多指标确认动态追踪突破量化交易策略

/*backtest
start: 2024-03-24 00:00:00
end: 2025-03-23 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/

//@version=6
strategy("MomentumBreakout V1.2 - DOGE/USDT", overlay=true, margin_long=20, margin_short=20)

// === Core Parameters ===
emaFast = input.int(15, "Fast EMA Length", minval=10, maxval=50)
emaSlow = input.int(40, "Slow EMA Length", minval=20, maxval=100)
atrPeriod = input.int(14, "ATR Period", minval=1, maxval=50)
riskPct = input.float(0.5, "Risk Per Trade (%)", minval=0.1, maxval=5.0, step=0.1)
baseLeverage = input.float(5.0, "Base Leverage", minval=1.0, maxval=20.0, step=0.5)
feeRate = input.float(0.1, "Fee Rate (%)", minval=0.0, maxval=1.0, step=0.01)
maxHoldBars = input.int(72, "Max Hold Bars (12H)", minval=1, maxval=1000)
rsiPeriod = input.int(14, "RSI Period", minval=5, maxval=50)
macdFast = input.int(12, "MACD Fast Length", minval=5, maxval=50)
macdSlow = input.int(26, "MACD Slow Length", minval=5, maxval=50)
macdSignal = input.int(9, "MACD Signal Length", minval=1, maxval=50)

// === Calculate Indicators ===
// EMA (10m)
emaFastValue = ta.ema(close, emaFast)
emaSlowValue = ta.ema(close, emaSlow)

// ATR
atrValue = ta.atr(atrPeriod)

// RSI (10m and 1H)
rsiValue = ta.rsi(close, rsiPeriod)
rsiValue_1h = request.security(syminfo.tickerid, "60", ta.rsi(close, rsiPeriod)[1], barmerge.gaps_off)

// MACD (1H)
[macdLine_1h, signalLine_1h, _] = request.security(syminfo.tickerid, "60", ta.macd(close, macdFast, macdSlow, macdSignal), barmerge.gaps_off)
macdLine_1h := macdLine_1h[1]
signalLine_1h := signalLine_1h[1]

// Trend Confirmation
trendUp_1h = emaFastValue > emaSlowValue and rsiValue_1h > 50 and macdLine_1h > signalLine_1h
trendDown_1h = emaFastValue < emaSlowValue
breakoutLong = ta.crossover(close, emaFastValue) and trendUp_1h and close > ta.sma(close, 20) and not na(emaFastValue)
breakoutShort = ta.crossunder(close, emaSlowValue) and trendDown_1h and atrValue > ta.sma(atrValue, 14) and not na(emaSlowValue)
noActivePosition = strategy.position_size == 0

// === Dynamic Position Sizing ===
equity = strategy.equity
riskAmount = equity * (riskPct / 100)
stopDistance = atrValue * 1.2  // Tightened to 1.2x ATR
leverage = baseLeverage * math.min(1.0, 1.0 / (atrValue / close))
positionSize = math.round((riskAmount / stopDistance) * leverage)

// === Trailing Stop ===
var float longStopPrice = 0.0
var float shortStopPrice = 0.0
var int entryBarIndex = 0

if breakoutLong
    longStopPrice := close - (atrValue * 1.2)
    entryBarIndex := bar_index

if breakoutShort
    shortStopPrice := close + (atrValue * 1.2)
    entryBarIndex := bar_index

if strategy.position_size > 0
    longStopPrice := math.max(longStopPrice, close - (atrValue * 0.5))
if strategy.position_size < 0
    shortStopPrice := math.min(shortStopPrice, close + (atrValue * 0.5))

// === Time-based Exit ===
barsSinceEntry = bar_index - entryBarIndex
if strategy.position_size != 0 and barsSinceEntry >= maxHoldBars
    strategy.close_all(comment="Time Exit")

// === Strategy Execution ===
if breakoutLong and noActivePosition
    strategy.entry("Long", strategy.long, qty=positionSize)
    strategy.exit("Long Exit", "Long", stop=longStopPrice, qty_percent=100, comment="Long Exit")

if breakoutShort and noActivePosition
    strategy.entry("Short", strategy.short, qty=positionSize)
    strategy.exit("Short Exit", "Short", stop=shortStopPrice, qty_percent=100, comment="Short Exit")

// === Fee Calculation ===
feeCost = positionSize * close * (feeRate / 100) * 2

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