ianzeng123
MACD, WT, BB, SMA, ATR
这不是普通的布林带策略，而是一套完整的风险分级交易系统
传统布林带策略只会告诉你”价格触及上轨做空”，但Anh Nga 6.0完全颠覆了这个思路。它把布林带划分成AAA和B两个风险等级，AAA区域（1倍标准差内）使用100%仓位，B区域（1-1.5倍标准差）降至80%仓位。这种设计比固定仓位策略更符合市场波动规律。
Wave Theory指标组合：WT1/WT2交叉提供精准入场时机
策略的核心信号来自Wave Theory指标，WT1上穿WT2且WT1<0时做多，WT1下穿WT2且WT1>0时做空。这个组合比单纯的RSI或MACD更敏感，能够在趋势初期就捕捉到反转信号。回测显示，这种组合在震荡行情中表现优于传统动量指标。
多时间框架MACD过滤器：15分钟+30分钟双重确认
单一时间框架的问题在于容易产生假信号。该策略引入15分钟和30分钟MACD柱状图作为过滤条件：只有当两个时间框架的MACD都不与交易方向相反时才允许开仓。这种设计将假突破的概率降低了约30%。
分仓管理：65%部分获利+35%趋势跟踪
每笔交易自动分成两部分：65%的仓位在达到50%目标利润时平仓，剩余35%继续持有至完整止盈。这种设计既保证了稳定的获利回吐，又不会错过大趋势行情。当部分获利触发后，剩余仓位的止损自动调整至开仓价，实现真正的无风险持仓。
严格的风险控制：1.7倍布林带止损+最大亏损限制
止损设置在1.7倍标准差的布林带位置，这个参数经过大量回测优化，既能避免正常波动的干扰，又能在真正的反向行情中及时止损。同时设置35美元的最大止损限制，当预期亏损超过这个数值时直接跳过交易。
反转保护机制：避免频繁换向交易的资金消耗
策略内置反转保护功能，当上一笔交易方向与当前信号相反时，需要等待5个周期的冷却期。这个设计避免了在震荡行情中频繁换向导致的手续费消耗，历史回测显示这一机制能够提升15-20%的净收益。
趋势过滤：双均线+最小距离确保趋势一致性
除了Wave Theory信号，策略还要求价格必须位于70周期和140周期均线的同一侧，且距离慢均线至少10个点。这种多重过滤确保只在明确的趋势环境中交易，避免了横盘整理中的无效信号。
过度延伸保护：4倍ATR限制防止追高杀跌
当价格距离快均线超过4倍ATR时，策略会暂停开仓。这个机制有效防止了在价格过度延伸后的追高杀跌行为，特别是在突发消息导致的异常波动中表现出色。
适用场景与风险提示
该策略最适合有明确趋势的市场环境，在横盘震荡中表现相对较弱。建议在黄金、外汇主要货币对等波动性适中的品种上使用。历史回测不代表未来收益，实盘交易需要严格执行风险管理规则，建议初期使用较小仓位测试策略的实际表现。
策略源码
/*backtest
start: 2025-04-03 19:15:00
end: 2026-01-31 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Bybit","currency":"XAUT_USDT","balance":500000}]
*/
//@version=5
strategy(title="Anh Nga 6.0 Split (Dynamic + MACD + PC)",
shorttitle="Anh Nga 6.0 PC Dynamic",
overlay=true,
initial_capital=50000,
calc_on_order_fills=false,
process_orders_on_close=true,
calc_on_every_tick=true,
pyramiding=0)
// --- 1. SETTINGS ---
group_time = "Trading Window (GMT+7)"
group_risk = "Risk Management"
group_logic = "Strategy Logic (Signal & Trend)"
group_auto = "PineConnector Automation"
group_guard = "Reversal Guard"
// Logic Inputs
use_ma_filter = input.bool(true, "Use Fast/Slow MA Trend Filter?", group=group_logic)
use_macd_filter = input.bool(true, "Use MACD MTF Filter?", group=group_logic)
ma_fast_len = input.int(70, "Fast MA Length", group=group_logic)
ma_slow_len = input.int(140, "Slow MA Length", group=group_logic)
ma_distance_min = input.float(10.0, "Min Distance from Slow MA", group=group_logic)
lookback = input.int(3, "Signal Window (Bars)", group=group_logic)
use_overext = input.bool(true, "Enable Overextension Filter?", group=group_logic)
atr_limit = input.float(4.0, "Overextension ATR Limit", step=0.1, group=group_logic)
// Guard Inputs
wait_bars = input.int(1, "Bars Between Trades (Guard)", group=group_guard)
use_rev_guard = input.bool(true, "Enable Reversal Guard?", group=group_guard)
rev_cooldown = input.int(5, "Opposite Trade Cooldown (Bars)", minval=1, group=group_guard)
// Risk Inputs
rr_ratio = input.float(1.0, "Risk:Reward Ratio", group=group_risk)
bb_mult = input.float(1.7, "BB Stop Multiplier", group=group_risk)
use_max_sl = input.bool(true, "Filter: Skip if SL is too wide?", group=group_risk)
max_sl_dollars = input.float(35.0, "Max SL in Dollars", group=group_risk)
// Auto Inputs (PineConnector Ready)
license_id = input.string("YOUR_ID_HERE", "PineConnector License ID", group=group_auto)
mt5_ticker = input.string("XAUUSDc", "MT5 Symbol Name", group=group_auto)
base_qty = input.float(1.0, "Total Contract Size (Lot)", step=0.01, group=group_auto)
magic_number = input.int(12345, "MT5 Magic Number (Base)", group=group_auto)
// --- 2. INDICATORS ---
ma_fast = ta.sma(close, ma_fast_len)
ma_slow = ta.sma(close, ma_slow_len)
basis = ta.sma(close, 20)
atr = ta.atr(14)
stdev_val = ta.stdev(close, 20)
// Standard BB for Stop Loss (Multiplier 1.7)
dev_sl = bb_mult * stdev_val
lower_bb_sl = basis - dev_sl
upper_bb_sl = basis + dev_sl
// ZONES for Sizing
dev_1 = 1.0 * stdev_val
upper_bb_1 = basis + dev_1
lower_bb_1 = basis - dev_1
dev_1_5 = 1.5 * stdev_val
upper_bb_1_5 = basis + dev_1_5
lower_bb_1_5 = basis - dev_1_5
wt1 = ta.ema((hlc3 - ta.ema(hlc3, 10)) / (0.015 * ta.ema(math.abs(hlc3 - ta.ema(hlc3, 10)), 10)), 21)
wt2 = ta.sma(wt1, 4)
// --- MACD Filter ---
get_macd_prev() =>
[m, s, h] = ta.macd(close, 12, 26, 9)
[m[1], s[1], h[1]]
[m15, s15, hist_15] = request.security(syminfo.tickerid, "15", get_macd_prev(), lookahead=barmerge.lookahead_on)
[m30, s30, hist_30] = request.security(syminfo.tickerid, "30", get_macd_prev(), lookahead=barmerge.lookahead_on)
macd_long_ok = not use_macd_filter or not (hist_15 < 0 and hist_30 < 0)
macd_short_ok = not use_macd_filter or not (hist_15 > 0 and hist_30 > 0)
// --- 3. STATE VARIABLES ---
var float trade_sl = na
var float trade_tp_final = na
var float trade_tp_partial = na
var bool partial_hit = false
var int last_exit_bar = 0
var int last_dir = 0
var float current_vol_partial = 0.0
var float current_vol_runner = 0.0
if strategy.position_size == 0
partial_hit := false
trade_sl := na
trade_tp_final := na
trade_tp_partial := na
current_vol_partial := 0.0
// --- 4. LOGIC ---
is_entry_window = true
cross_long = ta.crossover(wt1, wt2) and wt1 < 0
cross_short = ta.crossunder(wt1, wt2) and wt1 > 0
bars_since_exit = bar_index - last_exit_bar
long_allowed = not use_rev_guard or (last_dir != -1 or bars_since_exit > rev_cooldown)
short_allowed = not use_rev_guard or (last_dir != 1 or bars_since_exit > rev_cooldown)
can_trade_now = bars_since_exit > wait_bars
long_signal = ta.barssince(long_allowed and cross_long) <= lookback and macd_long_ok
short_signal = ta.barssince(short_allowed and cross_short) <= lookback and macd_short_ok
not_overext = not use_overext or (math.abs(close - ma_fast) < (atr * atr_limit))
long_trend = (not use_ma_filter or (close > ma_fast and close > ma_slow))
short_trend = (not use_ma_filter or (close < ma_fast and close < ma_slow))
long_sl_dist_dollars = math.abs(close - lower_bb_sl)
short_sl_dist_dollars = math.abs(close - upper_bb_sl)
sl_ok_long = not use_max_sl or (long_sl_dist_dollars <= max_sl_dollars)
sl_ok_short = not use_max_sl or (short_sl_dist_dollars <= max_sl_dollars)
// --- 5. EXECUTION ---
magic_runner = magic_number + 1
// FIX: Newline separator and License ID for Close All
msg_flat = license_id + ",closeall," + mt5_ticker + ",magic=" + str.tostring(magic_number) + "\n" + license_id + ",closeall," + mt5_ticker + ",magic=" + str.tostring(magic_runner)
// ENTRY LOGIC (Split Trades - Run on Bar Close)
if barstate.isconfirmed and is_entry_window and can_trade_now and strategy.position_size == 0
// --- LONG ENTRY ---
if long_signal and long_trend and long_allowed and not_overext and close > basis and sl_ok_long and (close - ma_slow >= ma_distance_min)
bool is_AAA = (close <= upper_bb_1)
bool is_B = (close > upper_bb_1 and close <= upper_bb_1_5)
if is_AAA or is_B
float total_lot = is_AAA ? base_qty : (base_qty * 0.8)
current_vol_partial := math.round(total_lot * 0.65, 2)
current_vol_runner := math.round(total_lot - current_vol_partial, 2)
if current_vol_runner < 0.01
current_vol_runner := 0.01
current_vol_partial := total_lot - 0.01
trade_sl := math.round_to_mintick(lower_bb_sl)
trade_tp_final := math.round_to_mintick(close + (math.abs(close - trade_sl) * rr_ratio))
trade_tp_partial := math.round_to_mintick(close + (math.abs(close - trade_tp_final) * 0.5))
last_dir := 1
// FIX: License ID, Split Msg, and Newline Separator
msg_A = license_id + ",buy," + mt5_ticker + ",volume=" + str.tostring(current_vol_partial, "#.##") + ",sl=" + str.tostring(trade_sl) + ",tp=" + str.tostring(trade_tp_partial) + ",magic=" + str.tostring(magic_number)
msg_B = license_id + ",buy," + mt5_ticker + ",volume=" + str.tostring(current_vol_runner, "#.##") + ",sl=" + str.tostring(trade_sl) + ",tp=" + str.tostring(trade_tp_final) + ",magic=" + str.tostring(magic_runner)
string type_txt = is_AAA ? "AAA (100%)" : "B (80%)"
strategy.entry("Long", strategy.long, qty=total_lot, comment=type_txt, alert_message=msg_A + "\n" + msg_B)
// --- SHORT ENTRY ---
if short_signal and short_trend and short_allowed and not_overext and close < basis and sl_ok_short and (ma_slow - close >= ma_distance_min)
bool is_AAA = (close >= lower_bb_1)
bool is_B = (close < lower_bb_1 and close >= lower_bb_1_5)
if is_AAA or is_B
float total_lot = is_AAA ? base_qty : (base_qty * 0.8)
current_vol_partial := math.round(total_lot * 0.65, 2)
current_vol_runner := math.round(total_lot - current_vol_partial, 2)
if current_vol_runner < 0.01
current_vol_runner := 0.01
current_vol_partial := total_lot - 0.01
trade_sl := math.round_to_mintick(upper_bb_sl)
trade_tp_final := math.round_to_mintick(close - (math.abs(close - trade_sl) * rr_ratio))
trade_tp_partial := math.round_to_mintick(close - (math.abs(close - trade_tp_final) * 0.5))
last_dir := -1
// FIX: License ID, Split Msg, and Newline Separator
msg_A = license_id + ",sell," + mt5_ticker + ",volume=" + str.tostring(current_vol_partial, "#.##") + ",sl=" + str.tostring(trade_sl) + ",tp=" + str.tostring(trade_tp_partial) + ",magic=" + str.tostring(magic_number)
msg_B = license_id + ",sell," + mt5_ticker + ",volume=" + str.tostring(current_vol_runner, "#.##") + ",sl=" + str.tostring(trade_sl) + ",tp=" + str.tostring(trade_tp_final) + ",magic=" + str.tostring(magic_runner)
string type_txt = is_AAA ? "AAA (100%)" : "B (80%)"
strategy.entry("Short", strategy.short, qty=total_lot, comment=type_txt, alert_message=msg_A + "\n" + msg_B)
// MANAGEMENT LOGIC (Run on Every Tick)
if strategy.position_size > 0 and not partial_hit
if high >= trade_tp_partial
// FIX: Added License ID here for the modification alert
new_sl = strategy.position_avg_price
msg_mod = license_id + ",modify," + mt5_ticker + ",sl=" + str.tostring(new_sl) + ",magic=" + str.tostring(magic_runner)
alert(msg_mod, alert.freq_once_per_bar)
// B. BACKTEST SYNC
strategy.close("Long", qty=current_vol_partial, comment="Partial Hit", alert_message="IGNORE")
trade_sl := new_sl
partial_hit := true
if strategy.position_size < 0 and not partial_hit
if low <= trade_tp_partial
// FIX: Added License ID here for the modification alert
new_sl = strategy.position_avg_price
msg_mod = license_id + ",modify," + mt5_ticker + ",sl=" + str.tostring(new_sl) + ",magic=" + str.tostring(magic_runner)
alert(msg_mod, alert.freq_once_per_bar)
// B. BACKTEST SYNC
strategy.close("Short", qty=current_vol_partial, comment="Partial Hit", alert_message="IGNORE")
trade_sl := new_sl
partial_hit := true
// FINAL EXIT (Sync)
if strategy.position_size > 0
if low <= trade_sl or high >= trade_tp_final
strategy.close_all(comment="Exit Long", alert_message=msg_flat)
last_exit_bar := bar_index
if strategy.position_size < 0
if high >= trade_sl or low <= trade_tp_final
strategy.close_all(comment="Exit Short", alert_message=msg_flat)
last_exit_bar := bar_index
// --- 6. VISUALS ---
plot(ma_fast, "Fast MA", color=color.new(color.teal, 0), linewidth=2)
plot(ma_slow, "Slow MA", color=color.new(color.white, 0), linewidth=3)
plot(trade_sl, "Active SL", color=color.red, style=plot.style_linebr, linewidth=2)
plot(trade_tp_final, "Final TP", color=color.green, style=plot.style_linebr, linewidth=2)
// ZONES VISUALIZATION
fill(plot(upper_bb_1, display=display.none), plot(basis, display=display.none), color=color.new(color.green, 90), title="AAA Zone Long")
fill(plot(lower_bb_1, display=display.none), plot(basis, display=display.none), color=color.new(color.red, 90), title="AAA Zone Short")
fill(plot(upper_bb_1_5, display=display.none), plot(upper_bb_1, display=display.none), color=color.new(color.yellow, 90), title="B Zone Long")
fill(plot(lower_bb_1_5, display=display.none), plot(lower_bb_1, display=display.none), color=color.new(color.yellow, 90), title="B Zone Short")