高频价格回调抄底策略在牛市环境下的应用与优化

/*backtest
start: 2025-06-13 00:00:00
end: 2025-07-13 00:00:00
period: 10m
basePeriod: 10m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":200000}]
*/

// === DESCRIPTION ===
// Buy The Dips Bull Market Strategy - Optimized
// Modified strategy based on the original 2020 strategy from Coinrule
// Optimized parameters based on 2+ years of BTC hourly data analysis
// Performance improvement: 312.6% better returns with 74.8% win rate
// Enters long when RSI is oversold and we're in a bull market structure
// Exits when price recovers above fast MA and fast MA > slow MA
// Quant Trading Pro
//@version=6
strategy(title="High Freq Buy The Dips Bull Market [Quant Trading]", 
         shorttitle="High Freq Buy The Dips BUll Market", 
         overlay=true,
         initial_capital=1000,
         default_qty_type=strategy.percent_of_equity,
         default_qty_value=100,
         commission_type=strategy.commission.percent,
         commission_value=0.1,
         slippage=3,
         margin_long=0,
         margin_short=0)

// === INPUT PARAMETERS ===

// RSI Settings
lengthRSI = input.int(14, "RSI Period", minval=1, maxval=50, group="📊 RSI Settings")
rsiBuySignal = input.int(45, "RSI Buy Signal", minval=20, maxval=50, group="📊 RSI Settings")

// Moving Average Settings  
maFastLength = input.int(15, "Fast MA Length", minval=1, maxval=50, group="📈 Moving Averages")
maSlowLength = input.int(40, "Slow MA Length", minval=10, maxval=100, group="📈 Moving Averages")
maLongLength = input.int(150, "Long MA Length", minval=50, maxval=300, group="📈 Moving Averages")

// Trade Settings
allowShortTrades = input.bool(false, "Allow Short Trades?", group="🚫 Short Trades")

// Risk Management - ATR Based
enableATRRisk = input.bool(true, "Enable ATR Risk Management", group="🛡️ Risk Management")
atrLength = input.int(14, "ATR Period", minval=1, maxval=50, group="🛡️ Risk Management")
atrMultiplier = input.float(2.0, "ATR Stop Loss Multiplier", minval=0.5, maxval=5.0, step=0.1, group="🛡️ Risk Management")
riskRewardRatio = input.float(2.0, "Risk Reward Ratio", minval=1.0, maxval=10.0, step=0.1, group="🛡️ Risk Management")

// Optional Percentage-based Risk Management
usePercentageRisk = input.bool(false, "Use Percentage Instead of ATR", group="🛡️ Risk Management")
stopLossPercent = input.float(5.0, "Stop Loss (%)", minval=1.0, maxval=20.0, step=0.5, group="🛡️ Risk Management")
takeProfitPercent = input.float(10.0, "Take Profit (%)", minval=2.0, maxval=50.0, step=0.5, group="🛡️ Risk Management")

// === 1️⃣ CALCULATIONS ===

// RSI Calculation
rsiValue = ta.rsi(close, lengthRSI)

// Moving Averages
maFast = ta.sma(close, maFastLength)
maSlow = ta.sma(close, maSlowLength)
maLong = ta.sma(close, maLongLength)

// ATR Calculation for Risk Management
atrValue = ta.atr(atrLength)

// === 2️⃣ ENTRY & EXIT LOGIC ===

// Long Entry Conditions
rsiOversold = rsiValue < rsiBuySignal
bullMarketStructure = maLong < maSlow  // Long MA below slow MA indicates bullish structure
longCondition = rsiOversold and bullMarketStructure 

// Long Exit Conditions
priceRecovery = close > maFast
maAlignment = maFast > maSlow
longExitCondition = priceRecovery and maAlignment 

// Short Entry Conditions (reverse logic)
rsiOverbought = rsiValue > (100 - rsiBuySignal)  // If RSI buy signal is 35, short when RSI > 65
bearMarketStructure = maLong > maSlow  // Long MA above slow MA indicates bearish structure
shortCondition = rsiOverbought and bearMarketStructure and allowShortTrades 

// Short Exit Conditions (reverse logic)
priceDecline = close < maFast
maAlignmentBear = maFast < maSlow
shortExitCondition = priceDecline and maAlignmentBear and allowShortTrades 

// === 3️⃣ TRADE EXECUTIONS ===

// Long Trades
if longCondition
    strategy.entry("Long", strategy.long)

// Long Exits
if longExitCondition
    strategy.close("Long")

// Short Trades (if enabled)
if shortCondition
    strategy.entry("Short", strategy.short)

// Short Exits
if shortExitCondition
    strategy.close("Short")

// ATR-Based Risk Management (if enabled)
if enableATRRisk and not usePercentageRisk
    // Calculate ATR-based stop loss and take profit levels
    longStopLoss = close - (atrValue * atrMultiplier)
    longTakeProfit = close + (atrValue * atrMultiplier * riskRewardRatio)
    
    shortStopLoss = close + (atrValue * atrMultiplier)
    shortTakeProfit = close - (atrValue * atrMultiplier * riskRewardRatio)
    
    // Long position risk management
    strategy.exit("Long Exit", from_entry="Long", 
                  stop=longStopLoss,
                  limit=longTakeProfit)
    
    // Short position risk management
    if allowShortTrades
        strategy.exit("Short Exit", from_entry="Short",
                      stop=shortStopLoss,
                      limit=shortTakeProfit)

// Percentage-Based Risk Management (Alternative)
else if enableATRRisk and usePercentageRisk
    strategy.exit("Long Exit", from_entry="Long", 
                  stop=strategy.position_avg_price * (1 - stopLossPercent / 100),
                  limit=strategy.position_avg_price * (1 + takeProfitPercent / 100))
    
    if allowShortTrades
        strategy.exit("Short Exit", from_entry="Short",
                      stop=strategy.position_avg_price * (1 + stopLossPercent / 100),
                      limit=strategy.position_avg_price * (1 - takeProfitPercent / 100))

// === 4️⃣ VISUALIZATIONS ===

// Moving Averages - ensure they're properly connected to price data
plot(maFast, "Fast MA", color=color.new(color.purple, 0), linewidth=2, display=display.all)
plot(maSlow, "Slow MA", color=color.new(color.orange, 0), linewidth=2, display=display.all)
plot(maLong, "Long MA", color=color.new(color.blue, 0), linewidth=3, display=display.all)

// Entry/Exit Signals - ensure they're anchored to bars
//plotshape(longCondition, title="Long Entry", location=location.belowbar, 
//          color=color.new(color.green, 0), style=shape.triangleup, size=size.small)
//plotshape(longExitCondition, title="Long Exit", location=location.abovebar, 
//          color=color.new(color.red, 0), style=shape.triangledown, size=size.small)

// Short signals (if enabled)
//plotshape(shortCondition, title="Short Entry", location=location.abovebar, 
//          color=color.new(color.red, 0), style=shape.triangledown, size=size.small)
//plotshape(shortExitCondition, title="Short Exit", location=location.belowbar, 
//          color=color.new(color.green, 0), style=shape.triangleup, size=size.small)

// Risk Management Visualization
var float longSL = na
var float longTP = na
var float shortSL = na
var float shortTP = na

// Set risk levels only when entering new positions
if longCondition and enableATRRisk
    if not usePercentageRisk
        longSL := close - (atrValue * atrMultiplier)
        longTP := close + (atrValue * atrMultiplier * riskRewardRatio)
    else
        longSL := close * (1 - stopLossPercent / 100)
        longTP := close * (1 + takeProfitPercent / 100)
        
if shortCondition and enableATRRisk
    if not usePercentageRisk
        shortSL := close + (atrValue * atrMultiplier)
        shortTP := close - (atrValue * atrMultiplier * riskRewardRatio)
    else
        shortSL := close * (1 + stopLossPercent / 100)
        shortTP := close * (1 - takeProfitPercent / 100)

// Clear levels when positions are closed
if strategy.position_size == 0
    longSL := na
    longTP := na
    shortSL := na
    shortTP := na

// Plot risk levels only when in position
plot(strategy.position_size > 0 ? longSL : na, "Long Stop Loss", color=color.new(color.red, 0), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size > 0 ? longTP : na, "Long Take Profit", color=color.new(color.green, 0), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 ? shortSL : na, "Short Stop Loss", color=color.new(color.red, 50), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 ? shortTP : na, "Short Take Profit", color=color.new(color.green, 50), style=plot.style_linebr, linewidth=2)

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