多层级布林带趋势跟踪与反转交易策略

/*backtest
start: 2024-04-01 00:00:00
end: 2025-03-31 00:00:00
period: 6d
basePeriod: 6d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Bollinger Bands Strategy", overlay=true)

// 輸入參數
length = input.int(20, "BB Length", minval=1, group="布林帶設定")
mult = input.float(2.0, "BB Multiplier", minval=0.001, maxval=50, group="布林帶設定")
X = input.int(3, "Exit Condition 1 Bars (X)", minval=1, group="出場設定")
Y = input.int(10, "Exit Condition 2 Bars (Y)", minval=1, group="出場設定")
Z = input.float(30.0, "Trail Profit Retreat Z%", minval=1.0, maxval=100.0, step=1.0, group="出場設定")

// 計算布林帶
source = close
basis = ta.sma(source, length)          // 20 期均線
dev = mult * ta.stdev(source, length)   // 標準差
upper = basis + dev                     // 上緣
lower = basis - dev                     // 下緣
mid1 = upper - (upper - basis)/3
mid2 = lower + (basis - lower)/3

// 繪製布林帶
plot(basis, "Basis", color=color.gray)
plot(upper, "Upper", color=color.blue)
plot(lower, "Lower", color=color.blue)
plot(mid1,"mid1",color = color.yellow)
plot(mid2,"mid2",color = color.yellow)
//fill(upper, lower, color=color.new(color.blue, 90), title="BB Fill")

// 進場條件
longEntry = ta.crossover(source, lower) or (low < lower and close > lower)
shortEntry = ta.crossunder(source, upper) or (high > upper and close < upper)

// 進場執行
if (longEntry)
    strategy.entry("Long", strategy.long)

if (shortEntry)
    strategy.entry("Short", strategy.short)

// 出場條件變數
var float longEntryPrice = na
var float shortEntryPrice = na
var int longBarsSinceEntry = 0
var int shortBarsSinceEntry = 0

// 更新持倉狀態
if (strategy.position_size > 0)  // 做多持倉
    if (na(longEntryPrice))      // 記錄進場價格和起始計數
        longEntryPrice := strategy.position_avg_price
        longBarsSinceEntry := 0
    longBarsSinceEntry := longBarsSinceEntry + 1

if (strategy.position_size < 0)  // 做空持倉
    if (na(shortEntryPrice))
        shortEntryPrice := strategy.position_avg_price
        shortBarsSinceEntry := 0
    shortBarsSinceEntry := shortBarsSinceEntry + 1

// 做多出場條件
if (strategy.position_size > 0)
    // 條件 1：第 X 根 K 線後，收盤價 < lower + (basis - lower) / 3
    longExitLevel1 = lower + (basis - lower) / 3
    if (longBarsSinceEntry >= X and close < longExitLevel1)
        strategy.close("Long", comment="Long Exit Condition 1")
    
    // 條件 2：第 Y 根 K 線後，收盤價 < basis
    if (longBarsSinceEntry >= Y and close < basis)
        strategy.close("Long", comment="Long Exit Condition 2")
    
    // 條件 3：移動停利（收盤價 > upper 觸發）
    distanceLong = longEntryPrice - lower
    trailPriceLong = longEntryPrice + (distanceLong * 2)  // 假設 2 倍風險距離作為觸發點，可調整
    trailOffsetLong = distanceLong * (1 - Z / 100)
    strategy.exit("Long Trail", "Long", trail_price=trailPriceLong, trail_offset=trailOffsetLong)

// 做空出場條件
if (strategy.position_size < 0)
    // 條件 1：第 X 根 K 線後，收盤價 > upper - (upper - basis) / 3
    shortExitLevel1 = upper - (upper - basis) / 3
    if (shortBarsSinceEntry >= X and close > shortExitLevel1)
        strategy.close("Short", comment="Short Exit Condition 1")
    
    // 條件 2：第 Y 根 K 線後，收盤價 > basis
    if (shortBarsSinceEntry >= Y and close > basis)
        strategy.close("Short", comment="Short Exit Condition 2")
    
    // 條件 3：移動停利（收盤價 < lower 觸發）
    distanceShort = upper - shortEntryPrice
    trailPriceShort = shortEntryPrice - (distanceShort * 2)  // 假設 2 倍風險距離作為觸發點，可調整
    trailOffsetShort = distanceShort * (1 - Z / 100)
    strategy.exit("Short Trail", "Short", trail_price=trailPriceShort, trail_offset=trailOffsetShort)

// 清除變數（當持倉結束時）
if (strategy.position_size == 0)
    longEntryPrice := na
    shortEntryPrice := na
    longBarsSinceEntry := 0
    shortBarsSinceEntry := 0

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