双均线趋势跟踪与风险管理交易策略

/*backtest
start: 2025-01-21 00:00:00
end: 2025-02-20 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"DOGE_USDT"}]
*/

//@version=5
strategy("Scalping Strategy: 1-min Entries with 5-min 200 EMA Filter", overlay=true, initial_capital=10000, currency=currency.USD, default_qty_type=strategy.percent_of_equity, default_qty_value=5, calc_on_every_tick=true)

// --- Higher Timeframe Trend Filter ---
// Get the 200-period EMA on a 5-minute timeframe
ema200_5 = request.security(syminfo.tickerid, "5", ta.ema(close, 200), lookahead=barmerge.lookahead_on)
plot(ema200_5, color=color.purple, title="5-min 200 EMA")

// --- Local (1-Minute) Indicators ---
// On a 1-minute chart, calculate a 20-period EMA for entry triggers
ema20_1 = ta.ema(close, 20)
plot(ema20_1, color=color.yellow, title="1-min 20 EMA")

// --- Entry Conditions ---
// For long entries:
//   - The overall trend is bullish: current close > 5-min 200 EMA
//   - The 1-min candle closes and crosses above its 20 EMA
longCondition = (close > ema200_5) and ta.crossover(close, ema20_1)

// For short entries:
//   - Overall bearish trend: current close < 5-min 200 EMA
//   - 1-min candle crosses below its 20 EMA
shortCondition = (close < ema200_5) and ta.crossunder(close, ema20_1)

// --- Risk Management Settings ---
// For scalping, use a tight stop loss. Here we set risk at 0.5% of the entry price.
var float riskPerc = 0.005  // 0.5% risk per trade

// Declare global variables for stop loss and take profit so they can be used outside the if-blocks
var float longStop  = na
var float longTP    = na
var float shortStop = na
var float shortTP   = na

// --- Trade Execution --- 
if (longCondition)
    entryPrice = close
    // Stop loss for long: 0.5% below entry
    longStop := entryPrice * (1 - riskPerc)
    // Take profit: twice the risk distance (1:2 risk-reward)
    longTP   := entryPrice + 2 * (entryPrice - longStop)
    strategy.entry("Long", strategy.long)
    strategy.exit("Long Exit", from_entry="Long", stop=longStop, limit=longTP)

if (shortCondition)
    entryPrice = close
    // Stop loss for short: 0.5% above entry
    shortStop := entryPrice * (1 + riskPerc)
    // Take profit: twice the risk distance
    shortTP   := entryPrice - 2 * (shortStop - entryPrice)
    strategy.entry("Short", strategy.short)
    strategy.exit("Short Exit", from_entry="Short", stop=shortStop, limit=shortTP)

// --- Visual Debug Markers ---
// Plot a green triangle below bars when a long signal is generated
plotshape(longCondition, title="Long Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.tiny)
// Plot a red triangle above bars when a short signal is generated
plotshape(shortCondition, title="Short Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.tiny)

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