动态锚定VWAP与成交量分布相结合的流动性捕捉策略

/*backtest
start: 2025-04-14 00:00:00
end: 2025-05-14 00:00:00
period: 3h
basePeriod: 3h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Liquidity Sniper + VWAP Profile", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=1, max_bars_back=500)

// === Inputs ===
volumeMultiplier = input.float(3.0, title="Volume Multiplier")
atrLength = input.int(14, title="ATR Length")
slMultiplier = input.float(1.5, title="Stop Loss ATR Multiplier")
tpMultiplier = input.float(2.0, title="Take Profit ATR Multiplier")
levels = input.int(24, title="Volume Profile Levels", minval=10, maxval=100)

// === VWAP Calculation ===
var float cumVol = na
var float cumPV = na
isNewDay = ta.change(time("D"))
if isNewDay
    cumVol := volume
    cumPV := hl2 * volume
else
    cumVol += volume
    cumPV += hl2 * volume
vwap = cumPV / cumVol
plot(vwap, color=color.orange, title="Daily VWAP")

// === Volume Profile (Lite) ===
profileHeight = high - low
step = profileHeight / levels
var float[] volumeProfile = array.new_float(levels, 0.0)

if isNewDay
    for i = 0 to levels - 1
        array.set(volumeProfile, i, 0.0)

for i = 0 to levels - 1
    levelLow = low + step * i
    levelHigh = levelLow + step
    if close >= levelLow and close < levelHigh
        vol = array.get(volumeProfile, i)
        array.set(volumeProfile, i, vol + volume)

maxVol = array.max(volumeProfile)
var float POC = na
for i = 0 to levels - 1
    if array.get(volumeProfile, i) == maxVol
        POC := low + step * i + step / 2

plot(POC, title="Volume Profile POC", color=color.blue)

// === Indicators ===
atr = ta.atr(atrLength)
vol = volume
volMA = ta.sma(volume, 20)
rsi = ta.rsi(close, 14)

// === Signal Logic ===
buySignal = close < vwap and close < POC and vol > volMA * volumeMultiplier and rsi < 40
sellSignal = close > vwap and close > POC and vol > volMA * volumeMultiplier and rsi > 60

// === Debug Plots ===
plotshape(buySignal, title="BUY Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(sellSignal, title="SELL Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

// === Entry + Exit ===
if buySignal
    strategy.entry("BUY", strategy.long)
    strategy.exit("TP/SL BUY", from_entry="BUY", stop=close - atr * slMultiplier, limit=close + atr * tpMultiplier)

if sellSignal
    strategy.entry("SELL", strategy.short)
    strategy.exit("TP/SL SELL", from_entry="SELL", stop=close + atr * slMultiplier, limit=close - atr * tpMultiplier)

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