多重时序趋势甄别型自适应动态调仓策略

/*backtest
start: 2025-02-16 00:00:00
end: 2025-02-23 00:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/

//@version=6
strategy("Supertrend with DEMA Strategy (Reversal Enabled)", overlay=true)

// ===== Parameters for Supertrend =====
atrPeriod = input.int(10, "ATR Length", minval=1)
factor    = input.float(3.0, "Factor", minval=0.01, step=0.01)

// ===== Parameters for Allowing Trade Directions =====
allowLong  = input.bool(true,  "Allow LONG")
allowShort = input.bool(true,  "Allow SHORT")

// Supertrend Calculation
[supertrend, direction] = ta.supertrend(factor, atrPeriod)
// Set the value to na for the first bar to avoid false signals
supertrend := barstate.isfirst ? na : supertrend

// Plot Supertrend Lines
plot(direction < 0 ? supertrend : na, "Up Trend",   color=color.green, style=plot.style_linebr)
plot(direction < 0 ? na : supertrend, "Down Trend", color=color.red,   style=plot.style_linebr)

// ===== Parameters and Calculation for DEMA =====
demaLength = input.int(100, "DEMA Length", minval=1)
e1 = ta.ema(close, demaLength)
e2 = ta.ema(e1, demaLength)
dema = 2 * e1 - e2

// Plot DEMA
plot(dema, "DEMA", color=#43A047)

// ===== Signal Definitions =====
// Basic Supertrend Trend Change Signals
trendUp   = ta.crossover(close, supertrend)
trendDown = ta.crossunder(close, supertrend)

// Entry Signals considering DEMA
longSignal  = trendUp and (close > dema)
shortSignal = trendDown and (close < dema)

// ===== Entry/Exit Logic =====

// LONG Signal
if (longSignal)
    // If there is an open SHORT position – reverse it to LONG if allowed
    if (strategy.position_size < 0)
        if (allowLong)
            strategy.close("Short")
            strategy.entry("Long", strategy.long)
        else
            // If reversal to LONG is not allowed – just close SHORT
            strategy.close("Short")
    // If there is no position – open LONG if allowed
    else if (strategy.position_size == 0)
        if (allowLong)
            strategy.entry("Long", strategy.long)

// SHORT Signal
if (shortSignal)
    // If there is an open LONG position – reverse it to SHORT if allowed
    if (strategy.position_size > 0)
        if (allowShort)
            strategy.close("Long")
            strategy.entry("Short", strategy.short)
        else
            // If reversal to SHORT is not allowed – just close LONG
            strategy.close("Long")
    // If there is no position – open SHORT if allowed
    else if (strategy.position_size == 0)
        if (allowShort)
            strategy.entry("Short", strategy.short)

// ===== Additional Position Closure on Trend Change without Entry =====
// If Supertrend crosses (trend change) but DEMA conditions are not met,
// close the opposite position if open.
if (trendUp and not longSignal and strategy.position_size < 0)
    strategy.close("Short")

if (trendDown and not shortSignal and strategy.position_size > 0)
    strategy.close("Long")

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