该策略是一个结合趋势跟踪和突破交易的多重时间框架策略,使用EMA交叉作为趋势过滤器,RSI作为动量确认指标,ATR进行动态风险管理。策略通过分离的警报系统实现精确的入场和出场信号管理,并采用基于百分比的资金管理方法来控制风险。
这是一个结构严谨的趋势跟踪策略,通过多重技术指标验证提高信号可靠性,科学的资金管理体系有效控制下行风险。策略特别适合趋势明确的市场环境,在波动性适中的品种上表现最佳。通过进一步优化参数自适应机制和增加市场状态识别模块,可以显著提升策略的稳健性和适应能力。
// @version=5
strategy("Trend Breakout Strategy with Separated Alerts", overlay=true, initial_capital=10, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
// --- Parameters ---
var float risk_per_trade = 0.02 // 2% risk per trade
var int ema_fast = 9
var int ema_slow = 21
var int rsi_length = 14
var int atr_length = 14
var float atr_multiplier_sl = 2.0 // ATR multiplier for SL
var float tp_ratio = 3.0 // TP to SL ratio = 3:1
var float trail_trigger_ratio = 0.5 // Trailing stop triggers at 50% of TP
// --- Indicators ---
ema9 = ta.ema(close, ema_fast)
ema21 = ta.ema(close, ema_slow)
rsi = ta.rsi(close, rsi_length)
atr = ta.atr(atr_length)
// --- Trend Filter ---
bull_trend = ta.crossover(ema9, ema21) or (ema9 > ema21)
bear_trend = ta.crossunder(ema9, ema21) or (ema9 < ema21)
// --- Entry Conditions ---
long_entry = bull_trend and rsi > 50 and close > high[1]
short_entry = bear_trend and rsi < 50 and close < low[1]
// --- Position Size Calculation ---
equity = strategy.equity
stop_loss_distance = atr * atr_multiplier_sl
risk_amount = equity * risk_per_trade
position_size = risk_amount / stop_loss_distance
// --- SL and TP Levels ---
long_sl = close - stop_loss_distance
long_tp = close + stop_loss_distance * tp_ratio
short_sl = close + stop_loss_distance
short_tp = close - stop_loss_distance * tp_ratio
// --- Trailing Stop (activated after 50% of TP) ---
trail_points = atr * atr_multiplier_sl * tp_ratio * trail_trigger_ratio
trail_offset = atr * atr_multiplier_sl
// --- Entries ---
if long_entry
strategy.entry("Long", strategy.long, qty=position_size)
strategy.exit("Long Exit", "Long", stop=long_sl, limit=long_tp, trail_points=trail_points, trail_offset=trail_offset)
if short_entry
strategy.entry("Short", strategy.short, qty=position_size)
strategy.exit("Short Exit", "Short", stop=short_sl, limit=short_tp, trail_points=trail_points, trail_offset=trail_offset)
// --- Alert Conditions ---
var bool long_opened = false
var bool short_opened = false
// Track position opening
long_open_alert = long_entry and not long_opened
short_open_alert = short_entry and not short_opened
// Track position closing
long_close_alert = long_opened and strategy.position_size == 0
short_close_alert = short_opened and strategy.position_size == 0
// Update position states
if long_entry
long_opened := true
if short_entry
short_opened := true
if strategy.position_size == 0
long_opened := false
short_opened := false
// --- Alerts ---
alertcondition(long_open_alert, title="Open Long", message='{"action":"buy","symbol":"{{ticker}}","price":{{close}}}')
alertcondition(long_close_alert, title="Close Long", message='{"action":"close_long","symbol":"{{ticker}}","price":{{close}}}')
alertcondition(short_open_alert, title="Open Short", message='{"action":"sell","symbol":"{{ticker}}","price":{{close}}}')
alertcondition(short_close_alert, title="Close Short", message='{"action":"close_short","symbol":"{{ticker}}","price":{{close}}}')
// --- Visualization ---
plot(ema9, color=color.blue, title="EMA9")
plot(ema21, color=color.red, title="EMA21")
plotshape(long_open_alert, title="Long Entry", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(short_open_alert, title="Short Entry", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)