多时间框架开盘区间突破与公允价值缺口量化交易策略

/*backtest
start: 2025-09-15 00:00:00
end: 2025-10-14 08:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":500000}]
*/

//@version=5
strategy("XAUUSD 5-Min ORB + FVG (09:30–10:30, 1/day, 5% risk, ORB SL)",
     overlay=true)

// ===== Inputs =====
RR           = input.float(2.0, "Risk-Reward Ratio", step=0.1)
RiskPct      = input.float(5.0, "Risk % per Trade", step=0.5, minval=0.1, maxval=50)
SessionStr   = input("0930-1030", "Trading Session (chart TZ)")
SL_Buffer    = input.float(0.50, "SL Buffer (price units)", step=0.01)  // e.g., 0.50 on XAUUSD

// ===== Session filter (uses chart timezone; set chart TZ to UTC-4 to match you) =====
inSession = not na(time(timeframe.period, SessionStr))

// ===== 5-minute series (to build the opening range) =====
h5    = request.security(syminfo.tickerid, "5", high)
l5    = request.security(syminfo.tickerid, "5", low)
conf5 = request.security(syminfo.tickerid, "5", barstate.isconfirmed)

// Build a 5m session state matching the same 09:30–10:30 window, but on 5m bars
inSess5 = request.security(syminfo.tickerid, "5", not na(time("5", SessionStr)))
firstBarOpen5 = inSess5 and not inSess5[1]  // first 5m bar of the window (at its OPEN)

// ==== ORB state ====
var float ORBHigh = na
var float ORBLow  = na
var bool  ORBSet  = false

// Wait for the first 5m bar of the session to close, then lock its H/L as the ORB
var bool waitClose = false
if firstBarOpen5
    ORBSet := false
    waitClose := true
if waitClose and conf5
    ORBHigh := h5
    ORBLow  := l5
    ORBSet := true
    waitClose := false

// ===== One trade per day logic (resets at day change in chart TZ) =====
var bool TradedToday = false
if ta.change(time("D"))
    TradedToday := false

// ===== 1-minute series for breakout + FVG =====
h1 = request.security(syminfo.tickerid, "1", high)
l1 = request.security(syminfo.tickerid, "1", low)
c1 = request.security(syminfo.tickerid, "1", close)

// Wick-to-wick FVG (ICT-style) on breakout bar
bullFVG = (not na(h1[2]) and not na(l1)) ? (h1[2] < l1) : false
bearFVG = (not na(l1[2]) and not na(h1)) ? (l1[2] > h1) : false

// Breakout checks vs ORB
breakAbove = not na(ORBHigh) and c1 > ORBHigh
breakBelow = not na(ORBLow)  and c1 < ORBLow

// Signals within session, with ORB locked, and only if not traded today
canTrade   = inSession and ORBSet and not TradedToday
buySignal  = canTrade and breakAbove and bullFVG
sellSignal = canTrade and breakBelow and bearFVG

// ===== 5% risk-based position sizing =====
f_qty(entry, sl) =>
    riskAmt     = (RiskPct / 100.0) * strategy.equity
    riskPerUnit = math.abs(entry - sl) * syminfo.pointvalue
    valid       = (riskPerUnit > 0) and (riskAmt > 0)
    qty         = valid ? math.max(0.0001, riskAmt / riskPerUnit) : na
    qty

// ===== Orders =====
// SL is set relative to the 5m opening range +/− buffer
if buySignal
    sl = ORBLow - SL_Buffer
    // if somehow ORBLow is na, fallback to candle low
    sl := na(sl) ? l1 : sl
    tp = c1 + RR * (c1 - sl)
    q  = f_qty(c1, sl)
    if not na(q) and c1 > sl
        strategy.entry("BUY", strategy.long, qty=q)
        strategy.exit("TP/SL BUY", from_entry="BUY", stop=sl, limit=tp)
        TradedToday := true

if sellSignal
    sl = ORBHigh + SL_Buffer
    sl := na(sl) ? h1 : sl
    tp = c1 - RR * (sl - c1)
    q  = f_qty(c1, sl)
    if not na(q) and sl > c1
        strategy.entry("SELL", strategy.short, qty=q)
        strategy.exit("TP/SL SELL", from_entry="SELL", stop=sl, limit=tp)
        TradedToday := true

// ===== Visuals =====
plot(ORBHigh, "ORB High (5m)", color=color.new(color.orange, 0))
plot(ORBLow,  "ORB Low  (5m)", color=color.new(color.orange, 0))
hline(0, "Zero line", color=color.new(color.gray, 85))

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