多指标趋势跟踪与区间交易相结合的自适应策略

/*backtest
start: 2025-01-27 00:00:00
end: 2025-02-20 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy("Nifty/BankNifty Multi-Strategy v2", overlay=true, margin_long=100, margin_short=100)

// ———— Inputs ———— //
// Supertrend
atrPeriod = input.int(10, "ATR Period")
supertrendMultiplier = input.float(2.0, "Supertrend Multiplier", step=0.1)

// EMA
ema20Period = input.int(20, "20 EMA Period")
ema50Period = input.int(50, "50 EMA Period")

// ADX/DMI
adxThreshold = input.int(25, "ADX Trend Threshold")
adxLength = input.int(14, "ADX Length")

// RSI
rsiLength = input.int(14, "RSI Length")
rsiOverbought = input.int(70, "RSI Overbought")
rsiOversold = input.int(30, "RSI Oversold")

// Bollinger Bands
bbLength = input.int(20, "BB Length")
bbStdDev = input.float(2.0, "BB Std Dev", step=0.1)

// Stop-Loss
stopLossPerc = input.float(1.0, "Stop-Loss %", step=0.1)

// ———— Calculations ———— //
// Supertrend
[supertrend, direction] = ta.supertrend(supertrendMultiplier, atrPeriod)

// EMAs
ema20 = ta.ema(close, ema20Period)
ema50 = ta.ema(close, ema50Period)

// ADX via DMI (corrected)
[dip, din, adx] = ta.dmi(adxLength, adxLength) // ta.dmi(diLength, adxSmoothing)

// RSI
rsi = ta.rsi(close, rsiLength)

// Bollinger Bands
basis = ta.sma(close, bbLength)
upperBB = basis + ta.stdev(close, bbLength) * bbStdDev
lowerBB = basis - ta.stdev(close, bbLength) * bbStdDev

// VWAP
vwapValue = ta.vwap(hlc3)

// ———— Strategy Logic ———— //
trendingMarket = adx > adxThreshold

// Trend-Following Strategy
emaBullish = ema20 > ema50
priceAboveVWAP = close > vwapValue

longConditionTrend = trendingMarket and direction < 0 and emaBullish and priceAboveVWAP
shortConditionTrend = trendingMarket and direction > 0 and not emaBullish and close < vwapValue

// Range-Bound Strategy
priceNearLowerBB = close <= lowerBB
priceNearUpperBB = close >= upperBB

longConditionRange = not trendingMarket and priceNearLowerBB and rsi < rsiOversold
shortConditionRange = not trendingMarket and priceNearUpperBB and rsi > rsiOverbought

// ———— Entries/Exits ———— //
if (longConditionTrend or longConditionRange)
    strategy.entry("Long", strategy.long)
    stopPriceLong = strategy.position_avg_price * (1 - stopLossPerc / 100)
    strategy.exit("Exit Long", "Long", stop=stopPriceLong)

if (shortConditionTrend or shortConditionRange)
    strategy.entry("Short", strategy.short)
    stopPriceShort = strategy.position_avg_price * (1 + stopLossPerc / 100)
    strategy.exit("Exit Short", "Short", stop=stopPriceShort)

// Exit on Supertrend flip or RSI extremes
if (direction > 0 or rsi >= rsiOverbought)
    strategy.close("Long")

if (direction < 0 or rsi <= rsiOversold)
    strategy.close("Short")

// ———— Visualization ———— //
plot(supertrend, "Supertrend", color = direction < 0 ? color.green : color.red)
plot(ema20, "20 EMA", color.blue)
plot(ema50, "50 EMA", color.orange)
plot(vwapValue, "VWAP", color.purple)
plot(upperBB, "Upper BB", color.gray)
plot(lowerBB, "Lower BB", color.gray)

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