动态倾斜双移动平均线窄带突破量化交易策略

/*backtest
start: 2024-05-13 00:00:00
end: 2025-05-12 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Oliver Velez Advanced Strategy v2", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10, pyramiding=2, calc_on_order_fills=true, calc_on_every_tick=true)

// === INPUTS ===
smaLen1 = input.int(20, title="SMA Short")
smaLen2 = input.int(200, title="SMA Long")
atrLen = input.int(14, title="ATR Length")
rr1 = input.float(2.5, title="RR for Partial Profit", step=0.1)
rr2 = input.float(4.0, title="RR for Final Profit", step=0.1)

// === INDICATORS ===
sma20 = ta.sma(close, smaLen1)
sma200 = ta.sma(close, smaLen2)
atr = ta.atr(atrLen)
angle = math.atan(sma20 - sma20[1]) * 180 / math.pi

// === STATES ===
isNarrow = math.abs(sma20 - sma200) / sma200 < 0.015
isWide = math.abs(sma20 - sma200) / sma200 >= 0.02
validSlope = angle > 30

// === CANDLE PATTERNS ===
elephant_long = close > open and (close - open) > 1.5 * atr and high > high[1]
elephant_short = close < open and (open - close) > 1.5 * atr and low < low[1]
color_change_long = close > open and close[1] < open[1]
color_change_short = close < open and close[1] > open[1]

// === LONG ENTRY ===
long_primary = isNarrow and validSlope and close > sma20 and sma20 > sma200 and elephant_long
long_add = isNarrow and color_change_long and close > sma20
long_entry_price = close
long_stop = math.min(low, close - 2 * atr)
long_risk = long_entry_price - long_stop
long_tp1 = long_entry_price + rr1 * long_risk
long_tp2 = long_entry_price + rr2 * long_risk

// === SHORT ENTRY ===
short_primary = isNarrow and validSlope and close < sma20 and sma20 < sma200 and elephant_short
short_add = isNarrow and color_change_short and close < sma20
short_entry_price = close
short_stop = math.max(high, close + 2 * atr)
short_risk = short_stop - short_entry_price
short_tp1 = short_entry_price - rr1 * short_risk
short_tp2 = short_entry_price - rr2 * short_risk

// === LONG EXECUTION ===
if (long_primary)
    strategy.entry("Long Entry", strategy.long, comment="Elephant Bar Long")
    strategy.exit("Long TP1", from_entry="Long Entry", limit=long_tp1, stop=long_stop)
    strategy.exit("Long TP2", from_entry="Long Entry", qty_percent=50, limit=long_tp2)

if (long_add)
    strategy.entry("Long Add", strategy.long, comment="Color Change Long")
    strategy.exit("Add TP1", from_entry="Long Add", limit=long_tp1, stop=long_stop)
    strategy.exit("Add TP2", from_entry="Long Add", qty_percent=50, limit=long_tp2)

// === SHORT EXECUTION ===
if (short_primary)
    strategy.entry("Short Entry", strategy.short, comment="Elephant Bar Short")
    strategy.exit("Short TP1", from_entry="Short Entry", limit=short_tp1, stop=short_stop)
    strategy.exit("Short TP2", from_entry="Short Entry", qty_percent=50, limit=short_tp2)

if (short_add)
    strategy.entry("Short Add", strategy.short, comment="Color Change Short")
    strategy.exit("Short TP1 Add", from_entry="Short Add", limit=short_tp1, stop=short_stop)
    strategy.exit("Short TP2 Add", from_entry="Short Add", qty_percent=50, limit=short_tp2)

// === BREAKEVEN CHECK ===
var float breakeven_price = na
long_breakeven_trigger = high >= long_tp1
short_breakeven_trigger = low <= short_tp1
breakeven_price := long_breakeven_trigger or short_breakeven_trigger ? close : breakeven_price

// === ALERTS ===
alertcondition(long_primary, title="Long Elephant", message="Elephant Bar Long Entry Triggered!")
alertcondition(long_add, title="Color Change Long", message="Color Change Long Entry Triggered!")
alertcondition(long_breakeven_trigger, title="Long Breakeven", message="Move SL to Breakeven for Long")

alertcondition(short_primary, title="Short Elephant", message="Elephant Bar Short Entry Triggered!")
alertcondition(short_add, title="Color Change Short", message="Color Change Short Entry Triggered!")
alertcondition(short_breakeven_trigger, title="Short Breakeven", message="Move SL to Breakeven for Short")

// === PLOTTING ===
plot(sma20, color=color.orange, title="SMA 20")
plot(sma200, color=color.blue, title="SMA 200")
bgcolor(isNarrow ? color.new(color.green, 85) : na)
plotshape(long_primary, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small, text="E")
plotshape(long_add, style=shape.circle, location=location.belowbar, color=color.lime, size=size.tiny, text="A")
plotshape(short_primary, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small, text="E")
plotshape(short_add, style=shape.circle, location=location.abovebar, color=color.maroon, size=size.tiny, text="A")

// === DASHBOARD ===
var label dash = na
label.delete(dash)
dash := label.new(x=bar_index, y=high, text=
     "Oliver Velez Strategy\n" +
     "SMA 20 Slope: " + str.tostring(angle, "#.##") + "°\n" +
     "State: " + (isNarrow ? "NARROW" : "WIDE") + "\n" +
     "Last Entry: " + (long_primary ? "Long E-Bar" : long_add ? "Long Add" : short_primary ? "Short E-Bar" : short_add ? "Short Add" : "None") + "\n" +
     "Breakeven: " + (breakeven_price != na ? str.tostring(breakeven_price, "#.##") : "No"), style=label.style_label_left, color=color.new(color.black, 85), textcolor=color.white)

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