布林带结合快速与慢速移动平均线的多维趋势强化量化交易策略

/*backtest
start: 2024-04-02 00:00:00
end: 2025-04-01 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("BTC Bollinger Bands w Fast and Slow SMAs", overlay=true, commission_value=0.1, slippage=3, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

length = input.int(21, minval=1)
fastSmaLength = input.int(6, title="Fast SMA Length", minval=1)  // Fast SMA with default 20
slowSmaLength = input.int(45, title="Slow SMA Length", minval=1)  // Slow SMA with default 60
maType = input.string("SMA", "Basis MA Type", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])
src = input(close, title="Source")
mult = input.float(2.0, minval=0.001, maxval=50, title="StdDev")

// Calculate SMAs dynamically
fastSma = ta.sma(src, fastSmaLength)  // Fast SMA
slowSma = ta.sma(src, slowSmaLength)  // Slow SMA

// Bollinger Bands Calculation
ma(source, length, _type) =>
    switch _type
        "SMA" => ta.sma(source, length)
        "EMA" => ta.ema(source, length)
        "SMMA (RMA)" => ta.rma(source, length)
        "WMA" => ta.wma(source, length)
        "VWMA" => ta.vwma(source, length)

basis = ma(src, length, maType)
dev = mult * ta.stdev(src, length)
upper = basis + dev
lower = basis - dev

offset = input.int(0, "Offset", minval=-500, maxval=500)

// Plotting the bands, basis, and both dynamic SMAs
plot(basis, "Basis", color=#2962FF, offset=offset)
p1 = plot(upper, "Upper", color=#F23645, offset=offset)
p2 = plot(lower, "Lower", color=#089981, offset=offset)
plot(fastSma, "Fast SMA", color=color.orange, offset=offset)  // Plot the Fast SMA
plot(slowSma, "Slow SMA", color=color.blue, offset=offset)  // Plot the Slow SMA
fill(p1, p2, title="Background", color=color.rgb(33, 150, 243, 95))

// Strategy logic: Open long position when the price closes above the upper Bollinger Band, 
// the price is above the Slow SMA, and the Fast SMA is above the Slow SMA

// Condition to open a long position:
// 1. Price closes above the upper Bollinger Band
// 2. Price is above the Slow SMA
// 3. Fast SMA is above Slow SMA
if (close > upper and close > slowSma and fastSma > slowSma)
    // Open Long position on the next candle's open
    strategy.entry("Long", strategy.long)  // Open Long on the current candle

// Condition to close the long position: previous close below the lower Bollinger Band or Fast SMA is below Slow SMA
if (close < lower or fastSma < slowSma)
    // Close Long on the next candle's open
    strategy.close("Long")  // Close Long on the next bar's open

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