基于80%法则的期货价值区域反转策略

/*backtest
start: 2025-07-09 00:00:00
end: 2025-07-16 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_OKX","currency":"SOL_USDT","balance":200000}]
*/

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © dscottmuller

// === Update July 15, 2025 ===
// • Converted to strategy for backtesting
// • POC-based exits for precision targeting
// • Full move markers for research tracking
// • Global time zone input (default: America/Los_Angeles)

//@version=5
strategy("80% Rule Backtest", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === General Inputs ===
useAllMarkets    = input.bool(false, "Use 24-Hour Session (All Markets)")
sessionChoice    = input.string("New York", "Market Session", options=["New York", "London", "Tokyo"])
showSessionBox   = input.bool(false, "Highlight Selected Session")
enableSounds     = input.bool(false, "Enable Audible Alerts")
extendLines      = input.bool(true,  "Extend Lines Right")

// === Advanced Session Settings ===
group = "Advanced Session Settings"
showAutoLevels   = input.bool(true, "Show Auto-Calculated VAH/POC/VAL", group=group)
useManualLevels  = input.bool(false, "Use Manual VAH/POC/VAL", group=group)
manualVAH        = input.float(0.0, "Manual VAH", group=group)
manualVAL        = input.float(0.0, "Manual VAL", group=group)
manualPOC        = input.float(0.0, "Manual POC", group=group)
debugMode        = input.bool(false, "Enable Debug Mode", group=group)

// === Time Zone Selection ===
sessionTZ = input.string("America/Los_Angeles", "ETH Session Timezone",
 options=[
     "America/Los_Angeles",  // Default: Pacific Time
     "America/New_York", 
     "America/Chicago", 
     "America/Denver", 
     "Europe/London", 
     "Europe/Paris", 
     "Asia/Tokyo", 
     "Australia/Sydney"
 ], group=group)

// === Market Session Filter ===
nySession     = time(timeframe.period, "0930-1600", "America/New_York")
londonSession = time(timeframe.period, "0800-1630", "Europe/London")
tokyoSession  = time(timeframe.period, "0900-1500", "Asia/Tokyo")
allSession    = time(timeframe.period, "0000-0000")
inSession = useAllMarkets ? not na(allSession) : sessionChoice == "New York" ? not na(nySession) : sessionChoice == "London"   ? not na(londonSession) : sessionChoice == "Tokyo"    ? not na(tokyoSession) : false
bgcolor(showSessionBox and inSession ? color.new(color.blue, 90) : na)

// === ETH Session Window (22-Hour Futures) ===
ethStart = timestamp(sessionTZ, year, month, dayofmonth - 1, 17, 00)
ethEnd   = timestamp(sessionTZ, year, month, dayofmonth,     15, 00)
inEthWindow = time("30") >= ethStart and time("30") <= ethEnd

ethHigh  = inEthWindow ? high : na
ethLow   = inEthWindow ? low  : na
ethClose = inEthWindow ? close : na

extHigh  = ta.highest(ethHigh, 100)
extLow   = ta.lowest(ethLow, 100)
extClose = ta.valuewhen(not na(ethClose), ethClose, 0)

// === Value Area Calculations ===
vaRange = (extHigh - extLow) * 0.68
vah = extHigh - ((extHigh - extLow - vaRange) / 2)
val = extLow  + ((extHigh - extLow - vaRange) / 2)
poc = (extHigh + extLow + extClose) / 3

finalVAH = useManualLevels ? manualVAH : vah
finalVAL = useManualLevels ? manualVAL : val
finalPOC = useManualLevels ? manualPOC : poc

// === Signal Logic ===
validLongDay  = extClose < finalVAL
validShortDay = extClose > finalVAH

insideVA = close > finalVAL and close < finalVAH
reenteredFromBelow = validLongDay and close > finalVAL
reenteredFromAbove = validShortDay and close < finalVAH

var int barsInside = 0
barsInside := ta.change(time("D")) ? 0 : insideVA ? barsInside + 1 : 0
insideConfirmed = barsInside >= 3

retestVAL = validLongDay and low <= finalVAL
retestVAH = validShortDay and high >= finalVAH

longSignal  = inSession and validLongDay and reenteredFromBelow and insideConfirmed and retestVAL
shortSignal = inSession and validShortDay and reenteredFromAbove and insideConfirmed and retestVAH

longBar  = longSignal and not longSignal[1]
shortBar = shortSignal and not shortSignal[1]

// === Strategy Entries ===
if longBar
    strategy.entry("Long", strategy.long, comment="80% Long Signal")

if shortBar
    strategy.entry("Short", strategy.short, comment="80% Short Signal")

// === Strategy Exits at POC ===
strategy.exit("Long to POC",  from_entry="Long",  limit=finalPOC)
strategy.exit("Short to POC", from_entry="Short", limit=finalPOC)

// === Track Full Move (Visual Only) ===
longFullHit  = longBar and high >= finalVAH
shortFullHit = shortBar and low  <= finalVAL

plotshape(longFullHit,  title="Full Move Long",  location=location.abovebar, color=color.green, style=shape.triangleup, text="FULL")
plotshape(shortFullHit, title="Full Move Short", location=location.belowbar, color=color.red,   style=shape.triangledown, text="FULL")

// === Debug Diagnostics ===
if debugMode and (longBar or shortBar)
    debugText = (useManualLevels ? "Manual Mode" : "Auto Mode") +  " | TZ: " + sessionTZ +  " | 80% Triggered | barsInside: " + str.tostring(barsInside)

    label.new(bar_index, close, debugText, xloc.bar_index, longBar ? yloc.belowbar : yloc.abovebar, style=label.style_label_left, textcolor=color.white, size=size.small, color=color.new(color.gray, 70))

• 多周期均值回归趋势突破交易系统
• 高级压力反转与K线重叠策略
• 52周高低位/平均成交量/成交量突破策略
• ADX (Average Directional Index) 和交易量趋势动态跟踪策略
• 基于K线蜡烛图吸收形态的双向交易量化策略
• 相对强弱指数与125日高点突破及成交量过滤策略
• 多层次机构订单流动量化策略与动态分仓优化系统
• 布林带均值回归交易策略与成交量过滤
• 双周期移动平均线结合RSI动量和成交量的趋势跟踪策略
• 量化交易中基于RSI与成交量的高级反转策略