海龟趋势进化版

/*backtest
start: 2025-01-01 00:00:00
end: 2025-12-02 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Grok/Claude Turtle Trend Pro Strategy (HA)", 
         shorttitle="🐢 Turtle HA", 
         overlay=true, 
         initial_capital=10000,
         default_qty_type=strategy.percent_of_equity,
         default_qty_value=10,
         commission_type=strategy.commission.percent,
         commission_value=0.075,
         slippage=2,
         pyramiding=0,
         max_bars_back=500)

// ══════════════════════════════════════════════════════════════════════════════
// ║ TURTLE TREND PRO STRATEGY (HEIKIN ASHI ENHANCED)                           ║
// ║ Based on Richard Dennis's Turtle Trading Rules                             ║
// ║ Enhanced with Heikin Ashi Smoothing & Neural Fusion Pro Styling            ║
// ══════════════════════════════════════════════════════════════════════════════

// ═══════════════════════════════════════════════════════════
// INPUT GROUPS
// ═══════════════════════════════════════════════════════════
groupEntry      = "Entry Settings (Donchian Breakouts)"
groupExit       = "Exit Settings"
groupFilters    = "Signal Filters"
groupHA         = "Heikin Ashi Settings"
groupDisplay    = "Display Settings"

// ── ENTRY SETTINGS (Donchian Channel Breakouts) ───────────────────────────────
entryLength     = input.int(20, "Entry Breakout Period", minval=5, maxval=100, group=groupEntry, tooltip="Original Turtle System 1 used 20 days")
entryLengthLong = input.int(55, "Long-Term Entry Period", minval=20, maxval=200, group=groupEntry, tooltip="Original Turtle System 2 used 55 days")
useSystem2      = input.bool(false, "Use System 2 (55-period)", group=groupEntry, tooltip="System 2 catches bigger trends but fewer trades")

// ── EXIT SETTINGS ─────────────────────────────────────────────────────────────
exitLength      = input.int(15, "Exit Period (System 1)", minval=3, maxval=50, group=groupExit, tooltip="Exit on opposite breakout for position exits")
exitLengthLong  = input.int(20, "Exit Period (System 2)", minval=5, maxval=100, group=groupExit)
atrPeriod       = input.int(20, "ATR Period", minval=5, maxval=50, group=groupExit)
atrMultiplier   = input.float(2.0, "ATR Stop Multiplier", minval=0.5, maxval=5.0, step=0.5, group=groupExit, tooltip="Original Turtles used 2x ATR")
useAtrStop      = input.bool(true, "Use ATR Stop Loss", group=groupExit)

// ── SIGNAL FILTERS ────────────────────────────────────────────────────────────
useTrendFilter  = input.bool(false, "Use Trend MA Filter", group=groupFilters, tooltip="Only trade in direction of major trend (off by default)")
maLength        = input.int(200, "Trend MA Length", minval=10, maxval=500, group=groupFilters, tooltip="Adjustable MA length for trend filter")
maType          = input.string("EMA", "MA Type", options=["SMA", "EMA"], group=groupFilters)
useAdxFilter    = input.bool(true, "Require ADX Trending", group=groupFilters)
adxLength       = input.int(14, "ADX Length", minval=5, maxval=30, group=groupFilters)
adxThreshold    = input.int(20, "ADX Threshold", minval=10, maxval=40, group=groupFilters)
useRsiFilter    = input.bool(false, "Use RSI Filter", group=groupFilters)
rsiLength       = input.int(14, "RSI Length", minval=5, maxval=30, group=groupFilters)
rsiOversold     = input.int(30, "RSI Oversold", minval=10, maxval=50, group=groupFilters)
rsiOverbought   = input.int(70, "RSI Overbought", minval=50, maxval=90, group=groupFilters)
useVolumeFilter = input.bool(false, "Require Volume Surge", group=groupFilters)
volumePeriod    = input.int(20, "Volume Average Period", minval=5, maxval=50, group=groupFilters)
volumeMultiple  = input.float(1.5, "Volume Surge Multiplier", minval=1.0, maxval=3.0, step=0.1, group=groupFilters)

// ── HEIKIN ASHI SETTINGS ──────────────────────────────────────────────────────
useHACalc       = input.bool(true, "Use Heikin Ashi Calculations", group=groupHA, tooltip="Apply HA smoothing to breakout detection")
showHACandles   = input.bool(true, "Display Heikin Ashi Candles", group=groupHA, tooltip="Visually show HA candles on chart")
cooldownPeriod  = input.int(5, "Signal Cooldown (Bars)", minval=1, maxval=20, group=groupHA, tooltip="Number of bars to wait after a trade before allowing new signals")

// ── DISPLAY SETTINGS ──────────────────────────────────────────────────────────
showChannels    = input.bool(true, "Show Donchian Channels", group=groupDisplay)
showExitChannels = input.bool(true, "Show Exit Channels", group=groupDisplay)
showMA          = input.bool(false, "Show Trend MA", group=groupDisplay, tooltip="Display the trend MA on chart (off by default)")
showCloud       = input.bool(true, "Show Channel Cloud", group=groupDisplay)
showBackground  = input.bool(true, "Show Regime Background", group=groupDisplay)
showTable       = input.bool(true, "Show Info Panel", group=groupDisplay)
showLabels      = input.bool(true, "Show Entry/Exit Labels", group=groupDisplay)
cloudOpacity    = input.int(90, "Cloud Opacity", minval=50, maxval=95, group=groupDisplay)
bgOpacity       = input.int(92, "Background Opacity", minval=80, maxval=98, group=groupDisplay)

// ═══════════════════════════════════════════════════════════
// HEIKIN ASHI CALCULATIONS
// ═══════════════════════════════════════════════════════════

// Calculate Heikin Ashi values
var float haOpen = na
haClose = (open + high + low + close) / 4
haOpen := na(haOpen[1]) ? (open + close) / 2 : (haOpen[1] + haClose[1]) / 2
haHigh = math.max(high, haOpen, haClose)
haLow = math.min(low, haOpen, haClose)

// Select which price data to use for calculations
calcHigh = useHACalc ? haHigh : high
calcLow = useHACalc ? haLow : low
calcClose = useHACalc ? haClose : close
calcOpen = useHACalc ? haOpen : open

// ═══════════════════════════════════════════════════════════
// DONCHIAN CHANNEL CALCULATIONS
// ═══════════════════════════════════════════════════════════

// Select entry/exit periods based on system
activeEntryLen = useSystem2 ? entryLengthLong : entryLength
activeExitLen = useSystem2 ? exitLengthLong : exitLength

// Donchian Channel for Entry (use [1] to avoid repainting)
// Using HA values for smoother breakout detection
entryHighest = ta.highest(calcHigh, activeEntryLen)[1]
entryLowest = ta.lowest(calcLow, activeEntryLen)[1]
entryMid = (entryHighest + entryLowest) / 2

// Donchian Channel for Exit
exitLowest = ta.lowest(calcLow, activeExitLen)[1]
exitHighest = ta.highest(calcHigh, activeExitLen)[1]

// ATR for stops (using regular prices for accurate volatility)
atr = ta.atr(atrPeriod)
atrPercent = atr / close * 100

// ATR Percentile for volatility assessment
atrPercentile = ta.percentrank(atr, 100)

// Trend Filter MA (can use HA close for smoother trend)
trendMA = maType == "EMA" ? ta.ema(calcClose, maLength) : ta.sma(calcClose, maLength)
isUptrend = calcClose > trendMA
isDowntrend = calcClose < trendMA
maSlope = trendMA - trendMA[1]
maSlopeUp = maSlope > 0
maSlopeDown = maSlope < 0

// ADX Filter
[diPlus, diMinus, adx] = ta.dmi(adxLength, adxLength)
adxSmoothed = ta.ema(adx, 3)
isTrending = adxSmoothed > adxThreshold

// RSI Filter
rsi = ta.rsi(calcClose, rsiLength)
rsiOversoldZone = rsi < rsiOversold
rsiOverboughtZone = rsi > rsiOverbought

// Volume Filter
avgVolume = ta.sma(volume, volumePeriod)
volumeSurge = volume > avgVolume * volumeMultiple

// OBV for trend confirmation
obv = ta.obv
obvSma = ta.sma(obv, 20)
obvBullish = obv > obvSma
obvBearish = obv < obvSma

// ═══════════════════════════════════════════════════════════
// TREND STRENGTH METER (0-100%)
// ═══════════════════════════════════════════════════════════

adxStrength = math.min(adxSmoothed / 50 * 100, 100)
priceVsMa = math.abs(calcClose - trendMA) / trendMA * 100
maStrength = math.min(priceVsMa * 10, 100)
donchianRange = entryHighest - entryLowest
priceInChannel = donchianRange > 0 ? (calcClose - entryLowest) / donchianRange * 100 : 50
channelStrength = isUptrend ? priceInChannel : (100 - priceInChannel)
diSpread = math.abs(diPlus - diMinus)
diStrength = math.min(diSpread * 2, 100)

trendStrength = (adxStrength * 0.40) + (maStrength * 0.25) + (channelStrength * 0.20) + (diStrength * 0.15)
trendStrength := math.min(math.max(trendStrength, 0), 100)

// ═══════════════════════════════════════════════════════════
// BREAKOUT DETECTION (Using HA or Regular prices)
// ═══════════════════════════════════════════════════════════

longBreakout = calcHigh > entryHighest
shortBreakout = calcLow < entryLowest
longExitBreakout = calcLow < exitLowest
shortExitBreakout = calcHigh > exitHighest

// ═══════════════════════════════════════════════════════════
// SIGNAL CONDITIONS
// ═══════════════════════════════════════════════════════════

// Cooldown tracking
var int lastTradeBar = 0
cooldownMet = bar_index - lastTradeBar >= cooldownPeriod

// Apply filters
trendLongOK = useTrendFilter ? (isUptrend and maSlopeUp) : true
trendShortOK = useTrendFilter ? (isDowntrend and maSlopeDown) : true
adxOK = useAdxFilter ? isTrending : true
rsiLongOK = useRsiFilter ? rsiOversoldZone : true
rsiShortOK = useRsiFilter ? rsiOverboughtZone : true
volumeOK = useVolumeFilter ? volumeSurge : true

// Entry conditions (with cooldown)
longCondition = longBreakout and trendLongOK and adxOK and rsiLongOK and volumeOK and cooldownMet
shortCondition = shortBreakout and trendShortOK and adxOK and rsiShortOK and volumeOK and cooldownMet

// Exit conditions
exitLongCondition = longExitBreakout
exitShortCondition = shortExitBreakout

// ═══════════════════════════════════════════════════════════
// REGIME CLASSIFICATION
// ═══════════════════════════════════════════════════════════

isBull = isUptrend and diPlus > diMinus and obvBullish and isTrending
isBear = isDowntrend and diMinus > diPlus and obvBearish and isTrending
isNeutral = not isBull and not isBear

// ═══════════════════════════════════════════════════════════
// STRATEGY EXECUTION
// ═══════════════════════════════════════════════════════════

// Calculate stop loss levels (using regular close for actual order placement)
longStopLoss = useAtrStop ? close - (atr * atrMultiplier) : exitLowest
shortStopLoss = useAtrStop ? close + (atr * atrMultiplier) : exitHighest

// Long Entry
if longCondition and strategy.position_size <= 0
    strategy.entry("Long", strategy.long)
    lastTradeBar := bar_index
    if showLabels
        label.new(bar_index, low - atr * 0.5, "🐢 LONG\n" + str.tostring(close, "#.##"), 
                  style=label.style_label_up, color=color.new(#00FF00, 10), 
                  size=size.small, textcolor=color.white)

// Short Entry
if shortCondition and strategy.position_size >= 0
    strategy.entry("Short", strategy.short)
    lastTradeBar := bar_index
    if showLabels
        label.new(bar_index, high + atr * 0.5, "🐢 SHORT\n" + str.tostring(close, "#.##"), 
                  style=label.style_label_down, color=color.new(#FF0000, 10), 
                  size=size.small, textcolor=color.white)

// Exit Long
if strategy.position_size > 0 and exitLongCondition
    strategy.close("Long", comment="Exit Long")
    if showLabels
        label.new(bar_index, high + atr * 0.3, "EXIT", 
                  style=label.style_label_down, color=color.new(#FFA500, 20), 
                  size=size.tiny, textcolor=color.white)

// Exit Short
if strategy.position_size < 0 and exitShortCondition
    strategy.close("Short", comment="Exit Short")
    if showLabels
        label.new(bar_index, low - atr * 0.3, "EXIT", 
                  style=label.style_label_up, color=color.new(#FFA500, 20), 
                  size=size.tiny, textcolor=color.white)

// ATR Stop Loss
if useAtrStop
    if strategy.position_size > 0
        strategy.exit("Long SL", "Long", stop=longStopLoss)
    if strategy.position_size < 0
        strategy.exit("Short SL", "Short", stop=shortStopLoss)

// ═══════════════════════════════════════════════════════════
// HEIKIN ASHI CANDLE VISUALIZATION
// ═══════════════════════════════════════════════════════════

// Determine HA candle colors
haIsBullish = haClose > haOpen
haColor = haIsBullish ? #00FF00 : #FF0000
haWickColor = haIsBullish ? #00AA00 : #AA0000

// Plot HA candles using plotcandle
plotcandle(showHACandles ? haOpen : na, 
           showHACandles ? haHigh : na, 
           showHACandles ? haLow : na, 
           showHACandles ? haClose : na, 
           title="Heikin Ashi Candles",
           color=haColor, 
           wickcolor=haWickColor, 
           bordercolor=haColor)

// ═══════════════════════════════════════════════════════════
// VISUALIZATION - DONCHIAN CHANNELS
// ═══════════════════════════════════════════════════════════

upperColor = isBull ? color.new(#00FF00, 30) : isBear ? color.new(#FF0000, 30) : color.new(#FFFF00, 30)
lowerColor = isBull ? color.new(#00FF00, 30) : isBear ? color.new(#FF0000, 30) : color.new(#FFFF00, 30)
midColor = isBull ? color.new(#00FF00, 60) : isBear ? color.new(#FF0000, 60) : color.new(#FFFF00, 60)

pUpper = plot(showChannels ? entryHighest : na, "Entry High", color=upperColor, linewidth=2)
pLower = plot(showChannels ? entryLowest : na, "Entry Low", color=lowerColor, linewidth=2)
plot(showChannels ? entryMid : na, "Entry Mid", color=midColor, linewidth=1, style=plot.style_circles)

cloudCol = isBull ? color.new(#00FF00, cloudOpacity) : isBear ? color.new(#FF0000, cloudOpacity) : color.new(#FFFF00, cloudOpacity)
fill(pUpper, pLower, color=showCloud ? cloudCol : na, title="Channel Cloud")

plot(showExitChannels ? exitLowest : na, "Exit Low (Longs)", color=color.new(#00FF00, 50), linewidth=1, style=plot.style_cross)
plot(showExitChannels ? exitHighest : na, "Exit High (Shorts)", color=color.new(#FF0000, 50), linewidth=1, style=plot.style_cross)

maPlotColor = isUptrend ? color.new(#00FF00, 20) : color.new(#FF0000, 20)
plot(showMA ? trendMA : na, "Trend MA", color=maPlotColor, linewidth=3)

// ═══════════════════════════════════════════════════════════
// BACKGROUND COLORING
// ═══════════════════════════════════════════════════════════

bgColor = isBull ? color.new(#00FF00, bgOpacity) : isBear ? color.new(#FF0000, bgOpacity) : color.new(#FFFFFF, bgOpacity)
bgcolor(showBackground ? bgColor : na)

// ═══════════════════════════════════════════════════════════
// INFO TABLE (Neural Fusion Pro Style)
// ═══════════════════════════════════════════════════════════

var table infoPanel = table.new(position.top_right, 2, 12, bgcolor=color.new(color.black, 85), border_width=1, frame_color=color.gray, frame_width=1)
leftBg = color.new(color.gray, 70)

if showTable
    // Clear and rebuild table on every bar to ensure visibility
    table.clear(infoPanel, 0, 0, 1, 11)
    
    // Header
    table.cell(infoPanel, 0, 0, "🐢 TURTLE", bgcolor=color.new(#2962ff, 30), text_color=color.white)
    table.cell(infoPanel, 1, 0, "STATUS", bgcolor=color.new(#2962ff, 30), text_color=color.white)
    
    // System Type
    systemText = useSystem2 ? "System 2 (55)" : "System 1 (20)"
    systemBg = useSystem2 ? color.new(color.purple, 60) : color.new(color.blue, 60)
    table.cell(infoPanel, 0, 1, "System", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 1, systemText, bgcolor=systemBg, text_color=color.white)
    
    // Candle Mode
    candleText = useHACalc ? "Heikin Ashi" : "Standard"
    candleBg = useHACalc ? color.new(#9C27B0, 50) : color.new(color.gray, 60)
    table.cell(infoPanel, 0, 2, "Candles", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 2, candleText, bgcolor=candleBg, text_color=color.white)
    
    // Regime
    regimeText = isBull ? "BULLISH" : isBear ? "BEARISH" : "NEUTRAL"
    regimeBg = isBull ? color.new(#00FF00, 50) : isBear ? color.new(#FF0000, 50) : color.new(color.gray, 60)
    table.cell(infoPanel, 0, 3, "Regime", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 3, regimeText, bgcolor=regimeBg, text_color=color.white)
    
    // Market State
    marketText = isTrending ? "TRENDING" : "RANGING"
    marketBg = isTrending ? color.new(#4D88FF, 50) : color.new(color.orange, 50)
    table.cell(infoPanel, 0, 4, "Market", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 4, marketText, bgcolor=marketBg, text_color=color.white)
    
    // ADX
    adxBgColor = adxSmoothed < 15 ? color.white : adxSmoothed <= 25 ? color.orange : color.green
    adxTextColor = adxSmoothed < 15 ? color.black : color.white
    table.cell(infoPanel, 0, 5, "ADX", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 5, str.tostring(adxSmoothed, "#.#"), bgcolor=adxBgColor, text_color=adxTextColor)
    
    // Volatility
    volBg = atrPercentile < 30 ? color.new(color.green, 50) : atrPercentile > 70 ? color.new(color.red, 50) : color.new(color.orange, 50)
    table.cell(infoPanel, 0, 6, "Volatility", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 6, str.tostring(atrPercentile, "#") + "%", bgcolor=volBg, text_color=color.white)
    
    // RSI
    rsiBg = rsi < 30 ? color.new(color.green, 50) : rsi > 70 ? color.new(color.red, 50) : color.new(color.gray, 60)
    table.cell(infoPanel, 0, 7, "RSI", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 7, str.tostring(rsi, "#.#"), bgcolor=rsiBg, text_color=color.white)
    
    // Breakout High
    table.cell(infoPanel, 0, 8, "Break High", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 8, str.tostring(entryHighest, "#.##"), bgcolor=color.new(#00FF00, 60), text_color=color.white)
    
    // Breakout Low
    table.cell(infoPanel, 0, 9, "Break Low", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 9, str.tostring(entryLowest, "#.##"), bgcolor=color.new(#FF0000, 60), text_color=color.white)
    
    // Trend Strength
    trendStrengthBg = trendStrength < 25 ? color.gray : trendStrength < 50 ? color.yellow : trendStrength < 75 ? color.orange : color.green
    trendStrengthTextColor = trendStrength < 25 ? color.white : trendStrength >= 75 ? color.white : color.black
    table.cell(infoPanel, 0, 10, "Trend Str", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 10, str.tostring(trendStrength, "#") + "%", bgcolor=trendStrengthBg, text_color=trendStrengthTextColor)
    
    // Position
    posText = strategy.position_size > 0 ? "LONG" : strategy.position_size < 0 ? "SHORT" : "FLAT"
    posBg = strategy.position_size > 0 ? color.new(color.green, 50) : strategy.position_size < 0 ? color.new(color.red, 50) : color.new(color.gray, 70)
    table.cell(infoPanel, 0, 11, "Position", bgcolor=leftBg, text_color=color.white)
    table.cell(infoPanel, 1, 11, posText, bgcolor=posBg, text_color=color.white)

// ══════════════════════════════════════════════════════════════════════════════
// ║ TURTLE TREND PRO STRATEGY (HA) - QUICK REFERENCE                           ║
// ║                                                                             ║
// ║ Heikin Ashi Enhancement:                                                    ║
// ║ • Smoothed candle calculations reduce noise                                 ║
// ║ • Breakout detection uses HA high/low for cleaner signals                  ║
// ║ • Visual HA candles show trend direction clearly                           ║
// ║ • Toggle between HA and standard calculations                              ║
// ║                                                                             ║
// ║ Original Turtle Rules (Preserved):                                          ║
// ║ • System 1: Enter on 20-period breakout, exit on 15-period opposite        ║
// ║ • System 2: Enter on 55-period breakout, exit on 20-period opposite        ║
// ║ • Stop Loss: 2x ATR from entry                                             ║
// ║                                                                             ║
// ║ Enhanced Features:                                                          ║
// ║ • Optional Trend MA filter (adjustable length, off by default)             ║
// ║ • ADX filter (avoid choppy markets)                                        ║
// ║ • RSI filter option (overbought/oversold confirmation)                     ║
// ║ • Volume surge filter option                                               ║
// ║ • Neural Fusion Pro styling with regime detection                          ║
// ══════════════════════════════════════════════════════════════════════════════

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