多重优化超级趋势策略

/*backtest
start: 2025-01-05 00:00:00
end: 2026-01-03 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_OKX","currency":"ETH_USDT","balance":500000}]
*/

//@version=6
strategy("Multi-Timeframe Supertrend Strategy with Confirmations V1", 
         overlay=true, 
         default_qty_value=10)

// === INPUTS ===
// Strategy Direction
enableLong = input.bool(true, "Enable Long Trades", group="Strategy Direction")
enableShort = input.bool(true, "Enable Short Trades", group="Strategy Direction")

// Supertrend Settings
supertrendTf = input.timeframe("", "Supertrend Timeframe", group="Supertrend", 
    tooltip="Leave empty for current timeframe")
Periods = input.int(10, "ATR Period", minval=1, group="Supertrend")
Multiplier = input.float(3.0, "ATR Multiplier", minval=0.1, step=0.1, group="Supertrend")
changeATR = input.bool(true, "Change ATR Calculation Method ?", group="Supertrend")

// Confirmation Indicators
useRsi = input.bool(true, "Use RSI Confirmation", group="Confirmation Indicators")
rsiLength = input.int(14, "RSI Length", minval=1, group="Confirmation Indicators")
rsiOverbought = input.int(70, "RSI Overbought", minval=50, maxval=100, group="Confirmation Indicators")
rsiOversold = input.int(30, "RSI Oversold", minval=0, maxval=50, group="Confirmation Indicators")

useEma = input.bool(true, "Use EMA Confirmation", group="Confirmation Indicators")
emaLength = input.int(50, "EMA Length", minval=1, group="Confirmation Indicators")

useAdx = input.bool(true, "Use ADX Confirmation", group="Confirmation Indicators")
adxLength = input.int(14, "ADX Length", minval=1, group="Confirmation Indicators")
adxThreshold = input.int(25, "ADX Threshold", minval=10, group="Confirmation Indicators")

// Risk Management
trailPercent = input.float(1.5, "Trailing Stop %", minval=0.1, maxval=50, group="Risk Management") / 100
trailActivation = input.float(0.5, "Trail Activation %", minval=0.1, maxval=50, group="Risk Management") / 100

// === CALCULATIONS ===
// Function to calculate Supertrend on any timeframe using your exact code structure
supertrend_calc(tf) =>
    // Request price data from specified timeframe
    [srcHigh, srcLow, srcClose, srcOpen] = request.security(syminfo.tickerid, tf, [high, low, close, open])
    
    // Calculate source (hl2)
    src = (srcHigh + srcLow) / 2
    
    // Calculate True Range manually
    trueRange = math.max(srcHigh - srcLow, math.max(math.abs(srcHigh - srcClose[1]), math.abs(srcLow - srcClose[1])))
    
    // Calculate ATR
    atr2 = ta.sma(trueRange, Periods)
    atr = changeATR ? ta.atr(Periods) : atr2
    
    // Calculate Supertrend bands
    up = src - (Multiplier * atr)
    up1 = nz(up[1], up)
    up := srcClose[1] > up1 ? math.max(up, up1) : up
    
    dn = src + (Multiplier * atr)
    dn1 = nz(dn[1], dn)
    dn := srcClose[1] < dn1 ? math.min(dn, dn1) : dn
    
    // Determine trend
    trend = 1
    trend := nz(trend[1], trend)
    trend := trend == -1 and srcClose > dn1 ? 1 : trend == 1 and srcClose < up1 ? -1 : trend
    
    [trend, up, dn]

// Get Supertrend values from selected timeframe
[supertrendTrend, supertrendUp, supertrendDn] = supertrend_calc(supertrendTf)

// RSI Calculation
rsiValue = ta.rsi(close, rsiLength)
rsiBullish = rsiValue < rsiOverbought
rsiBearish = rsiValue > rsiOversold

// EMA Calculation
emaValue = ta.ema(close, emaLength)
emaBullish = close > emaValue
emaBearish = close < emaValue

// ADX Calculation
[dip, din, adxValue] = ta.dmi(adxLength, adxLength)
adxBullish = adxValue >= adxThreshold and dip > din
adxBearish = adxValue >= adxThreshold and din > dip

// === ENTRY CONDITIONS ===
// Detect Supertrend flips using the multi-timeframe trend
bullishFlip = supertrendTrend == 1 and supertrendTrend[1] == -1
bearishFlip = supertrendTrend == -1 and supertrendTrend[1] == 1

// Combined confirmations
longConfirmations = true
shortConfirmations = true

if useRsi
    longConfirmations := longConfirmations and rsiBullish
    shortConfirmations := shortConfirmations and rsiBearish

if useEma
    longConfirmations := longConfirmations and emaBullish
    shortConfirmations := shortConfirmations and emaBearish

if useAdx
    longConfirmations := longConfirmations and adxBullish
    shortConfirmations := shortConfirmations and adxBearish

// Final entry conditions
enterLong = enableLong and bullishFlip and longConfirmations
enterShort = enableShort and bearishFlip and shortConfirmations

// === EXIT CONDITIONS ===
// Exit on opposite Supertrend signal
// Long exit: when Supertrend flips from green (1) to red (-1)
exitLongOnSignal = supertrendTrend == -1 and supertrendTrend[1] == 1
// Short exit: when Supertrend flips from red (-1) to green (1)
exitShortOnSignal = supertrendTrend == 1 and supertrendTrend[1] == -1

// === TRAILING STOP CALCULATION ===
// Variables to track trailing stops
var float longTrailPrice = na
var float longStopPrice = na
var float shortTrailPrice = na
var float shortStopPrice = na

// Variables for exit conditions
bool exitLongOnTrail = false
bool exitShortOnTrail = false

// Reset trailing stops when not in position
if strategy.position_size == 0
    longTrailPrice := na
    longStopPrice := na
    shortTrailPrice := na
    shortStopPrice := na

// Long position trailing stop logic
if strategy.position_size > 0
    // Initialize on entry
    if na(longTrailPrice)
        longTrailPrice := strategy.position_avg_price
        longStopPrice := strategy.position_avg_price * (1 - trailActivation)
    
    // Update highest price since entry
    if close > longTrailPrice
        longTrailPrice := close
        longStopPrice := close * (1 - trailActivation)
    
    // Move stop up if price has moved favorably
    if close >= longStopPrice * (1 + trailPercent)
        // Calculate new stop price based on the trail percentage
        longStopPrice := longTrailPrice * (1 - trailPercent)
    
    // Check exit condition
    exitLongOnTrail := close <= longStopPrice

// Short position trailing stop logic  
if strategy.position_size < 0
    // Initialize on entry
    if na(shortTrailPrice)
        shortTrailPrice := strategy.position_avg_price
        shortStopPrice := strategy.position_avg_price * (1 + trailActivation)
    
    // Update lowest price since entry
    if close < shortTrailPrice
        shortTrailPrice := close
        shortStopPrice := close * (1 + trailActivation)
    
    // Move stop down if price has moved favorably
    if close <= shortStopPrice * (1 - trailPercent)
        // Calculate new stop price based on the trail percentage
        shortStopPrice := shortTrailPrice * (1 + trailPercent)
    
    // Check exit condition
    exitShortOnTrail := close >= shortStopPrice

// === STRATEGY EXECUTION ===
// Entry Orders
if enterLong
    strategy.entry("Long", strategy.long, comment="Bullish Flip")

if enterShort
    strategy.entry("Short", strategy.short, comment="Bearish Flip")

// Exit on trailing stop (if hit)
if strategy.position_size > 0 and exitLongOnTrail
    strategy.close("Long", comment="Trailing Stop")
    longTrailPrice := na
    longStopPrice := na

if strategy.position_size < 0 and exitShortOnTrail
    strategy.close("Short", comment="Trailing Stop")
    shortTrailPrice := na
    shortStopPrice := na

// Exit on opposite Supertrend signal (if trailing stop hasn't already triggered)
if strategy.position_size > 0 and exitLongOnSignal
    strategy.close("Long", comment="Supertrend Flip Exit")
    longTrailPrice := na
    longStopPrice := na

if strategy.position_size < 0 and exitShortOnSignal
    strategy.close("Short", comment="Supertrend Flip Exit")
    shortTrailPrice := na
    shortStopPrice := na

//==================== 图表绘制 ====================

//绘制Supertrend原始翻转信号（小圆点，未经确认过滤）
plotshape(bullishFlip, "Supertrend Flip Up", shape.circle, 
    location.belowbar, color=color.new(color.green, 50), size=size.tiny)
plotshape(bearishFlip, "Supertrend Flip Down", shape.circle, 
    location.abovebar, color=color.new(color.red, 50), size=size.tiny)

//绘制策略实际入场信号（通过确认条件过滤后的信号）
plotshape(enterLong, "Long Entry", shape.labelup, location.belowbar, 
    color=color.green, textcolor=color.white, size=size.small, text="Long")
plotshape(enterShort, "Short Entry", shape.labeldown, location.abovebar, 
    color=color.red, textcolor=color.white, size=size.small, text="Short")

//绘制出场信号
plotshape(exitLongOnSignal and strategy.position_size[1] > 0, "Long Exit Signal", shape.xcross, 
    location.abovebar, color=color.new(color.orange, 0), size=size.small)
plotshape(exitShortOnSignal and strategy.position_size[1] < 0, "Short Exit Signal", shape.xcross, 
    location.belowbar, color=color.new(color.orange, 0), size=size.small)

//绘制追踪止损线
plot(strategy.position_size > 0 ? longStopPrice : na, "Trailing Stop Long", 
    color=color.orange, style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 ? shortStopPrice : na, "Trailing Stop Short", 
    color=color.orange, style=plot.style_linebr, linewidth=2)

//==================== 警报设置 ====================

alertcondition(bullishFlip, "SuperTrend Buy", "SuperTrend Buy on {ticker}!")
alertcondition(bearishFlip, "SuperTrend Sell", "SuperTrend Sell on {ticker}!")
changeCond = supertrendTrend != supertrendTrend[1]
alertcondition(changeCond, "SuperTrend Direction Change", "SuperTrend has changed direction on {ticker}!")