首日范围突破交易策略:基于ATR追踪止损的高频量化交易系统

/*backtest
start: 2025-07-28 00:00:00
end: 2025-08-02 00:00:00
period: 15m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

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

//@version=5
strategy("Breakout Strategy: Nifty only and only at 15 min Timeframe", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === TIME SETTINGS ===
startSession     = timestamp("Asia/Kolkata", year, month, dayofmonth, 9, 15)
first3EndSession = timestamp("Asia/Kolkata", year, month, dayofmonth, 9, 30)
afterFirst3      = time >= first3EndSession

// === FIRST 3 CANDLE RANGE (9:15 – 9:30) ===
var float first3High = na
var float first3Low  = na

inFirst3 = time >= startSession and time < first3EndSession

if time == startSession
    first3High := na
    first3Low := na

if inFirst3
    first3High := na(first3High) ? high : math.max(first3High, high)
    first3Low := na(first3Low) ? low : math.min(first3Low, low)

targetRange = first3High - first3Low

// === VOLUME FILTER ===
volMA     = ta.sma(volume, 5)
volumeOK  = volume> volMA

// === BREAKOUT/BREAKDOWN LOGIC ===
isBreakout  = afterFirst3 and close > first3High and volumeOK
isBreakdown = afterFirst3 and close < first3Low and volumeOK

// === ATR TRAILING SL SETTINGS ===
atrLen     = 20
atrMult    = 2.0
atr        = ta.atr(atrLen)
trailOffset = atr * atrMult

// === TRADE CONTROL ===
var bool  tradeTaken   = false
var float trailSL      = na
var float entryPrice   = na
var float targetPrice  = na

if time == startSession
    tradeTaken  := false
    trailSL     := na
    entryPrice  := na
    targetPrice := na

// === ENTRY CONDITIONS ===
if isBreakout and not tradeTaken and not na(targetRange)
    strategy.entry("Buy", strategy.long)
    entryPrice  := close
    trailSL     := close - trailOffset
    targetPrice := close + targetRange
    tradeTaken  := true
    alert("🔔 BUY triggered!", alert.freq_once_per_bar_close)

if isBreakdown and not tradeTaken and not na(targetRange)
    strategy.entry("Sell", strategy.short)
    entryPrice  := close
    trailSL     := close + trailOffset
    targetPrice := close - targetRange
    tradeTaken  := true
    alert("🔔 SELL triggered!", alert.freq_once_per_bar_close)

// === UPDATE TRAILING SL EACH BAR (ONLY AFTER ENTRY) ===
if strategy.position_size > 0
    trailSL := math.max(trailSL, close - trailOffset)

if strategy.position_size < 0
    trailSL := math.min(trailSL, close + trailOffset)

// === EXIT CONDITIONS ===
if strategy.position_size > 0 and (close <= trailSL or high >= targetPrice)
    strategy.close("Buy", comment="Exit: SL or Target")
    alert("❌ EXIT Buy: SL or Target Hit", alert.freq_once_per_bar_close)

if strategy.position_size < 0 and (close >= trailSL or low <= targetPrice)
    strategy.close("Sell", comment="Exit: SL or Target")
    alert("❌ EXIT Sell: SL or Target Hit", alert.freq_once_per_bar_close)

// === PLOTS ===
plot(afterFirst3 ? first3High : na, title="Breakout Level", color=color.green, linewidth=1, style = plot.style_linebr)
plot(afterFirst3 ? first3Low : na, title="Breakdown Level", color=color.red, linewidth=1, style = plot.style_linebr)

plot(strategy.position_size > 0 ? trailSL : na, title="Trailing SL (Long)", color=color.red, linewidth=2, style = plot.style_linebr)
plot(strategy.position_size < 0 ? trailSL : na, title="Trailing SL (Short)", color=color.lime, linewidth=2, style = plot.style_linebr)

plot(strategy.position_size > 0 ? targetPrice : na, title="Target (Long)", color=color.blue, linewidth=1, style=plot.style_linebr)
plot(strategy.position_size < 0 ? targetPrice : na, title="Target (Short)", color=color.purple, linewidth=1, style=plot.style_linebr)

// === TIME-BASED FINAL EXIT AT 3:15 PM IST ===
closeTime = timestamp("Asia/Kolkata", year, month, dayofmonth, 15, 00)

if time >= closeTime and strategy.position_size != 0
    strategy.close_all(comment = "Force Exit at 3:15 PM")
    alert("⏰ Auto Exit at 3:15 PM", alert.freq_once_per_bar_close)

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