多级别价格结构识别与公允价值缺口量化交易系统

/*backtest
start: 2024-06-03 00:00:00
end: 2025-06-02 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("ICT CHoCH & FVG Strategy - NQ1!", overlay=true, pyramiding=0, calc_on_every_tick=false, calc_on_order_fills=false, max_boxes_count=500, max_lines_count=100, max_labels_count=100)

// ============================================================================
// INPUT PARAMETERS
// ============================================================================

// Strategy Settings
riskRewardRatio = input.float(2.0, title="Risk:Reward Ratio", minval=0.5, maxval=10.0, group="Strategy Settings")
fixedTarget = input.int(40, title="Fixed Target (Ticks)", minval=5, maxval=200, group="Strategy Settings")
useRRTarget = input.bool(true, title="Use Risk:Reward Target", tooltip="If false, uses fixed target", group="Strategy Settings")
riskPercent = input.float(2.0, title="Risk % of Account", minval=0.1, maxval=10.0, group="Strategy Settings")
useAutoSize = input.bool(false, title="Auto Size Positions", tooltip="Size based on risk % and stop distance", group="Strategy Settings")

// Visual Settings
showCHoCH = input.bool(true, title="Show CHoCH Labels", group="Visual Settings")
showFVG = input.bool(true, title="Show FVG Boxes", group="Visual Settings")
showSwings = input.bool(true, title="Show Swing Points", group="Visual Settings")
showTradeLines = input.bool(true, title="Show Entry/SL/TP Lines", group="Visual Settings")

// CHoCH Detection Settings
swingLength = input.int(5, title="Swing Detection Length", minval=2, maxval=20, group="CHoCH Settings")
minCHoCHDistance = input.int(10, title="Min CHoCH Distance (bars)", minval=5, maxval=50, group="CHoCH Settings")

// FVG Settings
minFVGSize = input.float(2.0, title="Min FVG Size (ticks)", minval=0.25, maxval=10.0, group="FVG Settings")
maxFVGAge = input.int(50, title="Max FVG Age (bars)", minval=10, maxval=200, group="FVG Settings")

// ============================================================================
// VARIABLES AND ARRAYS
// ============================================================================

// Swing point detection
var float lastSwingHigh = na
var float lastSwingLow = na
var int lastSwingHighBar = na
var int lastSwingLowBar = na

// CHoCH tracking
var bool bullishCHoCH = false
var bool bearishCHoCH = false
var float chochLevel = na
var int chochBar = na
var bool waitingForFVG = false

// FVG tracking
var array<box> bullishFVGs = array.new<box>()
var array<box> bearishFVGs = array.new<box>()
var float activeFVGTop = na
var float activeFVGBottom = na
var bool lookingForEntry = false

// Trade management
var float stopLossLevel = na
var float takeProfitLevel = na
var bool inPosition = false

// ============================================================================
// HELPER FUNCTIONS
// ============================================================================

// Convert ticks to price for NQ
ticksToPrice(ticks) => ticks * 0.25

// Calculate position size based on risk
calcPositionSize(stopDistance) =>
    if useAutoSize and strategy.equity > 0
        accountValue = strategy.equity
        riskAmount = accountValue * (riskPercent / 100)
        stopDistancePrice = stopDistance * syminfo.mintick
        math.max(1, math.floor(riskAmount / stopDistancePrice))
    else
        1

// ============================================================================
// SWING POINT DETECTION
// ============================================================================

// Detect swing highs and lows
swingHigh = ta.pivothigh(high, swingLength, swingLength)
swingLow = ta.pivotlow(low, swingLength, swingLength)

// Update swing points
if not na(swingHigh)
    lastSwingHigh := swingHigh
    lastSwingHighBar := bar_index - swingLength
    if showSwings
        label.new(bar_index - swingLength, swingHigh, "SH", style=label.style_triangledown, color=color.red, size=size.tiny)

if not na(swingLow)
    lastSwingLow := swingLow
    lastSwingLowBar := bar_index - swingLength
    if showSwings
        label.new(bar_index - swingLength, swingLow, "SL", style=label.style_triangleup, color=color.green, size=size.tiny)

// ============================================================================
// CHoCH DETECTION
// ============================================================================

// Check for bullish CHoCH (break above prior swing high after making lower low)
bullishCHoCHCondition = not na(lastSwingHigh) and not na(lastSwingLow) and 
                       high > lastSwingHigh and 
                       lastSwingLow < lastSwingHigh and
                       bar_index - lastSwingHighBar > minCHoCHDistance and
                       strategy.position_size == 0

// Check for bearish CHoCH (break below prior swing low after making higher high)
bearishCHoCHCondition = not na(lastSwingHigh) and not na(lastSwingLow) and 
                       low < lastSwingLow and 
                       lastSwingHigh > lastSwingLow and
                       bar_index - lastSwingLowBar > minCHoCHDistance and
                       strategy.position_size == 0

// Process CHoCH signals
if bullishCHoCHCondition and not bullishCHoCH
    bullishCHoCH := true
    bearishCHoCH := false
    chochLevel := lastSwingHigh
    chochBar := bar_index
    waitingForFVG := true
    lookingForEntry := false
    


if bearishCHoCHCondition and not bearishCHoCH
    bearishCHoCH := true
    bullishCHoCH := false
    chochLevel := lastSwingLow
    chochBar := bar_index
    waitingForFVG := true
    lookingForEntry := false
    


// ============================================================================
// FVG DETECTION
// ============================================================================

// Check for FVG formation (3-candle pattern)
if bar_index >= 2
    // Bullish FVG: low[0] > high[2]
    bullishFVG = low[0] > high[2] and (low[0] - high[2]) >= ticksToPrice(minFVGSize)
    
    // Bearish FVG: high[0] < low[2]  
    bearishFVG = high[0] < low[2] and (low[2] - high[0]) >= ticksToPrice(minFVGSize)
    
    // Process bullish FVG after bullish CHoCH
    if bullishFVG and bullishCHoCH and waitingForFVG and bar_index > chochBar
        fvgTop = low[0]
        fvgBottom = high[2]
        

        
        // Set active FVG for entry
        activeFVGTop := fvgTop
        activeFVGBottom := fvgBottom
        waitingForFVG := false
        lookingForEntry := true
    
    // Process bearish FVG after bearish CHoCH
    if bearishFVG and bearishCHoCH and waitingForFVG and bar_index > chochBar
        fvgTop = low[2]
        fvgBottom = high[0]
        

        
        // Set active FVG for entry
        activeFVGTop := fvgTop
        activeFVGBottom := fvgBottom
        waitingForFVG := false
        lookingForEntry := true

// ============================================================================
// ENTRY LOGIC
// ============================================================================

// Long entry: price touches bullish FVG after bullish CHoCH
longCondition = lookingForEntry and bullishCHoCH and 
               not na(activeFVGTop) and not na(activeFVGBottom) and
               low <= activeFVGTop and high >= activeFVGBottom and
               strategy.position_size == 0

// Short entry: price touches bearish FVG after bearish CHoCH  
shortCondition = lookingForEntry and bearishCHoCH and  not na(activeFVGTop) and not na(activeFVGBottom) and low <= activeFVGTop and high >= activeFVGBottom and  strategy.position_size == 0

// Process long entries
if longCondition
    var float entryPrice = na
    var float stopLoss = na
    var float takeProfit = na
    
    entryPrice := math.avg(activeFVGTop, activeFVGBottom)
    stopLoss := lastSwingLow
    stopDistance = entryPrice - stopLoss
    
    if useRRTarget
        takeProfit := entryPrice + (stopDistance * riskRewardRatio)
    else
        takeProfit := entryPrice + ticksToPrice(fixedTarget)
    
    // Calculate position size
    qty = calcPositionSize(stopDistance / syminfo.mintick)
    
    // Enter trade
    strategy.entry("Long", strategy.long, qty=qty)
    strategy.exit("Long Exit", "Long", stop=stopLoss, limit=takeProfit)
    
    // Update tracking
    stopLossLevel := stopLoss
    takeProfitLevel := takeProfit
    inPosition := true
    lookingForEntry := false
    
    // Reset CHoCH state
    bullishCHoCH := false
    activeFVGTop := na
    activeFVGBottom := na
    


// Process short entries
if shortCondition
    var float entryPrice = na
    var float stopLoss = na
    var float takeProfit = na
    
    entryPrice := math.avg(activeFVGTop, activeFVGBottom)
    stopLoss := lastSwingHigh
    stopDistance = stopLoss - entryPrice
    
    if useRRTarget
        takeProfit := entryPrice - (stopDistance * riskRewardRatio)
    else
        takeProfit := entryPrice - ticksToPrice(fixedTarget)
    
    // Calculate position size
    qty = calcPositionSize(stopDistance / syminfo.mintick)
    
    // Enter trade
    strategy.entry("Short", strategy.short, qty=qty)
    strategy.exit("Short Exit", "Short", stop=stopLoss, limit=takeProfit)
    
    // Update tracking
    stopLossLevel := stopLoss
    takeProfitLevel := takeProfit
    inPosition := true
    lookingForEntry := false
    
    // Reset CHoCH state
    bearishCHoCH := false
    activeFVGTop := na
    activeFVGBottom := na
    

// ============================================================================
// POSITION MANAGEMENT
// ============================================================================

// Reset position state when trade is closed
if inPosition and strategy.position_size == 0
    inPosition := false
    stopLossLevel := na
    takeProfitLevel := na

// ============================================================================
// VISUAL SIGNALS
// ============================================================================

// Plot entry signals
plotshape(longCondition, title="Long Entry", location=location.belowbar, color=color.green, 
          style=shape.triangleup, size=size.normal)

plotshape(shortCondition, title="Short Entry", location=location.abovebar, color=color.red, 
          style=shape.triangledown, size=size.normal)

// Plot active stop loss and take profit levels
plot(inPosition ? stopLossLevel : na, title="Stop Loss", color=color.red, linewidth=2, style=plot.style_linebr)
plot(inPosition ? takeProfitLevel : na, title="Take Profit", color=color.green, linewidth=2, style=plot.style_linebr)

// ============================================================================
// CLEANUP
// ============================================================================

// Clean up old FVG boxes (helps with performance)
if bar_index % 100 == 0
    while array.size(bullishFVGs) > 20
        box.delete(array.shift(bullishFVGs))
    while array.size(bearishFVGs) > 20
        box.delete(array.shift(bearishFVGs))

// ============================================================================
// ALERTS
// ============================================================================

// Alert conditions
alertcondition(longCondition, title="Long Entry Signal", message="ICT Strategy: Long entry at FVG - SL: {{strategy.position_avg_price}}")
alertcondition(shortCondition, title="Short Entry Signal", message="ICT Strategy: Short entry at FVG - SL: {{strategy.position_avg_price}}")

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