双均线回调反转交易策略:基于EMA穿越与回测容差的趋势跟踪系统

/*backtest
start: 2025-04-13 00:00:00
end: 2025-04-15 10:00:00
period: 2m
basePeriod: 2m
exchanges: [{"eid":"Futures_Binance","currency":"TRX_USD"}]
*/

//@version=6
strategy("200/500 EMA Retest Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=1)

// INPUTS
ema_fast_length = input.int(200, title="Fast EMA Length")
ema_slow_length = input.int(500, title="Slow EMA Length")
retest_tolerance = input.float(0.002, title="Retest Tolerance (%)") // 0.2% by default
risk_reward_ratio = input.float(4.0, title="Risk-Reward Ratio (TP:SL)")
stop_loss_perc = input.float(0.005, title="Stop Loss % (e.g., 0.5%)") // 0.5% default
max_trades_per_day = input.int(2, title="Max Trades Per Day")

// EMA CALCULATIONS
ema_fast = ta.ema(close, ema_fast_length)
ema_slow = ta.ema(close, ema_slow_length)

// PLOT EMAs
plot(ema_fast, color=color.blue)
plot(ema_slow, color=color.orange)

// CROSS DETECTION
bullish_cross = ta.crossover(ema_fast, ema_slow)
bearish_cross = ta.crossunder(ema_fast, ema_slow)

// STATE TRACKING
var bool in_bullish_trend = false
var bool in_bearish_trend = false
var int trades_today = 0

if ta.change(time("D")) != 0

    trades_today := 0

if bullish_cross
    in_bullish_trend := true
    in_bearish_trend := false

if bearish_cross
    in_bullish_trend := false
    in_bearish_trend := true

// RETEST CONDITION
bullish_retest = in_bullish_trend and (math.abs(close - ema_fast) / ema_fast <= retest_tolerance)
bearish_retest = in_bearish_trend and (math.abs(close - ema_fast) / ema_fast <= retest_tolerance)

// ENTRIES WITH SL/TP AND TRADE LIMIT
if bullish_retest and trades_today < max_trades_per_day
    strategy.entry("Long", strategy.long)
    strategy.exit("Long TP/SL", from_entry="Long", stop=close * (1 - stop_loss_perc), limit=close * (1 + stop_loss_perc * risk_reward_ratio))
    label.new(bar_index, low, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.small)
    trades_today += 1

if bearish_retest and trades_today < max_trades_per_day
    strategy.entry("Short", strategy.short)
    strategy.exit("Short TP/SL", from_entry="Short", stop=close * (1 + stop_loss_perc), limit=close * (1 - stop_loss_perc * risk_reward_ratio))
    label.new(bar_index, high, "SELL", color=color.red, style=label.style_label_down, textcolor=color.white, size=size.small)
    trades_today += 1

// BACKGROUND COLOR WHEN IN POSITION
bgcolor(strategy.position_size > 0 ? color.new(color.green, 90) : na)
bgcolor(strategy.position_size < 0 ? color.new(color.red, 90) : na)

// ALERTS
if bullish_retest
    alert("BUY Retest Triggered!", alert.freq_once_per_bar)

if bearish_retest
    alert("SELL Retest Triggered!", alert.freq_once_per_bar)

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