多周期反转点识别与自动交易策略

/*backtest
start: 2025-06-05 00:00:00
end: 2025-06-05 15:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy('L3 Magic-9/13 Strategy', overlay=true, max_bars_back=4000, max_labels_count=500)

// 输入参数
length_input = input.int(title='Length', defval=9, minval=1)
lookback_length = input.int(title='Lookback Length', defval=4, minval=1)

// 获取第一个非 NA 值的函数
get_first_non_na_value(values, length) =>
    result = float(na)
    if length >= 1
        for i = 0 to length - 1
            if na(result) or not na(values[i])
                result := values[i]
    result

// 计算连续条件出现次数的函数
count_consecutive_occurrences(condition, length) =>
    count = 0
    for i = 1 to length
        if condition[i - 1]
            count += 1
    count

// 检查条件是否在给定周期内出现的函数
check_condition_occurrence(condition, length) =>
    occurrence = count_consecutive_occurrences(condition, length) != 0 ? 1 : 0
    occurrence

// 基于回溯周期过滤出现次数的函数
filter_occurrences(condition, lookback_period) =>
    output = 0.0
    temp = 0
    for i = lookback_period to 0
        if temp > 0
            output := 0.0
            temp := temp[1] - 1
        else
            if not condition[i]
                output := 0.0
            else
                output := 1.0
                temp := lookback_period + 1
    output_bool = output == 1 ? true : false
    output_bool

// Magic-9/13 逻辑
high_9 = count_consecutive_occurrences(close > get_first_non_na_value(close, 4), 9) == 9 and count_consecutive_occurrences(close > get_first_non_na_value(close, 4), 10) == 9
low_9 = count_consecutive_occurrences(close < get_first_non_na_value(close, 4), 9) == 9 and count_consecutive_occurrences(close < get_first_non_na_value(close, 4), 10) == 9

// 计算方向反转点
up_count = 0
down_count = 0
for i = 0 to length_input - 1
    up_count += (nz(close[i]) > nz(close[i + lookback_length]) ? 1 : 0)
    down_count += (nz(close[i]) < nz(close[i + lookback_length]) ? 1 : 0)

directional_reversal_point = down_count == length_input ? 1 : up_count == length_input ? -1 : 0

// 定义交易信号
buy_signal = check_condition_occurrence(low_9, 2) and ta.crossover(directional_reversal_point, 0)
sell_signal = check_condition_occurrence(high_9, 2) and ta.crossunder(directional_reversal_point, 0)

// 执行交易
if (buy_signal)
    strategy.entry("Buy", strategy.long)
    strategy.exit("Take Profit", "Buy", limit=close + 10 * syminfo.pointvalue, stop=close - 10 * syminfo.pointvalue)

if (sell_signal)
    strategy.entry("Sell", strategy.short)
    strategy.exit("Take Profit", "Sell", limit=close - 10 * syminfo.pointvalue, stop=close + 10 * syminfo.pointvalue)

// 绘制标签
labels = buy_signal ? label.new(bar_index, low, 'B', color=color.new(color.red, 40), textcolor=color.white, style=label.style_label_up, yloc=yloc.price, size=size.small) : sell_signal ? label.new(bar_index, high, 'S', color=color.new(color.lime, 40), textcolor=color.white, style=label.style_label_down, yloc=yloc.price, size=size.small) : na

// 绘制蜡烛图颜色
signal = directional_reversal_point > 0 or up_count > down_count ? 1 : directional_reversal_point < 0 or down_count > up_count ? -1 : 0
drp_color = signal > 0 ? color.green : signal < 0 ? color.red : color.black
barcolor(drp_color)

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