时间区间突破交易策略：基于低波动期的自动化动量捕捉系统

/*backtest
start: 2025-01-01 00:00:00
end: 2025-03-02 00:00:00
period: 15m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":200000}]
*/

//@version=6
strategy("BTC 15m Range Breakout Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// Input parameters
show_range = input.bool(true, "Show Range Box", group="Display")
range_color = input.color(color.new(color.blue, 80), "Range Box Color", group="Display")

// Session timing inputs
session_start_hour = input.int(19, "Session Start Hour", minval=0, maxval=23, group="Session Timing")
session_start_minute = input.int(0, "Session Start Minute", minval=0, maxval=59, group="Session Timing")
session_end_hour = input.int(5, "Session End Hour", minval=0, maxval=23, group="Session Timing")
session_end_minute = input.int(30, "Session End Minute", minval=0, maxval=59, group="Session Timing")

// Risk-Reward ratio input
rr_ratio = input.float(2.0, "Risk-Reward Ratio", minval=0.5, maxval=10.0, step=0.1, group="Risk Management")

range_start_hour = 19
range_start_minute = 15
range_end_hour = 19
range_end_minute = 30

// Function to check if current time is within session (IST)
is_session_time() =>
    current_hour = hour(time, "Asia/Kolkata")
    current_minute = minute(time, "Asia/Kolkata")
    
    // Check if within session (19:00 to 05:30 IST next day)
    if session_start_hour <= session_end_hour
        current_hour >= session_start_hour and current_hour <= session_end_hour
    else
        current_hour >= session_start_hour or current_hour <= session_end_hour

// Function to check if current time is within range definition period (19:15 to 19:30 IST)
is_range_time() =>
    current_hour = hour(time, "Asia/Kolkata")
    current_minute = minute(time, "Asia/Kolkata")
    
    (current_hour == range_start_hour and current_minute >= range_start_minute and current_minute <= range_end_minute)

// Variables to store range
var float range_high = na
var float range_low = na
var int range_start_time = na
var bool range_defined = false
var bool position_taken = false

// Reset variables at start of new session
new_session = ta.change(time("D")) != 0

if new_session
    range_high := na
    range_low := na
    range_start_time := na
    range_defined := false
    position_taken := false

// Define range during 19:15 to 19:30 IST
if is_range_time() and timeframe.period == "15" and is_session_time()
    if na(range_high) or na(range_low)
        range_high := high
        range_low := low
        range_start_time := time
        range_defined := false
    else
        range_high := math.max(range_high, high)
        range_low := math.min(range_low, low)
    
    // Mark range as defined at 19:30
    if hour(time, "Asia/Kolkata") == 19 and minute(time, "Asia/Kolkata") == 30
        range_defined := true

// Draw range box
var box range_box = na
if show_range and not na(range_high) and not na(range_low) and not na(range_start_time)
    if not na(range_box)
        box.delete(range_box)
    
    

// Strategy logic
if range_defined and is_session_time() and not position_taken and not na(range_high) and not na(range_low)
    
    // Long entry on breakout above range
    if close > range_high and strategy.position_size == 0
        entry_price = close
        sl_price = range_low
        risk = entry_price - sl_price
        tp_price = entry_price + (risk * rr_ratio) // User-defined RR target
        
        strategy.entry("Long", strategy.long)
        strategy.exit("Long Exit", "Long", stop=sl_price, limit=tp_price)
        
        // Long entry alert
        alert("LONG ENTRY: Price " + str.tostring(entry_price, "#.##") + " | SL: " + str.tostring(sl_price, "#.##") + " | TP: " + str.tostring(tp_price, "#.##"), alert.freq_once_per_bar)
        
        // Visual labels
        label.new(bar_index, high, "LONG\nEntry: " + str.tostring(entry_price, "#.##") + "\nSL: " + str.tostring(sl_price, "#.##") + "\nTP: " + str.tostring(tp_price, "#.##"), 
                  style=label.style_label_right, color=color.green, textcolor=color.white, size=size.normal)
        
        position_taken := true
    
    // Short entry on breakout below range
    else if close < range_low and strategy.position_size == 0
        entry_price = close
        sl_price = range_high
        risk = sl_price - entry_price
        tp_price = entry_price - (risk * rr_ratio) // User-defined RR target
        
        strategy.entry("Short", strategy.short)
        strategy.exit("Short Exit", "Short", stop=sl_price, limit=tp_price)
        
        // Short entry alert
        alert("SHORT ENTRY: Price " + str.tostring(entry_price, "#.##") + " | SL: " + str.tostring(sl_price, "#.##") + " | TP: " + str.tostring(tp_price, "#.##"), alert.freq_once_per_bar)
        
        // Visual labels
        label.new(bar_index, low, "SHORT\nEntry: " + str.tostring(entry_price, "#.##") + "\nSL: " + str.tostring(sl_price, "#.##") + "\nTP: " + str.tostring(tp_price, "#.##"), 
                  style=label.style_label_right, color=color.red, textcolor=color.white, size=size.normal)
        
        position_taken := true

// Exit alerts
if strategy.position_size[1] != 0 and strategy.position_size == 0
    if strategy.position_size[1] > 0
        alert("LONG EXIT: Position closed", alert.freq_once_per_bar)
    else
        alert("SHORT EXIT: Position closed", alert.freq_once_per_bar)

// Close positions at end of session (05:30 IST)
if not is_session_time() and strategy.position_size != 0
    strategy.close_all("Session End")

// Plot range levels
plot(range_defined ? range_high : na, "Range High", color=color.red, linewidth=2, style=plot.style_linebr)
plot(range_defined ? range_low : na, "Range Low", color=color.green, linewidth=2, style=plot.style_linebr)

// Background color for range definition period
bgcolor(is_range_time() and is_session_time() ? color.new(color.teal, 70) : na, title="Range Definition Period")

// Background color for session
//bgcolor(is_session_time() ? color.new(color.blue, 95) : na, title="Trading Session")

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