智能回撤捕手

/*backtest
start: 2025-08-13 00:00:00
end: 2025-12-23 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("GC/MGC VWAP Pullback + ADX Regime (Prop-Safe)",
     overlay=true,
     pyramiding=0,
     calc_on_every_tick=false,
     process_orders_on_close=true,
     initial_capital=50000)

// ---------- Inputs ----------
groupRegime = "Regime Filter"
adxLen      = input.int(14, "ADX Length", group=groupRegime, minval=1)
adxMin      = input.float(20.0, "ADX Min (trade allowed)", group=groupRegime, step=0.5)
adxMax      = input.float(35.0, "ADX Max (best zone)", group=groupRegime, step=0.5)
adxHardStop = input.float(45.0, "ADX Hard Stop (no new entries above)", group=groupRegime, step=0.5)

groupTrend  = "Trend Filter (1H)"
htf         = input.timeframe("60", "Trend Timeframe", group=groupTrend)
emaFastLen  = input.int(20, "EMA Fast", group=groupTrend, minval=1)
emaSlowLen  = input.int(50, "EMA Slow", group=groupTrend, minval=1)
requireSlope = input.bool(true, "Require EMAs sloping", group=groupTrend)

groupSetup  = "Setup Logic"
useVwap     = input.bool(true, "Use Session VWAP", group=groupSetup)
minWickTicks = input.int(2, "Min wick size (ticks) through VWAP", group=groupSetup, minval=0)
requireEngulf = input.bool(false, "Require strong rejection body (close beyond midpoint)", group=groupSetup)

groupRisk   = "Risk / Exits"
useStops    = input.bool(true, "Use stop loss + targets", group=groupRisk)
rrTP1       = input.float(1.0, "TP1 (R multiple)", group=groupRisk, step=0.25)
rrTP2       = input.float(2.0, "TP2 (R multiple)", group=groupRisk, step=0.25)
tp1Pct      = input.int(50, "TP1 % qty", group=groupRisk, minval=1, maxval=99)
tp2Pct      = 100 - tp1Pct

// ---------- Core Calculations ----------
// ADX
[_, __, adx] = ta.dmi(adxLen, adxLen)

// VWAP (session)
vwap = useVwap ? ta.vwap(hlc3) : na

// 1H EMAs for direction
emaFastHTF = request.security(syminfo.tickerid, htf, ta.ema(close, emaFastLen), barmerge.gaps_off, barmerge.lookahead_off)
emaSlowHTF = request.security(syminfo.tickerid, htf, ta.ema(close, emaSlowLen), barmerge.gaps_off, barmerge.lookahead_off)

// Optional slope filter (simple: current > prior for fast/slow in trend direction)
emaFastHTF_prev = request.security(syminfo.tickerid, htf, ta.ema(close, emaFastLen)[1], barmerge.gaps_off, barmerge.lookahead_off)
emaSlowHTF_prev = request.security(syminfo.tickerid, htf, ta.ema(close, emaSlowLen)[1], barmerge.gaps_off, barmerge.lookahead_off)

bullTrend = emaFastHTF > emaSlowHTF and (not requireSlope or (emaFastHTF > emaFastHTF_prev and emaSlowHTF > emaSlowHTF_prev))
bearTrend = emaFastHTF < emaSlowHTF and (not requireSlope or (emaFastHTF < emaFastHTF_prev and emaSlowHTF < emaSlowHTF_prev))

// Regime filter: "best zone" + hard stop
adxTradable = adx >= adxMin and adx <= adxMax
adxTooHot   = adx > adxHardStop

// Tick helper
tick = syminfo.mintick
minWick = minWickTicks * tick

// ---------- Rejection Candles at VWAP ----------
hasVwap = useVwap and not na(vwap)

// Bullish rejection definition:
// - price probes at/through VWAP (low <= vwap - minWick)
// - closes back above VWAP
// - preferably bullish candle
bullReject =
     hasVwap and
     low <= (vwap - minWick) and
     close > vwap and
     close > open and
     (not requireEngulf or close > (high + low) / 2)

// Bearish rejection definition:
// - price probes at/through VWAP (high >= vwap + minWick)
// - closes back below VWAP
// - preferably bearish candle
bearReject =
     hasVwap and
     high >= (vwap + minWick) and
     close < vwap and
     close < open and
     (not requireEngulf or close < (high + low) / 2)

// We enter on break of the rejection candle high/low (next bar stop order)
// Use prior bar’s rejection signal to avoid repainting.
bullReject_prev = bullReject[1]
bearReject_prev = bearReject[1]

longStopPrice  = high[1] + tick
shortStopPrice = low[1] - tick

// Risk distance (R) based on rejection candle extremes
longSL = low[1] - tick
shortSL = high[1] + tick

longRisk  = math.max(longStopPrice - longSL, tick)
shortRisk = math.max(shortSL - shortStopPrice, tick)

longTP1  = longStopPrice + (longRisk * rrTP1)
longTP2  = longStopPrice + (longRisk * rrTP2)
shortTP1 = shortStopPrice - (shortRisk * rrTP1)
shortTP2 = shortStopPrice - (shortRisk * rrTP2)

// ---------- Entry Conditions ----------
canEnter = not adxTooHot and adxTradable

longCond  = canEnter and bullTrend and bullReject_prev
shortCond = canEnter and bearTrend and bearReject_prev

// ---------- Orders ----------
if (longCond)
    strategy.entry("L", strategy.long, stop=longStopPrice)

if (shortCond)
    strategy.entry("S", strategy.short, stop=shortStopPrice)

// ---------- Exits ----------
if useStops
    // Long exits
    strategy.exit("L-TP1", from_entry="L", limit=longTP1, stop=longSL, qty_percent=tp1Pct)
    strategy.exit("L-TP2", from_entry="L", limit=longTP2, stop=longSL, qty_percent=tp2Pct)

    // Short exits
    strategy.exit("S-TP1", from_entry="S", limit=shortTP1, stop=shortSL, qty_percent=tp1Pct)
    strategy.exit("S-TP2", from_entry="S", limit=shortTP2, stop=shortSL, qty_percent=tp2Pct)

// ---------- Plots ----------
plot(useVwap ? vwap : na, "VWAP", linewidth=2)
plot(emaFastHTF, "HTF EMA Fast", color=color.new(color.green, 0))
plot(emaSlowHTF, "HTF EMA Slow", color=color.new(color.red, 0))

// Visual markers for rejection candles
plotshape(bullReject, title="Bull Rejection", style=shape.triangleup, location=location.belowbar, size=size.tiny, color=color.new(color.green, 0), text="BR")
plotshape(bearReject, title="Bear Rejection", style=shape.triangledown, location=location.abovebar, size=size.tiny, color=color.new(color.red, 0), text="SR")

// ---- Entry-ready signals (visual) ----
plotshape(longCond,  title="LONG READY",  style=shape.labelup,   location=location.belowbar, text="LONG", color=color.new(color.green, 0), textcolor=color.white, size=size.tiny)
plotshape(shortCond, title="SHORT READY", style=shape.labeldown, location=location.abovebar, text="SHORT", color=color.new(color.red, 0),   textcolor=color.white, size=size.tiny)

plot(longCond  ? longStopPrice  : na, "Long Stop Entry",  style=plot.style_linebr, linewidth=2)
plot(shortCond ? shortStopPrice : na, "Short Stop Entry", style=plot.style_linebr, linewidth=2)

// =====================================================
// ADX DISPLAY (for visibility only)
// =====================================================
showADX = input.bool(true, "Show ADX (pane)", group="Signals / Alerts")

adxPlot = showADX ? adx : na
plot(adxPlot, title="ADX (5m)", color=color.new(color.orange, 0), linewidth=2)

// Reference lines
hline(20, "ADX 20", color=color.new(color.green, 60))
hline(35, "ADX 35", color=color.new(color.yellow, 60))
hline(45, "ADX 45", color=color.new(color.red, 60))