自适应网格交易策略与动态调整机制

//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 https://mozilla.org/MPL/2.0/
// ©mvs1231 || xxattaxx

strategy(title='Grid Bot Auto Strategy', shorttitle='GridBot', initial_capital = 100000, overlay=true, pyramiding=4,  default_qty_type = strategy.fixed, default_qty_value = 0, commission_value = 0.04, commission_type = strategy.commission.percent, margin_long = 0, margin_short = 0, process_orders_on_close = true)
//----<User Inputs>------------------------------------------------------------------------------//
iLen = input.int(7, 'Smoothing Length(7)', minval=1)
iMA = input.string('lreg', 'Smoothing Type', options=['lreg', 'sma', 'ema', 'vwma', 'tema'])
iLZ = input.float(4.0, 'Laziness(4%)', step=.25) / 100
iELSTX = input(50.0, 'Elasticity(50)')
iGI = input.float(2.0, 'Grid Interval(2%)', step=.25) / 100
iGrids = input.int(6, 'Number of Grids', options=[2, 4, 6, 8])
iCool = input.int(2, 'Cooldown(2)', minval=0)
iDir = input.string('neutral', 'Direction', options=['neutral', 'up', 'down'])
iGT = input.int(70, 'Grid Line Transparency(100 to hide)', minval=0, maxval=100)
iFT = input.int(90, 'Fill Transparency(100 to hide)', minval=0, maxval=100)
iSS = input.string('small', 'Signal Size', options=['small', 'large'])
iReset = input(true, 'Reset Buy/Sell Index When Grids Change')
iEXTR = input(true, 'Use Highs/Lows for Signals')
iMT = input(true, 'Show Min Tick')
iRFC = input(false, 'Reverse Fill Colors')
qty_ent = iGrids/2 
qty_pos = strategy.initial_capital / qty_ent / 2 / open
//----<Colors>-----------------------------------------------------------------------------------//
RedGrid = color.new(color.red, iGT)
GreenGrid = color.new(color.green, iGT)
Crimson = #DC143C
LimeGreen = #32CD32
//----<Variables>--------------------------------------------------------------------------------//
NextUP = 0.0
NextDN = 0.0
LastSignal = 0
LastSignal_Index = 0
AP = 0.0
G = iGrids
Buy = false
Sell = false
UpperLimit = 0.0
LowerLimit = 0.0
SignalLine = 0.0
CurrentGrid = 0.0
BuyLine = 0.0
SellLine = 0.0
DIR = 0
MeaningOfLife = 42
//----<Calculations>-----------------------------------------------------------------------------//
//Lazy Formula
lz(x, lzf) =>
    LZ = 0.0
    s = math.sign(x)
    LZ := x == nz(x[1], x) ? x : x > nz(LZ[1] + lzf * LZ[1] * s, x) ? x : x < nz(LZ[1] - lzf * LZ[1] * s, x) ? x : LZ[1]
    LZ
//Smoothing
LR = ta.linreg(close, iLen, 0)
SMA = ta.sma(close, iLen)
EMA = ta.ema(close, iLen)
VWMA = ta.vwma(close, iLen)
TEMA = ta.ema(ta.ema(ta.ema(close, iLen), iLen), iLen)
MA = iMA == 'lreg' ? LR : iMA == 'sma' ? SMA : iMA == 'ema' ? EMA : iMA == 'vwma' ? VWMA : TEMA
//Make Lazy
LMA = lz(MA, iLZ)
//Calculate Elasticity
ELSTX = syminfo.mintick * iELSTX
//Show Mintick
if iMT and barstate.islast
    table.cell(table.new(position.top_right, 1, 1), 0, 0, str.tostring(syminfo.mintick))
//Anchor Point
AP := MA > LMA ? AP[1] + ELSTX : MA < LMA ? AP[1] - ELSTX : AP[1]
AP := AP >= NextUP[1] ? NextUP[1] : AP
AP := AP <= NextDN[1] ? NextDN[1] : AP
//Reset if Next Level Reached or AP is crossed
AP := LMA != LMA[1] ? LMA : AP
//Next Gridlines
NextUP := LMA != LMA[1] ? LMA + LMA * iGI : NextUP[1]
NextDN := LMA != LMA[1] ? LMA - LMA * iGI : NextDN[1]
//Grid Interval
GI = AP * iGI
//----<Grid Array>-------------------------------------------------------------------------------//
a_grid = array.new_float(9)
for x = -4 to 4 by 1
    array.set(a_grid, x + 4, AP + GI * x)
Get_Array_Values(ArrayName, index) =>
    value = array.get(ArrayName, index)
    value
//----<Set Static Grids>-------------------------------------------------------------------------//
G0 = Get_Array_Values(a_grid, 0)  //Upper4
G1 = Get_Array_Values(a_grid, 1)  //Upper3
G2 = Get_Array_Values(a_grid, 2)  //Upper2
G3 = Get_Array_Values(a_grid, 3)  //Upper1
G4 = Get_Array_Values(a_grid, 4)  //Center
G5 = Get_Array_Values(a_grid, 5)  //Lower1
G6 = Get_Array_Values(a_grid, 6)  //Lower2
G7 = Get_Array_Values(a_grid, 7)  //Lower3
G8 = Get_Array_Values(a_grid, 8)  //Lower4
//----<Set Upper and Lower Limits>---------------------------------------------------------------//
UpperLimit := G >= 8 ? G8 : G >= 6 ? G7 : G >= 4 ? G6 : G5
LowerLimit := G >= 8 ? G0 : G >= 6 ? G1 : G >= 4 ? G2 : G3
//----<Calculate Signals>------------------------------------------------------------------------//
Get_Signal_Index() =>
    Value = 0.0
    Buy_Index = 0
    Sell_Index = 0
    start = 4 - G / 2
    end = 4 + G / 2
    for x = start to end by 1
        Value := Get_Array_Values(a_grid, x)
        if iEXTR
            Sell_Index := low[1] < Value and high >= Value ? x : Sell_Index
            Buy_Index := high[1] > Value and low <= Value ? x : Buy_Index
            Buy_Index
        else
            Sell_Index := close[1] < Value and close >= Value ? x : Sell_Index
            Buy_Index := close[1] > Value and close <= Value ? x : Buy_Index
            Buy_Index
    [Buy_Index, Sell_Index]
[BuyLine_Index, SellLine_Index] = Get_Signal_Index()
//----<Signals>----------------------------------------------------------------------------------//
Buy := BuyLine_Index > 0 ? true : Buy
Sell := SellLine_Index > 0 ? true : Sell
//No repeat trades at current level                                                                                     
Buy := low >= SignalLine[1] - GI ? false : Buy
Sell := high <= SignalLine[1] + GI ? false : Sell
//No trades outside of grid limits
Buy := close > UpperLimit ? false : Buy
Buy := close < LowerLimit ? false : Buy
Sell := close < LowerLimit ? false : Sell
Sell := close > UpperLimit ? false : Sell
//Direction Filter (skip one signal if against market direction)
DIR := iDir == 'up' ? 1 : iDir == 'down' ? -1 : 0
Buy := DIR == -1 and low >= SignalLine[1] - GI * 2 ? false : Buy
Sell := DIR == 1 and high <= SignalLine[1] + GI * 2 ? false : Sell
//Conflicting Signals
if Buy and Sell
    Buy := false
    Sell := false
    LastSignal_Index := LastSignal_Index[1]
    LastSignal_Index
//----<Cooldown>---------------------------------------------------------------------------------//
y = 0
for i = 1 to iCool by 1
    if Buy[i] or Sell[i]
        y := 0
        break
    y += 1
    y
CoolDown = y
Buy := CoolDown < iCool ? false : Buy
Sell := CoolDown < iCool ? false : Sell
//----<Trackers>---------------------------------------------------------------------------------//
LastSignal := Buy ? 1 : Sell ? -1 : LastSignal[1]
LastSignal_Index := Buy ? BuyLine_Index : Sell ? SellLine_Index : LastSignal_Index[1]
SignalLine := Get_Array_Values(a_grid, LastSignal_Index)
//Reset to Center Grid when LMA changes
if iReset
    SignalLine := LMA < LMA[1] ? UpperLimit : SignalLine
    SignalLine := LMA > LMA[1] ? LowerLimit : SignalLine
    SignalLine
BuyLine := Get_Array_Values(a_grid, BuyLine_Index)
SellLine := Get_Array_Values(a_grid, SellLine_Index)
//----<Plot Grids>--------------------------//
color apColor = na
apColor := MA < AP ? color.new(color.red, iGT) : MA > AP ? color.new(color.green, iGT) : apColor[1]
apColor := LMA != LMA[1] ? na : apColor
plot(G >= 8 ? G0 : na, color=GreenGrid)
plot(G >= 6 ? G1 : na, color=GreenGrid)
plot(G >= 4 ? G2 : na, color=GreenGrid)
plot(G >= 2 ? G3 : na, color=GreenGrid)
plot(G4, color=apColor, linewidth=4)  // Center
plot(G >= 2 ? G5 : na, color=RedGrid)
plot(G >= 4 ? G6 : na, color=RedGrid)
plot(G >= 6 ? G7 : na, color=RedGrid)
plot(G >= 8 ? G8 : na, color=RedGrid)
//fill 
LineAbove = SignalLine == UpperLimit ? SignalLine : SignalLine + GI
LineBelow = SignalLine == LowerLimit ? SignalLine : SignalLine - GI
a = plot(LineAbove, color=color.new(color.red, 100), style=plot.style_circles)
b = plot(LineBelow, color=color.new(color.green, 100), style=plot.style_circles)
boxColor = LastSignal == 1 ? color.new(color.green, iFT) : color.new(color.red, iFT)
if iRFC
    boxColor := LastSignal == -1 ? color.new(color.green, iFT) : color.new(color.red, iFT)
    boxColor
fill(a, b, color=boxColor)
//----<Plot Signals>-----------------------------------------------------------------------------//
plotchar(Buy and iSS == 'small', 'Buy', color=color.new(LimeGreen, 0), size=size.tiny, location=location.belowbar, char='▲')
plotchar(Sell and iSS == 'small', 'Sell', color=color.new(Crimson, 0), size=size.tiny, location=location.abovebar, char='▼')
plotchar(Buy and iSS == 'large', 'Buy', color=color.new(LimeGreen, 0), size=size.small, location=location.belowbar, char='▲')
plotchar(Sell and iSS == 'large', 'Sell', color=color.new(Crimson, 0), size=size.small, location=location.abovebar, char='▼')
//----<Alerts>-----------------------------------------------------------------------------------//
alertcondition(condition=Buy, title='buy', message='buy')
alertcondition(condition=Sell, title='sell', message='sell')
//-----------------------------------------------------------------------------------------------//
if strategy.position_size >= 0 and Buy
    strategy.entry("Long", strategy.long, qty = qty_pos)
if strategy.position_size <= 0 and Sell
    strategy.entry("Short", strategy.short, qty = qty_pos)

if strategy.position_size > 0 and Sell
    strategy.close("Long", qty = qty_pos)

if strategy.position_size < 0 and Buy
    strategy.close("Short", qty = qty_pos)

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