BUY_1", strategy.long, limit=dcaaBuy1)
    strategy.entry("DCAA_BUY_2", strategy.long, limit=dcaaBuy2)

if shortCondition
    strategy.entry("DCAA_SELL_1", strategy.short, limit=dcaaSell1)
    strategy.entry("DCAA_SELL_2", strategy.short, limit=dcaaSell2)

// ✅ HedgeFlow System – Dynamic Hedge Adjustments  
hedgeLong = ta.crossunder(close, superTrend) and cvdData < cvdData[1] and volData > volData[1]
hedgeShort = ta.crossover(close, superTrend) and cvdData > cvdData[1] and volData > volData[1]

if hedgeLong
    strategy.entry("HEDGE_LONG", strategy.long)

if hedgeShort
    strategy.entry("HEDGE_SHORT", strategy.short)

// ✅ Take Profit & Stop Loss  
tpLong = close * 1.05  
tpShort = close * 0.95  
slLong = close * 0.97  
slShort = close * 1.03  

strategy.exit("TP_Long", from_entry="BUY", limit=tpLong, stop=slLong)
strategy.exit("TP_Short", from_entry="SELL", limit=tpShort, stop=slShort)

// ✅ Plot VWAP & Supertrend for Reference  
plot(vwapLine, title="VWAP", color=color.blue, linewidth=2)
plot(superTrend, title="Supertrend", color=color.orange, linewidth=2)

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