多层次斐波那契趋势跟踪与对冲交易策略系统

/*backtest
start: 2024-05-26 00:00:00
end: 2025-05-25 00:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy("Fibonacci Trend v6.4 - TP/SL Labels", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === Parameters ===
fibLen     = input.int(50, "Fibonacci Range")
fibTol     = input.float(0.01, "Fib Proximity Tolerance (%)", step=0.001)
slMult     = input.float(1.5, "SL - ATR", step=0.1)
tp2Mult    = input.float(2.0, "TP2 - ATR", step=0.1)
srLookback = input.int(20, "Support/Resistance Lookback Bars")
useBounce  = input.bool(true, "Enable Bounce Entry")

// === Indicators ===
ema50   = ta.ema(close, 50)
atr     = ta.atr(14)
volAvg  = ta.sma(volume, 20)
volHigh = volume > volAvg * 1.2

// === Fibonacci Levels ===
lowWick   = ta.lowest(low, fibLen)
highWick  = ta.highest(high, fibLen)
rangeWick = highWick - lowWick

fib236  = lowWick + 0.236 * rangeWick
fib382  = lowWick + 0.382 * rangeWick
fib5    = lowWick + 0.5   * rangeWick
fib618  = lowWick + 0.618 * rangeWick
fib786  = lowWick + 0.786 * rangeWick
fib1    = highWick
fib1618 = lowWick + 1.618 * rangeWick

nearSupport = math.abs(low - fib382)/close < fibTol or math.abs(low - fib5)/close < fibTol
nearResist  = math.abs(high - fib618)/close < fibTol

// === Trend Structure ===
higherLow   = low > low[1] and low[1] > low[2]
higherHigh  = high > high[1]
lowerHigh   = high < high[1] and high[1] < high[2]
lowerLow    = low < low[1]
longStruct  = higherLow and higherHigh
shortStruct = lowerHigh and lowerLow

// === ADX / DMI ===
dmiLen   = 14
upMove   = high - high[1]
downMove = low[1] - low
plusDM   = (upMove > downMove and upMove > 0) ? upMove : 0
minusDM  = (downMove > upMove and downMove > 0) ? downMove : 0
tr       = ta.tr(true)
tr14     = ta.rma(tr, dmiLen)
plusDI   = 100 * ta.rma(plusDM, dmiLen) / tr14
minusDI  = 100 * ta.rma(minusDM, dmiLen) / tr14
dx       = 100 * math.abs(plusDI - minusDI) / (plusDI + minusDI)
adx      = ta.rma(dx, dmiLen)
trendStrong = adx > 20

// === EMA Momentum Break ===
emaBreakLong  = close > ema50 and close[1] < ema50 and volume > volAvg
emaBreakShort = close < ema50 and close[1] > ema50 and volume > volAvg

// === Time Filter ===
var int lastLongBar = na
var int lastShortBar = na
canLong  = na(lastLongBar) or (bar_index - lastLongBar > 5)
canShort = na(lastShortBar) or (bar_index - lastShortBar > 5)

priceAboveEMA = close > ema50 and close[1] > ema50 and close[2] > ema50
priceBelowEMA = close < ema50 and close[1] < ema50 and close[2] < ema50

// === Support / Resistance ===
support = ta.lowest(low, srLookback)
resist  = ta.highest(high, srLookback)

// === Entry Conditions ===
longTrend  = priceAboveEMA and nearSupport and trendStrong and plusDI > minusDI and longStruct and (volHigh or emaBreakLong) and canLong
shortTrend = priceBelowEMA and nearResist  and trendStrong and minusDI > plusDI and shortStruct and (volHigh or emaBreakShort) and canShort

bounceLong  = useBounce and math.abs(low - support)/close < fibTol and close > open and close > close[1]
bounceShort = useBounce and math.abs(high - resist)/close < fibTol and close < open and close < close[1]

longSignal  = longTrend or bounceLong
shortSignal = shortTrend or bounceShort

// === TP/SL Calculations ===
tp1Long  = resist
tp2Long  = close + atr * tp2Mult
slLong   = close - atr * slMult

tp1Short = support
tp2Short = close - atr * tp2Mult
slShort  = close + atr * slMult

tp1ColorLong  = bounceLong  ? color.blue : color.yellow
tp1ColorShort = bounceShort ? color.blue : color.yellow

// === Long Entry ===
if (longSignal and strategy.position_size <= 0)
    strategy.entry("Long", strategy.long)
    strategy.exit("TP1", from_entry="Long", limit=tp1Long, stop=slLong, qty_percent=50)
    strategy.exit("TP2", from_entry="Long", limit=tp2Long, stop=slLong)
    lastLongBar := bar_index
    label.new(bar_index, close, text="ENTRY: " + str.tostring(close, "#.##"), style=label.style_label_down, color=color.green, textcolor=color.white)
    label.new(bar_index, tp1Long, text="TP1: " + str.tostring(tp1Long, "#.##"), style=label.style_label_down, color=tp1ColorLong)
    label.new(bar_index, tp2Long, text="TP2: " + str.tostring(tp2Long, "#.##"), style=label.style_label_down, color=color.green)
    label.new(bar_index, slLong,  text="SL: "  + str.tostring(slLong, "#.##"),  style=label.style_label_up, color=color.red)

// === Short Entry ===
if (shortSignal and strategy.position_size >= 0)
    strategy.entry("Short", strategy.short)
    strategy.exit("TP1", from_entry="Short", limit=tp1Short, stop=slShort, qty_percent=50)
    strategy.exit("TP2", from_entry="Short", limit=tp2Short, stop=slShort)
    lastShortBar := bar_index
    label.new(bar_index, close, text="ENTRY: " + str.tostring(close, "#.##"), style=label.style_label_up, color=color.red, textcolor=color.white)
    label.new(bar_index, tp1Short, text="TP1: " + str.tostring(tp1Short, "#.##"), style=label.style_label_up, color=tp1ColorShort)
    label.new(bar_index, tp2Short, text="TP2: " + str.tostring(tp2Short, "#.##"), style=label.style_label_up, color=color.green)
    label.new(bar_index, slShort,  text="SL: "  + str.tostring(slShort, "#.##"),  style=label.style_label_down, color=color.red)

// === Hedge Orders ===
if (strategy.position_size > 0 and shortSignal)
    strategy.entry("HedgeShort", strategy.short)

if (strategy.position_size < 0 and longSignal)
    strategy.entry("HedgeLong", strategy.long)

// === Fibonacci Plotting ===
plot(fib236,  "Fib 0.236",  color=color.gray)
plot(fib382,  "Fib 0.382",  color=color.green)
plot(fib5,    "Fib 0.5",    color=color.orange)
plot(fib618,  "Fib 0.618",  color=color.red)
plot(fib786,  "Fib 0.786",  color=color.fuchsia)
plot(fib1,    "Fib 1.0",    color=color.white)
plot(fib1618, "Fib 1.618",  color=color.blue)

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