VWMA-EMA均线交叉马丁格尔策略:渐进式增仓优化量化交易系统

/*backtest
start: 2024-03-04 00:00:00
end: 2025-03-03 08:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// VWMA-EMA Martingale Long Strategy
// @version=5
strategy("VWMA-EMA Martingale Long Strategy", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// Parameter settings
vwmaLength = input.int(100, "VWMA Period", minval=1)
emaLength = input.int(200, "EMA Period", minval=1)
profitPercent = input.float(1.0, "Take Profit (%)", minval=0.1, step=0.1)
maxMartingaleEntries = input.int(7, "Max Martingale Entries", minval=1, maxval=10)
martingaleMultiplier = input.float(2.0, "Martingale Multiplier", minval=1.1, step=0.1)
initialPositionSize = input.float(10.0, "Initial Position Size (%)", minval=1.0, maxval=100.0, step=1.0)

// Indicator calculations
vwma100 = ta.vwma(close, vwmaLength)
ema200 = ta.ema(close, emaLength)

// Plot indicators
plot(vwma100, "VWMA 100", color=color.blue, linewidth=2)
plot(ema200, "EMA 200", color=color.red, linewidth=2)

// Entry conditions - modified!
vwmaAboveEma = vwma100 > ema200  // VWMA and EMA in bullish alignment
vwmaCrossover = ta.crossover(close, vwma100)  // Close crosses above VWMA

// Variables for managing Martingale state
var int martingaleCount = 0
var float entryPrice = 0.0
var float averageEntryPrice = 0.0
var float totalQuantity = 0.0
var float totalCost = 0.0
var bool inPosition = false
var float positionSize = initialPositionSize

// Long entry condition - modified!
longCondition = vwmaAboveEma and vwmaCrossover and martingaleCount < maxMartingaleEntries

// Take profit condition
takeProfitCondition = inPosition and close >= averageEntryPrice * (1 + profitPercent / 100)

// Additional entry conditions (Martingale)
// Fibonacci-based drop percentage (1%, 2%, 3%, 6%, 12%, 24%)
getFibDropPercent(count) =>
    if count == 1
        1.0  // 1% drop
    else if count == 2
        2.0  // 2% drop
    else if count == 3
        3.0  // 3% drop
    else if count == 4
        6.0  // 6% drop
    else if count == 5
        12.0  // 12% drop
    else if count == 6
        24.0  // 24% drop
    else
        100.0  // High value (failsafe)

// Calculate drop threshold for the current Martingale step
currentDropPercent = getFibDropPercent(martingaleCount)
dropThreshold = entryPrice * (1 - currentDropPercent / 100)

// Define additional buy conditions
martingaleAddCondition = inPosition and close < dropThreshold and martingaleCount < maxMartingaleEntries

// Order execution
if (longCondition and not inPosition)
    // Initial entry
    entryPrice := close
    averageEntryPrice := close
    totalQuantity := strategy.equity * positionSize / 100 / close
    totalCost := totalQuantity * close
    martingaleCount := 1
    inPosition := true
    strategy.entry("Long #" + str.tostring(martingaleCount), strategy.long, qty=totalQuantity)
    positionSize := initialPositionSize

if (martingaleAddCondition)
    // Martingale additional buy
    martingaleCount := martingaleCount + 1
    positionSize := positionSize * martingaleMultiplier
    
    // Calculate additional quantity
    additionalQuantity = strategy.equity * positionSize / 100 / close
    
    // Recalculate average entry price
    totalQuantity := totalQuantity + additionalQuantity
    totalCost := totalCost + (additionalQuantity * close)
    averageEntryPrice := totalCost / totalQuantity
    entryPrice := close
    
    // Place additional buy order
    strategy.entry("Long #" + str.tostring(martingaleCount), strategy.long, qty=additionalQuantity)

if (takeProfitCondition)
    // Take profit
    strategy.close_all("Take Profit +1%")
    martingaleCount := 0
    inPosition := false
    positionSize := initialPositionSize

// Display current status in a table
var table statusTable = table.new(position.top_right, 2, 9, bgcolor = color.new(color.black, 70))

// Table update function
updateTable() =>
    table.cell(statusTable, 0, 0, "Status", text_color = color.white, bgcolor = color.new(color.blue, 90))
    table.cell(statusTable, 1, 0, inPosition ? "In Position" : "No Position", text_color = inPosition ? color.green : color.white)
    
    table.cell(statusTable, 0, 1, "Martingale Count", text_color = color.white)
    table.cell(statusTable, 1, 1, str.tostring(martingaleCount) + "/" + str.tostring(maxMartingaleEntries), text_color = color.white)
    
    table.cell(statusTable, 0, 2, "Avg Entry Price", text_color = color.white)
    table.cell(statusTable, 1, 2, inPosition ? str.tostring(averageEntryPrice, "#.##") : "-", text_color = color.white)
    
    table.cell(statusTable, 0, 3, "Current Profit", text_color = color.white)
    if inPosition
        currentProfit = (close - averageEntryPrice) / averageEntryPrice * 100
        profitColor = currentProfit >= 0 ? color.green : color.red
        table.cell(statusTable, 1, 3, str.tostring(currentProfit, "#.##") + "%", text_color = profitColor)
    else
        table.cell(statusTable, 1, 3, "-", text_color = color.white)
    
    table.cell(statusTable, 0, 4, "Take Profit Target", text_color = color.white)
    table.cell(statusTable, 1, 4, inPosition ? str.tostring(averageEntryPrice * (1 + profitPercent / 100), "#.##") : "-", text_color = color.white)
    
    table.cell(statusTable, 0, 5, "Total Quantity", text_color = color.white)
    table.cell(statusTable, 1, 5, inPosition ? str.tostring(totalQuantity, "#.##") : "-", text_color = color.white)
    
    table.cell(statusTable, 0, 6, "Next Buy Size", text_color = color.white)
    table.cell(statusTable, 1, 6, inPosition ? str.tostring(positionSize, "#.##") + "%" : "-", text_color = color.white)
    
    // Display next buy trigger price
    table.cell(statusTable, 0, 7, "Next Buy Trigger", text_color = color.white)
    if inPosition and martingaleCount < maxMartingaleEntries
        nextDropPercent = getFibDropPercent(martingaleCount)
        nextTriggerPrice = entryPrice * (1 - nextDropPercent / 100)
        table.cell(statusTable, 1, 7, str.tostring(nextTriggerPrice, "#.##") + " (" + str.tostring(nextDropPercent) + "%↓)", text_color = color.orange)
    else
        table.cell(statusTable, 1, 7, "-", text_color = color.white)
        
    // Display bullish alignment status
    table.cell(statusTable, 0, 8, "Bullish Alignment", text_color = color.white)
    table.cell(statusTable, 1, 8, vwmaAboveEma ? "Bullish ✓" : "Bearish ✗", text_color = vwmaAboveEma ? color.green : color.red)

// Update the table on every bar
updateTable()

// Entry/Take profit markers
plotshape(series=longCondition and not inPosition[1], title="Long Entry", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(series=takeProfitCondition, title="Take Profit", location=location.abovebar, color=color.blue, style=shape.triangledown, size=size.small)
plotshape(series=martingaleAddCondition, title="Martingale Add", location=location.belowbar, color=color.yellow, style=shape.circle, size=size.tiny)

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