RSI抛物线趋势反转动量策略结合均线过滤与风险管理系统

higher_tf_trend = request.security(syminfo.ticker, "240", close > ma_filter)
longCondition := longCondition and higher_tf_trend
shortCondition := shortCondition and not higher_tf_trend

/*backtest
start: 2024-05-13 00:00:00
end: 2025-05-11 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PakunFX


//@version=6
strategy("Parabolic RSI Strategy + MA Filter + TP/SL 【PakunFX】", overlay=true, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=1)

// === Inputs ===
rsi_len = input.int(14, "RSI Length")
upper_ = input.int(70, "RSI Overbought")
lower_ = input.int(30, "RSI Oversold")
sar_start = input.float(0.02, "SAR Start", step=0.01)
sar_inc = input.float(0.02, "SAR Increment", step=0.01)
sar_max = input.float(0.2, "SAR Maximum", step=0.01)
risk_reward = input.float(2.0, "Risk Reward Ratio", step=0.1)
buffer_pips = input.float(100.0, "Stop Buffer (pips)", step=0.1)

ma_length = input.int(11, "MA Length")
use_sma = input.bool(false, "Use SMA (if false, uses EMA)")

pip_size = syminfo.mintick
pip_buffer = pip_size * buffer_pips

// === Indicators ===
rsi = ta.rsi(close, rsi_len)
ma_filter = use_sma ? ta.sma(close, ma_length) : ta.ema(close, ma_length)

// === Custom Parabolic SAR on RSI ===
pine_sar(src, start, inc, max) =>
    src_high = src + 1
    src_low  = src - 1
    var float result = na
    var float maxMin = na
    var float acceleration = na
    var bool isBelow = false
    bool isFirstTrendBar = false

    if bar_index <= rsi_len + 2
        if src > src[1]
            isBelow := true
            maxMin := src_high
            result := src_low[1]
        else
            isBelow := false
            maxMin := src_low
            result := src_high[1]
        isFirstTrendBar := true
        acceleration := start

    result := result + acceleration * (maxMin - result)

    if isBelow
        if result > src_low
            isFirstTrendBar := true
            isBelow := false
            result := math.max(src_high, maxMin)
            maxMin := src_low
            acceleration := start
    else
        if result < src_high
            isFirstTrendBar := true
            isBelow := true
            result := math.min(src_low, maxMin)
            maxMin := src_high
            acceleration := start

    if not isFirstTrendBar
        if isBelow and src_high > maxMin
            maxMin := src_high
            acceleration := math.min(acceleration + inc, max)
        if not isBelow and src_low < maxMin
            maxMin := src_low
            acceleration := math.min(acceleration + inc, max)

    if isBelow
        result := math.min(result, src_low[1])
        if bar_index > 1
            result := math.min(result, src_low[2])
    else
        result := math.max(result, src_high[1])
        if bar_index > 1
            result := math.max(result, src_high[2])

    [result, isBelow]

[sar_rsi, isBelow] = pine_sar(rsi, sar_start, sar_inc, sar_max)

// === Entry Conditions ===
longCondition  = isBelow != isBelow[1] and isBelow and barstate.isconfirmed and sar_rsi <= lower_ and close > ma_filter
shortCondition = isBelow != isBelow[1] and not isBelow and barstate.isconfirmed and sar_rsi >= upper_ and close < ma_filter

// === Entry Execution + Persistent TP/SL Lines ===
if (longCondition)
    stopLoss = low - pip_buffer
    takeProfit = open + (open - stopLoss) * risk_reward
    strategy.close("Short")
    strategy.entry("Long", strategy.long)
    strategy.exit("TP/SL Long", "Long", stop=stopLoss, limit=takeProfit)


if (shortCondition)
    stopLoss = high + pip_buffer
    takeProfit = open - (stopLoss - open) * risk_reward
    strategy.close("Long")
    strategy.entry("Short", strategy.short)
    strategy.exit("TP/SL Short", "Short", stop=stopLoss, limit=takeProfit)

// === Plotting ===

plot(ma_filter, title="MA Filter", color=color.orange)

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