动态趋势确认的反转公平价值缺口量化交易策略

/*backtest
start: 2025-02-16 17:00:00
end: 2025-02-18 03:00:00
period: 2m
basePeriod: 2m
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/

//@version=6
strategy("Inverted FVG Strategy with Trend Check and Trailing Stops", overlay=true)

// Function to detect FVG
fvgDetected(src, high, low) =>
    var float prevHigh = na
    var float prevLow = na
    var float prevClose = na
    var bool fvg = false
    if (not na(src[1]))
        prevHigh := high[1]
        prevLow := low[1]
        prevClose := src[1]
        if (src > prevClose and low > prevHigh) or (src < prevClose and high < prevLow)
            fvg := true
    [fvg, prevHigh, prevLow]

// Detect FVG on the chart
[fvg, fvgHigh, fvgLow] = fvgDetected(close, high, low)

// Detect IFVG - Inversion of FVG
var bool ifvg = false
var float ifvgHigh = na
var float ifvgLow = na
if (fvg)
    if not na(fvgHigh) and not na(fvgLow)
        if (close > fvgHigh and close[1] < fvgHigh) or (close < fvgLow and close[1] > fvgLow)
            ifvg := true
            ifvgHigh := close > fvgHigh ? high : na
            ifvgLow := close < fvgLow ? low : na

// Plot FVG and IFVG zones for visualization
bgcolor(ifvg ? color.new(color.red, 80) : na)
plot(ifvgHigh, title="IFVG High", color=color.red, linewidth=2, style=plot.style_cross)
plot(ifvgLow, title="IFVG Low", color=color.red, linewidth=2, style=plot.style_cross)

// Trend Check using Simple Moving Averages
smaShort = ta.sma(close, 50)  // Short term SMA
smaLong = ta.sma(close, 200)  // Long term SMA
var bool uptrend = false
var bool downtrend = false

uptrend := smaShort > smaLong  // Up trend if short SMA is above long SMA
downtrend := smaShort < smaLong  // Down trend if short SMA is below long SMA

// Plot SMAs for visualization
plot(smaShort, title="SMA Short", color=color.blue, linewidth=1)
plot(smaLong, title="SMA Long", color=color.orange, linewidth=1)

// Trading logic with trend confirmation
longCondition = ifvg and close < ifvgLow and uptrend
shortCondition = ifvg and close > ifvgHigh and downtrend

// Risk Definition
stopLoss = 100  // Example values in points
risk = stopLoss

if (longCondition)
    strategy.entry("Long", strategy.long)
    strategy.exit("Initial Long Exit", "Long", stop=close - stopLoss, limit=close + (risk * 3))  // Changed to 3R

if (shortCondition)
    strategy.entry("Short", strategy.short)
    strategy.exit("Initial Short Exit", "Short", stop=close + stopLoss, limit=close - (risk * 3))  // Changed to 3R

// ATR for dynamic trailing stop
atr = ta.atr(14)

// Trailing Stop for Long Position if the trade has moved > 0.5R
if (strategy.position_size > 0)
    if (close - strategy.position_avg_price >= risk * 0.5)
        trailingStopLong = math.max(strategy.position_avg_price + (risk * 0.5), close - (atr * 2))
        strategy.exit("Trailing Stop Long", "Long", stop=trailingStopLong)

// Trailing Stop for Short Position if the trade has moved > 0.5R
if (strategy.position_size < 0)
    if (strategy.position_avg_price - close >= risk * 0.5)
        trailingStopShort = math.min(strategy.position_avg_price - (risk * 0.5), close + (atr * 2))
        strategy.exit("Trailing Stop Short", "Short", stop=trailingStopShort)

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