MACD-EMA趋势动量时间过滤交易策略

/*backtest
start: 2025-05-08 00:00:00
end: 2025-06-11 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":200000}]
*/

//@version=5
strategy("MACD EMA + Time Filter", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// ==== Inputs ====
emaPeriod         = input.int(21, "EMA Period")
macdFast          = input.int(12, "MACD Fast Length")
macdSlow          = input.int(26, "MACD Slow Length")
macdSignal        = input.int(9, "MACD Signal Length")
rrMultiplier      = input.float(2.0, "Risk-Reward Multiplier", minval=0.1)
pipBuffer         = input.float(10.0, "Pip Buffer (in points)")
enableBuy         = input.bool(true, "Enable Buy Orders")
enableSell        = input.bool(true, "Enable Sell Orders")
timeFilter        = input.bool(true, "Enable Time Filter (GMT+7)")
sessionStart      = input.int(19, "Session Start Hour (GMT+7)", minval=0, maxval=23)
sessionEnd        = input.int(22, "Session End Hour (GMT+7)", minval=1, maxval=24)
showSLTPLabels    = input.bool(true, "Display SL/TP Labels")
plotEma           = input.bool(true, "Display EMA")

// ==== Time Filter (GMT+7) ====
hourG7 = hour(time, "Etc/GMT-7")
t_inRange = not timeFilter or (hourG7 >= sessionStart and hourG7 < sessionEnd)

// ==== Background shading during trading session ====
bgcolor(t_inRange ? color.new(color.gray, 85) : na)

// ==== Indicators ====
ema = ta.ema(close, emaPeriod)
[macdLine, signalLine, hist] = ta.macd(close, macdFast, macdSlow, macdSignal)

// ==== One trade per day ====
var int lastTradeDay = na
todayDay = dayofmonth(time, "Etc/GMT-7")
newDay = na(lastTradeDay) or todayDay != lastTradeDay
canTradeToday = newDay

// ==== Entry Conditions ====
canLong  = enableBuy  and t_inRange and close > ema and macdLine > 0 and close > open and canTradeToday
canShort = enableSell and t_inRange and close < ema and macdLine < 0 and close < open and canTradeToday

point = syminfo.mintick
buffer = pipBuffer * point

// ==== Order Execution ====
if canLong and strategy.position_size == 0
    sl = low[2] - buffer
    tp = close + rrMultiplier * (close - sl)
    strategy.entry("BUY", strategy.long)
    strategy.exit("TP/SL", from_entry="BUY", stop=sl, limit=tp)
    lastTradeDay := todayDay
    // Draw SL/TP labels
    if showSLTPLabels
        label.new(bar_index, sl, "SL", style=label.style_label_down, color=color.red, textcolor=color.white)
        label.new(bar_index, tp, "TP", style=label.style_label_up, color=color.green, textcolor=color.white)

if canShort and strategy.position_size == 0
    sl = high[2] + buffer
    tp = close - rrMultiplier * (sl - close)
    strategy.entry("SELL", strategy.short)
    strategy.exit("TP/SL", from_entry="SELL", stop=sl, limit=tp)
    lastTradeDay := todayDay
    // Draw SL/TP labels
    if showSLTPLabels
        label.new(bar_index, sl, "SL", style=label.style_label_down, color=color.red, textcolor=color.white)
        label.new(bar_index, tp, "TP", style=label.style_label_up, color=color.green, textcolor=color.white)

// ==== Plot EMA and Trade Signals ====
plot(plotEma ? ema : na, title="EMA", color=color.orange)
plotshape(canLong, title="Buy Signal", location=location.belowbar, color=color.lime, style=shape.triangleup, size=size.small)
plotshape(canShort, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

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