逆势突破交易系统：基于多日价格模式与波动率过滤的量化策略

/*backtest
start: 2024-02-25 00:00:00
end: 2024-12-14 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/


//@version=6
strategy("3 Red / 3 Green Strategy with Volatility Check", overlay=true, initial_capital=100000, currency=currency.USD)

// Input parameters
maxTradeDuration = input.int(title="Maximum Trade Duration (days)", defval=22, minval=1)
useGreenExit   = input.bool(title="Use 3 Green Days Exit", defval=true, tooltip = "Exit condition: either 3 consecutive green days (if enabled) or if the trade duration reaches maxTradeDuration days.")
atrPeriod      = input.int(title="ATR Period", defval=12, minval=0, step=1, tooltip="Use zero to disable ATR filter")

// Define red and green days based on open vs close prices
redDay   = close < open
greenDay = close > open

// Conditions: 3 consecutive red days trigger an entry; 3 consecutive green days trigger an exit.
threeRed   = redDay and redDay[1] and redDay[2]
threeGreen = greenDay and greenDay[1] and greenDay[2]

var float currentATR = 0.0
var float averageATR = 0.0
var bool atr_entry = true

// Calculate ATR and its 30-day average
if(atrPeriod>0)
    currentATR := ta.atr(atrPeriod)
    averageATR := ta.sma(currentATR, 30)

atr_entry := (currentATR > 0 and averageATR > 0) ? (currentATR > averageATR) : true
// Persistent variable to record the bar index when the trade is entered.
var int entryBarIndex = na

// Entry: When no position is open, 3 consecutive red days occur, and current ATR is above its 30-day average, enter a long trade.
if (strategy.position_size == 0 and threeRed and atr_entry)
    strategy.entry("Long", strategy.long)
    entryBarIndex := bar_index

// Compute trade duration in days using the absolute difference
tradeDuration = not na(entryBarIndex) ? math.abs(bar_index - entryBarIndex) : 0

// Exit condition: either 3 consecutive green days (if enabled) or if the trade duration reaches maxTradeDuration days.
exitCondition = (useGreenExit and threeGreen) or (tradeDuration >= maxTradeDuration)

if (strategy.position_size > 0 and exitCondition)
    strategy.close("Long")

// Reset the entry bar index when a trade just closed.
if (strategy.position_size[1] > 0 and strategy.position_size == 0)
    entryBarIndex := na

// Optional: Plot signals and ATR values for visual confirmation.
plotshape(threeRed, title="Entry Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.tiny)
plotshape(threeGreen, title="Green Exit Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.tiny)
plot(currentATR, title="Current ATR", color=color.blue)
plot(averageATR, title="30-Day Average ATR", color=color.orange)

• AlphaTrend
• 多重趋势线突破交叉量化策略
• ATR均线突破策略
• 多重均线支撑位假突破策略结合ATR止损系统
• Follow Line Indicator
• 双均线均值回归策略结合风险控制
• Supertrend+4moving
• Concept Dual SuperTrend
• ATR和交易量结合的动态信号线趋势跟踪策略
• 日内可扩展波动率交易策略

• 增强型十字星烛台趋势反转量化交易策略
• 多周期超级趋势百分比风控策略
• 高级趋势捕捉型均线交叉多指标确认交易策略
• 多维度自适应趋势追踪与风险管理策略
• 多指标加权智能交易策略
• 波动率过滤双均线交叉高夏普比策略
• 双均线波动率自适应交易策略与多级利润优化系统
• 指数移动均线烛台停止交易策略
• 双均线交叉与随机指标结合的自适应追踪止损策略
• 布林带风险管理的看涨吞没策略量化交易系统
• 交叉动能趋势跟踪策略:SMA-RSI交叉动量系统
• 动态RSI与PSAR交叉策略结合风险管理系统
• 动态均线趋势跟踪与波动率自适应纳斯达克期货交易策略
• 双指数移动平均线趋势跟踪与分步退出交易策略
• 基于动量增强型简单移动平均线和RSI的趋势跟踪策略
• 移动平均线交叉趋势跟踪策略
• 多均线趋势动量交叉交易系统
• 基于会话VWMA的日内合成期权策略:多空信号自适应交易系统
• 多重均线成交量净值震荡趋势转换交易策略
• 基于RSI动量指标的自适应交易策略