基于OBV通道突破的自适应趋势量化交易策略

/*backtest
start: 2024-06-24 00:00:00
end: 2025-06-22 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// bas20230503 - Modified from the previous OBV+SMA version which was banned. 
// This version replaces `indicator` with `strategy` for backtesting capability. 
// Previously, the SMA crossover method was unreliable.
// Inspired by the idea of using ATR from "เทพคอย", but applied to OBV instead of price.

strategy(
    title="OBV ATR Strategy (OBV Breakout Channel) bas20230503", 
    shorttitle="OBV Breakout", 
    overlay=false, 
    precision=0, 
    initial_capital=10000, 
    default_qty_type=strategy.percent_of_equity, 
    default_qty_value=10, 
    pyramiding=0
)

// === Inputs ===
len1 = input.int(30, minval=1, title="SMA Length 1")
len2 = input.int(14, minval=2, title="SMA Length 2")
len_high_low = input.int(30, minval=1, title="High/Low Lookback Length")

// === OBV Calculation ===
// OBV = cumulative sum of volume signed by price movement
obvVal = ta.cum(volume * math.sign(close - close[1]))

// === SMA on OBV ===
sma1 = ta.sma(obvVal, len1)
sma2 = ta.sma(obvVal, len2)

// === OBV Color Coding ===
isObvUp = obvVal > obvVal[1]
isObvDown = obvVal < obvVal[1]
obvColor = isObvUp ? color.new(color.green, 15) : isObvDown ? color.new(color.red, 15) : color.new(color.gray, 15)

// === Plot OBV and SMAs ===
plot(obvVal, title="OBV", color=obvColor, linewidth=2, style=plot.style_stepline)
plot(sma1, title="SMA1", color=color.new(#33AEC4, 0), linewidth=2)
plot(sma2, title="SMA2", color=color.new(color.orange, 0), style=plot.style_circles)

// === OBV High/Low Detection ===
obv_high = ta.highest(obvVal, len_high_low)
obv_low = ta.lowest(obvVal, len_high_low)

// Plot OBV Channel (Upper/Lower Bound)
plot(obv_high, title="OBV High", color=color.new(color.gray, 30), style=plot.style_stepline, linewidth=1)
plot(obv_low, title="OBV Low", color=color.new(color.gray, 30), style=plot.style_stepline, linewidth=1)

// === Dynamic Tracking Support/Resistance Logic ===
// Mode: 1 = Bull, -1 = Bear
var int mode = 0

// Detect mode change
if ta.crossover(obvVal, obv_high[1])
    mode := 1 // Switch to Bull Mode
if ta.crossunder(obvVal, obv_low[1])
    mode := -1 // Switch to Bear Mode

// Assign line based on current mode
float plotValue = na
color plotColor = na

if mode == 1
    plotValue := obv_low
    plotColor := color.new(color.green, 0)
else if mode == -1
    plotValue := obv_high
    plotColor := color.new(color.red, 0)

// Plot Dynamic Tracking Line
plot(plotValue, title="Dynamic Tracking S/R", color=plotColor, linewidth=2)

// === Bull/Bear Signal Detection ===
bool bullSignal = mode == 1 and mode[1] != 1
bool bearSignal = mode == -1 and mode[1] != -1

// Plot Bull Signal below OBV
plotshape(
    bullSignal ? obv_low : na, 
    title="Bull Signal", 
    style=shape.triangleup, 
    location=location.absolute, 
    color=color.new(color.lime, 0), 
    size=size.small, 
    text="Bull", 
    textcolor=color.green
)

// Plot Bear Signal above OBV
plotshape(
    bearSignal ? obv_high : na, 
    title="Bear Signal", 
    style=shape.triangledown, 
    location=location.absolute, 
    color=color.new(color.red, 0), 
    size=size.small, 
    text="Bear", 
    textcolor=color.red
)

// === Strategy Logic ===
// Entry conditions
if bullSignal
    strategy.entry("Long", strategy.long)
if bearSignal
    strategy.entry("Short", strategy.short)

// Optional: Exit on opposite signal
// if bearSignal
//     strategy.close("Long")
// if bullSignal
//     strategy.close("Short")

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