增强型多过滤器超级趋势策略

/*backtest
start: 2024-08-04 00:00:00
end: 2025-08-02 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

//@version=5
strategy("Advanced Supertrend Strategy", shorttitle="AdvST", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.1)

// === INPUT PARAMETERS ===
// Supertrend Settings
atr_length = input.int(6, title="ATR Length", minval=1, tooltip="Length for ATR calculation in Supertrend", group="Supertrend Settings")
multiplier = input.float(3.0, title="Supertrend Multiplier", minval=0.1, step=0.1, tooltip="Multiplier for ATR in Supertrend calculation", group="Supertrend Settings")

// RSI Filter
use_rsi_filter = input.bool(false, title="Enable RSI Filter", tooltip="Use RSI to filter signals", group="RSI Filter")
rsi_length = input.int(14, title="RSI Length", minval=1, tooltip="Length for RSI calculation", group="RSI Filter")
rsi_overbought = input.int(70, title="RSI Overbought", minval=50, maxval=100, tooltip="RSI overbought level", group="RSI Filter")
rsi_oversold = input.int(30, title="RSI Oversold", minval=0, maxval=50, tooltip="RSI oversold level", group="RSI Filter")

// Moving Average Filter
use_ma_filter = input.bool(true, title="Enable MA Filter", tooltip="Use Moving Average trend filter", group="MA Filter")
ma_length = input.int(50, title="MA Length", minval=1, tooltip="Length for Moving Average", group="MA Filter")
ma_type = input.string("WMA", title="MA Type", options=["SMA", "EMA", "WMA"], tooltip="Type of Moving Average", group="MA Filter")

// Risk Management
use_stop_loss = input.bool(true, title="Enable Stop Loss", tooltip="Use stop loss based on ATR", group="Risk Management")
sl_multiplier = input.float(3.0, title="Stop Loss ATR Multiplier", minval=0.1, step=0.1, tooltip="Stop loss distance in ATR multiples", group="Risk Management")
use_take_profit = input.bool(true, title="Enable Take Profit", tooltip="Use take profit based on ATR", group="Risk Management")
tp_multiplier = input.float(9.0, title="Take Profit ATR Multiplier", minval=0.1, step=0.1, tooltip="Take profit distance in ATR multiples", group="Risk Management")

// Advanced Features
use_trend_strength = input.bool(false, title="Enable Trend Strength Filter", tooltip="Filter weak trends", group="Advanced Features")
min_trend_bars = input.int(2, title="Minimum Trend Bars", minval=1, tooltip="Minimum bars in trend direction", group="Advanced Features")
use_breakout_confirmation = input.bool(true, title="Enable Breakout Confirmation", tooltip="Wait for price to break supertrend level", group="Advanced Features")

// Date Range for Backtesting
in_date_range = true 

// === TECHNICAL INDICATORS ===
// Supertrend Calculation
atr = ta.atr(atr_length)
hl2_val = hl2
up = hl2_val - (multiplier * atr)
down = hl2_val + (multiplier * atr)

var float trend_up = na
var float trend_down = na
var int trend = 1

trend_up := close[1] > trend_up[1] ? math.max(up, trend_up[1]) : up
trend_down := close[1] < trend_down[1] ? math.min(down, trend_down[1]) : down

trend := close <= trend_down[1] ? -1 : close >= trend_up[1] ? 1 : nz(trend[1], 1)

supertrend = trend == 1 ? trend_up : trend_down
supertrend_color = trend == 1 ? color.green : color.red

// RSI Calculation
rsi = ta.rsi(close, rsi_length)

// Moving Average Calculation
ma = ma_type == "SMA" ? ta.sma(close, ma_length) : ma_type == "EMA" ? ta.ema(close, ma_length) : ta.wma(close, ma_length)

// Trend Strength Analysis
var int trend_strength = 0
if trend != trend[1]
    trend_strength := 1
else
    trend_strength := trend_strength[1] + 1

// === SIGNAL GENERATION ===
// Basic Supertrend Signals
supertrend_bullish = trend == 1 and trend[1] == -1  // Supertrend changes from bearish to bullish
supertrend_bearish = trend == -1 and trend[1] == 1  // Supertrend changes from bullish to bearish

// Advanced Signal Filters
rsi_buy_condition = not use_rsi_filter or (rsi > rsi_oversold and rsi < rsi_overbought)
rsi_sell_condition = not use_rsi_filter or (rsi < rsi_overbought and rsi > rsi_oversold)

ma_buy_condition = not use_ma_filter or close > ma
ma_sell_condition = not use_ma_filter or close < ma

trend_strength_condition = not use_trend_strength or trend_strength >= min_trend_bars

breakout_buy_condition = not use_breakout_confirmation or close > supertrend[1]
breakout_sell_condition = not use_breakout_confirmation or close < supertrend[1]

// Final Signal Logic
buy_signal = supertrend_bullish and rsi_buy_condition and ma_buy_condition and trend_strength_condition and breakout_buy_condition and in_date_range
sell_signal = supertrend_bearish and rsi_sell_condition and ma_sell_condition and trend_strength_condition and breakout_sell_condition and in_date_range

// === STRATEGY EXECUTION ===
// Entry Logic
if buy_signal and strategy.position_size <= 0
    entry_price = close
    stop_loss_price = use_stop_loss ? entry_price - (atr * sl_multiplier) : na
    take_profit_price = use_take_profit ? entry_price + (atr * tp_multiplier) : na
    
    strategy.entry("Long", strategy.long, alert_message="Advanced Supertrend BUY Signal")
    
    if use_stop_loss
        strategy.exit("Long SL/TP", "Long", stop=stop_loss_price, limit=take_profit_price)

if sell_signal and strategy.position_size >= 0
    entry_price = close
    stop_loss_price = use_stop_loss ? entry_price + (atr * sl_multiplier) : na
    take_profit_price = use_take_profit ? entry_price - (atr * tp_multiplier) : na
    
    strategy.entry("Short", strategy.short, alert_message="Advanced Supertrend SELL Signal")
    
    if use_stop_loss
        strategy.exit("Short SL/TP", "Short", stop=stop_loss_price, limit=take_profit_price)

• 多重过滤RSI动量确认交易策略
• Super Scalper - 5 Min 15 Min
• 多重平滑均线动态交叉趋势跟踪与多重确认量化交易策略
• 长期趋势与波动率识别相结合的指数移动均线超级趋势量化交易策略
• 多因子自适应震荡交易策略：基于平均线交叉与布林带振荡的风险收益比优化系统
• 多指标趋势跟踪与区间交易相结合的自适应策略
• 基于EMA和Supertrend结合的多时间框架趋势跟踪策略
• 首个蜡烛突破-止损或收盘自动平仓策略
• 多指标综合分析量化交易策略：趋势动量与波动性协同预测模型
• 多重指标动态自适应调仓ATR波动率策略