多时间框架MACD-RSI交叉波动率过滤量化交易策略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-06-08 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

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

//@version=6
strategy(title = "ETH Day Trader", overlay = true, margin_long = 100, margin_short  = 100, default_qty_type  = strategy.percent_of_equity, default_qty_value = 5)

// ==== 1) USER INPUTS ====
// MACD/RSI lengths
fastLen   = input.int(12,   title="MACD Fast EMA Length", minval=1)
slowLen   = input.int(26,   title="MACD Slow EMA Length", minval=1)
signalLen = input.int(9,    title="MACD Signal EMA Length", minval=1)
rsiLen    = input.int(14,   title="RSI Length", minval=1)

// RSI thresholds
rsiThreshLong30 = input.int(55, title="RSI30m > (Long)", minval=1, maxval=100)
rsiThreshShort30= input.int(45, title="RSI30m < (Short)", minval=1, maxval=100)
rsiThresh1h     = input.int(50, title="RSI1h Threshold", minval=1, maxval=100)

// ATR filter (30m)
atrLen     = input.int(14, title="ATR Length (30m)", minval=1)
atrMaLen   = input.int(20, title="ATR MA Length (30m)", minval=1)

// Take Profit / Stop Loss (percent)
tpPerc      = input.float(1.5,  title="Take Profit (%)", minval=0.1) / 100
slPerc      = input.float(0.5,  title="Stop Loss (%)",   minval=0.1) / 100

// Toggle whether to use 1h trend confirmation
use1hTrend  = input.bool(true, title="Use 1h MACD Trend Confirmation?")

// ==== 2) FETCH INDICATORS ON 30m ====
// We assume this script is applied on a chart ≤ 30m (e.g. 15m or 5m), 
// but if you apply it on a 30m chart it still works: security() with "30" just returns the same bar.

[macd30m, macdSig30m, _] = ta.macd(close, fastLen, slowLen, signalLen)
rsi30m                  = ta.rsi(close, rsiLen)
atr30m                  = ta.atr(atrLen)

// ==== 3) FETCH INDICATORS ON 1h & VWAPs via request.security() ====
// --- 1h MACD & RSI ---
[macd1h, macdSig1h, _] = request.security(syminfo.tickerid, "60", ta.macd(close, fastLen, slowLen, signalLen), lookahead=barmerge.lookahead_off)
rsi1h = request.security(syminfo.tickerid, "60", ta.rsi(close, rsiLen), lookahead=barmerge.lookahead_off)

// --- 30m VWAP & 1h VWAP (session VWAP) ---
vwap30m = request.security(syminfo.tickerid, "30", ta.vwap(close), lookahead=barmerge.lookahead_off)
vwap1h  = request.security(syminfo.tickerid, "60", ta.vwap(close), lookahead=barmerge.lookahead_off)

// ==== 4) BUILD VOLATILITY FILTER (30m ATR vs ATR MA) ====
atr30m_ma = ta.sma(atr30m, atrMaLen)
volatilityOK = atr30m >= atr30m_ma

// ==== 5) MULTI-TIMEFRAME CROSS CONDITIONS ====
// 30m MACD cross signals
longCross30m  = ta.crossover(macd30m, macdSig30m)
shortCross30m = ta.crossunder(macd30m, macdSig30m)

// 1h MACD trend confirmation
macdTrendUp1h   = macd1h > macdSig1h
macdTrendDown1h = macd1h < macdSig1h

// ==== 6) ENTRY & EXIT CONDITIONS ====
// LONG ENTRY: 
//   • 30m MACD crossover 
//   • 30m RSI > rsiThreshLong30 
//   • (optionally) 1h MACD line > 1h MACD signal 
//   • Price > 30m VWAP AND Price > 1h VWAP 
//   • 30m ATR ≥ 30m ATR MA (volatility filter)
longEntryCond = 
     longCross30m 
  and (rsi30m > rsiThreshLong30) 
  and (close > vwap30m) 
  and (close > vwap1h) 
  and volatilityOK 
  and (use1hTrend ? macdTrendUp1h : true)

// LONG EXIT: 
//   • fixed TP/SL 
//   OR • 30m MACD crossunder 
//   OR • 1h MACD falls below signal (trend flipped)
var float entryPriceLong = na
longExitCond = false

if (strategy.position_size > 0)
    // Price-based TP / SL checks
    entryPriceLong := nz(entryPriceLong[1], strategy.position_avg_price)
    longTPprice = entryPriceLong * (1 + tpPerc)
    longSLprice = entryPriceLong * (1 - slPerc)
    
    // check TP/SL first
    longExitTP = high >= longTPprice
    longExitSL = low  <= longSLprice
    
    // fallback: MACD crossunder on 30m OR 1h trend flips
    macdTrendFlip1h = macdTrendUp1h and (macd1h < macdSig1h)
    macdCross30m    = shortCross30m
    
    longExitCond := longExitTP or longExitSL or macdCross30m or macdTrendFlip1h
else
    entryPriceLong := na  // reset when no position

// SHORT ENTRY: 
//   • 30m MACD crossunder 
//   • 30m RSI < rsiThreshShort30 
//   • (optionally) 1h MACD line < 1h MACD signal 
//   • Price < 30m VWAP AND Price < 1h VWAP 
//   • 30m ATR ≥ 30m ATR MA (volatility filter)
shortEntryCond = 
     shortCross30m 
  and (rsi30m < rsiThreshShort30) 
  and (close < vwap30m) 
  and (close < vwap1h) 
  and volatilityOK 
  and (use1hTrend ? macdTrendDown1h : true)

// SHORT EXIT: 
//   • fixed TP/SL 
//   OR • 30m MACD crossover 
//   OR • 1h MACD flips up
var float entryPriceShort = na
shortExitCond = false

if (strategy.position_size < 0)
    entryPriceShort := nz(entryPriceShort[1], strategy.position_avg_price)
    shortTPprice = entryPriceShort * (1 - tpPerc)
    shortSLprice = entryPriceShort * (1 + slPerc)
    
    // check TP/SL first
    shortExitTP = low <= shortTPprice
    shortExitSL = high >= shortSLprice
    
    macdTrendFlipUp1h = macdTrendDown1h and (macd1h > macdSig1h)
    macdCrossUp30m    = longCross30m
    
    shortExitCond := shortExitTP or shortExitSL or macdCrossUp30m or macdTrendFlipUp1h
else
    entryPriceShort := na  // reset when no position

// ==== 7) EXECUTE STRATEGY ORDERS WITH LABELS & ALERTS ====
// — Long Entry —
if (longEntryCond and strategy.position_size == 0)
    strategy.entry("Long", strategy.long)
    label.new(bar_index, low, text="Buy (LT)", style=label.style_label_up, color=color.new(color.green, 0), textcolor=color.white, yloc=yloc.belowbar)
    alert("Buy (LT)", alert.freq_once_per_bar_close)

// — Long Exit —
if (strategy.position_size > 0 and longExitCond)
    strategy.close("Long")
    label.new(bar_index, high, text="Sell (LT)", style=label.style_label_down, color=color.new(color.red, 0), textcolor=color.white, yloc=yloc.abovebar)
    alert("Sell (LT)", alert.freq_once_per_bar_close)

// — Short Entry —
if (shortEntryCond and strategy.position_size == 0)
    strategy.entry("Short", strategy.short)
    label.new(bar_index, high, text="Sell (ST)", style=label.style_label_down, color=color.new(color.red, 0), textcolor=color.white, yloc=yloc.abovebar)
    alert("Sell (ST)", alert.freq_once_per_bar_close)

// — Short Exit —
if (strategy.position_size < 0 and shortExitCond)
    strategy.close("Short")
    label.new(bar_index, low, text="Buy (ST)", style=label.style_label_up, color=color.new(color.green, 0), textcolor=color.white, yloc=yloc.belowbar)
    alert("Buy (ST)", alert.freq_once_per_bar_close)


// ==== 8) OPTIONAL PLOTTING (for debugging) ====
// We’ve removed any `transp`/`opacity` arguments. Instead, we use `color.new(baseColor, α)` 
// for transparency, where α = 0 is fully opaque and α = 255 is fully transparent.

// 30m VWAP
plot(vwap30m, title = "VWAP 30m", color = color.new(color.teal, 80)) // ~31% transparentlinewidth= 1

// 1h VWAP
plot(vwap1h,  title = "VWAP 1h",  color = color.new(color.fuchsia, 80), linewidth= 1) // ~31% transparent

// 30m ATR vs ATR_MA
plot(atr30m, title = "ATR 30m", color = color.new(color.orange, 80))
plot(atr30m_ma, title = "ATR30m MA", color = color.new(color.yellow, 80))

// 30m MACD Histogram (bars)
plot(macd30m - macdSig30m, title = "MACD Histogram (30m)", style = plot.style_columns, color = (macd30m - macdSig30m >= 0 ? color.new(color.green, 80) : color.new(color.red, 80)))

// 1h MACD Histogram (area)
h1 = request.security(syminfo.tickerid, "60", macd1h - macdSig1h, lookahead=barmerge.lookahead_off)
plot(1, title = "MACD Hist (1h)", style = plot.style_area, color = (h1 >= 0 ? color.new(color.green, 80) : color.new(color.red, 80)))

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