多周期开盘区间突破策略(限价入场)与自动止盈止损管理系统

/*backtest
start: 2025-04-01 00:00:00
end: 2025-04-08 00:00:00
period: 4m
basePeriod: 4m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Opening Range Breakout (Limit Entry)", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === Parameters ===
startHour = 9
startMinute = 30
endHour = 9
endMinute = 35
closeHour = 15
closeMinute = 55

// Take Profit Multiplier
tpMultiplier = input.float(2.0, title="Take Profit Multiplier", step=0.1)

// === Time Filters ===
sessionStart = timestamp("America/New_York", year, month, dayofmonth, startHour, startMinute)
sessionEnd = timestamp("America/New_York", year, month, dayofmonth, endHour, endMinute)
closeTime = timestamp("America/New_York", year, month, dayofmonth, closeHour, closeMinute)
barTime = time

inOpeningRange = barTime >= sessionStart and barTime <= sessionEnd
rangeLockedTime = barTime > sessionEnd
exitTime = (time_close == timestamp("America/New_York", year, month, dayofmonth, closeHour, closeMinute))

// === Session Day Tracking ===
var int sessionKey = na
currentKey = year * 10000 + month * 100 + dayofmonth
newDay = na(sessionKey) or sessionKey != currentKey
if newDay
    sessionKey := currentKey

// === Opening Range and State Variables ===
var float openingHigh = na
var float openingLow = na
var bool directionSet = false
var bool directionUp = false
var float entryPrice = na
var float stop = na
var float target = na
var float interimMax = na
var float interimMin = na
var bool orderPlaced = false
var bool rangeLocked = false
var int rangeStartIndex = na

// === Daily Reset & Opening Range Update ===
if newDay
    openingHigh := na
    openingLow := na
    directionSet := false
    directionUp := false
    entryPrice := na
    stop := na
    target := na
    interimMax := na
    interimMin := na
    orderPlaced := false
    rangeLocked := false
    rangeStartIndex := na

if inOpeningRange and not rangeLocked
    openingHigh := na(openingHigh) ? high : openingHigh
    openingLow := na(openingLow) ? low : openingLow
    rangeStartIndex := na(rangeStartIndex) ? bar_index : rangeStartIndex

// === Lock the range after the window ===
if rangeLockedTime and not rangeLocked and not na(openingHigh) and not na(openingLow)
    rangeLocked := true

// === Detect first candle fully outside the opening range ===
outOfRange = rangeLocked and not directionSet and ((low > openingHigh and high > openingHigh) or (high < openingLow and low < openingLow))

if outOfRange
    directionUp := low > openingHigh
    directionSet := true

// === Entry Setup ===
var box tradeBox = na

if directionSet and not orderPlaced
    interimMax := high
    interimMin := low
    if directionUp
        entryPrice := openingHigh
        stop := openingLow
        target := entryPrice + tpMultiplier * (entryPrice - stop)
        if interimMax > target
            target := interimMax
        strategy.entry("Long", strategy.long, limit=entryPrice)
        strategy.exit("TP/SL", from_entry="Long", limit=target, stop=stop)
        orderPlaced := true
    else
        entryPrice := openingLow
        stop := openingHigh
        target := entryPrice - tpMultiplier * (stop - entryPrice)
        if interimMin < target
            target := interimMin
        strategy.entry("Short", strategy.short, limit=entryPrice)
        strategy.exit("TP/SL", from_entry="Short", limit=target, stop=stop)
        orderPlaced := true

// === Exit near end of day ===
if exitTime and orderPlaced
    strategy.close_all(comment="EOD Close")

// === Plotting ===
plot(openingHigh, color=color.green, title="Opening High")
plot(openingLow, color=color.red, title="Opening Low")

• 15分钟图表吞没突破多重确认策略
• RSI时区优化与风险管理量化交易策略
• 高频动态开盘区间突破交易策略
• 伦敦纽约双时段突破追踪止损量化交易策略
• 双指数移动平均线交叉与RSI趋势确认策略
• 多层级布林带趋势跟踪与反转交易策略
• 多指标联动趋势突破量化交易策略
• 指数移动平均线交叉动态跟踪止损策略
• 基于布莱克-舒尔斯理论的突破交易量化策略与追踪止损优化系统
• 多指标组合趋势追踪与动量交易系统策略