伦敦纽约双时段突破追踪止损量化交易策略

/*backtest
start: 2024-04-27 00:00:00
end: 2025-04-25 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"SOL_USDT"}]
*/

//@version=6
strategy("ORB-LD-NY-Trail Strategy", overlay=true,
     default_qty_type=strategy.fixed, default_qty_value=1,
     calc_on_order_fills=true, calc_on_every_tick=true)

// =========================
// USER INPUTS
// =========================
riskReward      = input.float(2.0, "Risk-Reward Ratio", minval=1.0)
minBoxSize      = input.float(2.0, "Minimum Box Size (points)")
trailStopTicks  = input.int(8, "Trailing Stop (ticks)", minval=1)
useEmaFilter    = input.bool(false, "Use 5-min EMA Filter?")

tickSize        = syminfo.mintick         // auto-detect min tick for symbol
trailStopOffset = trailStopTicks * tickSize
emaSource       = request.security(syminfo.tickerid, "5", ta.ema(close, 200))  // 5-min chart EMA

// =========================
// SESSION TIMES
// =========================
londonStart = timestamp("America/New_York", year, month, dayofmonth, 3, 0)
londonEnd   = timestamp("America/New_York", year, month, dayofmonth, 3, 15)
nyStart     = timestamp("America/New_York", year, month, dayofmonth, 9, 30)
nyEnd       = timestamp("America/New_York", year, month, dayofmonth, 9, 45)

inLondon = time >= londonStart and time <= londonEnd
inNY     = time >= nyStart and time <= nyEnd

// =========================
// ONE TRADE PER SESSION FLAGS
// =========================
var bool londonTraded = false
var bool nyTraded     = false

// =========================
// LONDON BOX
// =========================
var float londonHigh    = na
var float londonLow     = na
var float londonBoxHigh = na
var float londonBoxLow  = na

if inLondon
    if na(londonHigh)
        londonBoxHigh := na
        londonBoxLow  := na
        londonTraded  := false
    londonHigh := na(londonHigh) ? high : math.max(londonHigh, high)
    londonLow  := na(londonLow)  ? low  : math.min(londonLow,  low)

if not inLondon and na(londonBoxHigh) and not na(londonHigh) and not na(londonLow)
    londonBoxHigh := londonHigh
    londonBoxLow  := londonLow
    londonHigh    := na
    londonLow     := na

if time > londonEnd and not na(londonBoxHigh) and not londonTraded
    boxRange = londonBoxHigh - londonBoxLow
    if boxRange >= minBoxSize
        // Standard SL/TP logic
        longSL  = londonBoxHigh - boxRange
        longTP  = londonBoxHigh + boxRange * riskReward
        shortSL = londonBoxLow  + boxRange
        shortTP = londonBoxLow  - boxRange * riskReward

        // === LONDON LONG ===
        condLong1 = close[1] <= londonBoxHigh
        condLong2 = close > londonBoxHigh
        condLong3 = (not useEmaFilter) or (close > emaSource)

        if condLong1 and condLong2 and condLong3
            strategy.entry("London Long", strategy.long)
            strategy.exit("Exit London Long", from_entry="London Long",
                          stop=longSL, limit=longTP,
                          trail_points=trailStopOffset)
            londonTraded := true

        // === LONDON SHORT ===
        condShort1 = close[1] >= londonBoxLow
        condShort2 = close < londonBoxLow
        condShort3 = (not useEmaFilter) or (close < emaSource)

        if not londonTraded and condShort1 and condShort2 and condShort3
            strategy.entry("London Short", strategy.short)
            strategy.exit("Exit London Short", from_entry="London Short",
                          stop=shortSL, limit=shortTP,
                          trail_points=trailStopOffset)
            londonTraded := true

// =========================
// NY BOX
// =========================
var float nyHigh    = na
var float nyLow     = na
var float nyBoxHigh = na
var float nyBoxLow  = na

if inNY
    if na(nyHigh)
        nyBoxHigh := na
        nyBoxLow  := na
        nyTraded  := false
    nyHigh := na(nyHigh) ? high : math.max(nyHigh, high)
    nyLow  := na(nyLow)  ? low  : math.min(nyLow,  low)

if not inNY and na(nyBoxHigh) and not na(nyHigh) and not na(nyLow)
    nyBoxHigh := nyHigh
    nyBoxLow  := nyLow
    nyHigh    := na
    nyLow     := na

if time > nyEnd and not na(nyBoxHigh) and not nyTraded
    boxRange = nyBoxHigh - nyBoxLow
    if boxRange >= minBoxSize
        longSL  = nyBoxHigh - boxRange
        longTP  = nyBoxHigh + boxRange * riskReward
        shortSL = nyBoxLow  + boxRange
        shortTP = nyBoxLow  - boxRange * riskReward

        // === NY LONG ===
        condNYLong1 = close[1] <= nyBoxHigh
        condNYLong2 = close > nyBoxHigh
        condNYLong3 = (not useEmaFilter) or (close > emaSource)

        if condNYLong1 and condNYLong2 and condNYLong3
            strategy.entry("NY Long", strategy.long)
            strategy.exit("Exit NY Long", from_entry="NY Long",
                          stop=longSL, limit=longTP,
                          trail_points=trailStopOffset)
            nyTraded := true

        // === NY SHORT ===
        condNYShort1 = close[1] >= nyBoxLow
        condNYShort2 = close < nyBoxLow
        condNYShort3 = (not useEmaFilter) or (close < emaSource)

        if not nyTraded and condNYShort1 and condNYShort2 and condNYShort3
            strategy.entry("NY Short", strategy.short)
            strategy.exit("Exit NY Short", from_entry="NY Short",
                          stop=shortSL, limit=shortTP,
                          trail_points=trailStopOffset)
            nyTraded := true

// Visual session background
bgcolor(inLondon ? color.new(color.fuchsia, 85) : na)
bgcolor(inNY     ? color.new(color.green,   85) : na)

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