zhutoutoutousan
202 lines
12 KiB
Plaintext
202 lines
12 KiB
Plaintext
//@version=6
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strategy("SSE Index RSI Bounce Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, initial_capital=10000, pyramiding=100, calc_on_every_tick=false, calc_on_order_fills=false)
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// Input parameters
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rsi_length = input.int(17, "RSI Length", minval=1)
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rsi_oversold = input.int(27, "RSI Oversold Level", minval=1, maxval=50)
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rsi_overbought = input.int(86, "RSI Overbought Level", minval=50, maxval=100)
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ema_length = input.int(177, "EMA Length", minval=1)
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weekly_position_size = input.float(14.0, "Weekly Signal Position Size (%)", minval=0.1, maxval=100)
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daily_position_size = input.float(11.0, "Daily Signal Position Size (%)", minval=0.1, maxval=100)
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partial_exit_percent = input.float(41.0, "Partial Exit Percentage on Daily RSI Overbought (%)", minval=10.0, maxval=50.0)
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// New EMA Distance Trading Parameters
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ema_distance_threshold = input.float(16.0, "EMA Distance Threshold (Pips)", minval=1.0, maxval=1000.0)
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ema_distance_position_size = input.float(53, "EMA Distance Position Size (%)", minval=0.1, maxval=100)
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// EMA Distance Exit Parameters
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ema_exit_period = input.int(34, "EMA Exit Period", minval=10, maxval=200)
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enable_volume_confirmation = input.bool(true, "Require Volume Confirmation for EMA Exit")
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// Calculate indicators
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rsi_daily = ta.rsi(close, rsi_length)
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rsi_weekly = request.security(syminfo.tickerid, "1W", ta.rsi(close, rsi_length))
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ema_200 = ta.ema(close, ema_length)
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ema_exit = ta.ema(close, ema_exit_period)
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// EMA Distance Trading Logic
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pip_size = syminfo.mintick * 10 // Adjust pip size based on instrument
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price_ema_distance = math.abs(close - ema_200) / pip_size
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ema_distance_entry = price_ema_distance >= ema_distance_threshold * 100 and close > ema_200 // Only enter when price above EMA
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// RSI bounce conditions - back to original crossover logic
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// Weekly RSI bounce: RSI was below 30 and now crosses above 30
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rsi_weekly_prev = request.security(syminfo.tickerid, "1W", ta.rsi(close, rsi_length)[1])
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weekly_bounce = rsi_weekly_prev < rsi_oversold and rsi_weekly > rsi_oversold
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// Daily RSI bounce: RSI was below 30 and now crosses above 30
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daily_bounce = rsi_daily[1] < rsi_oversold and rsi_daily > rsi_oversold
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// Overbought conditions for exits - keep as crossovers for exits
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daily_rsi_overbought = rsi_daily > rsi_overbought and rsi_daily[1] <= rsi_overbought
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weekly_rsi_overbought = rsi_weekly > rsi_overbought and rsi_weekly_prev <= rsi_overbought
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// EMA exit condition: EMA was above price but now below price
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ema_above_price_prev = ema_200[1] > close[1]
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ema_below_price_now = ema_200 < close
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ema_exit_condition = ema_above_price_prev and ema_below_price_now
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// EMA Distance exit condition - EMA crossover exit
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// Price crosses below shorter period EMA (more responsive than 200 EMA)
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price_above_ema_exit_prev = close[1] > ema_exit[1]
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price_below_ema_exit_now = close < ema_exit
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ema_crossover_exit = price_above_ema_exit_prev and price_below_ema_exit_now
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// Optional volume confirmation
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volume_confirmation = not enable_volume_confirmation or volume > ta.sma(volume, 20)
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ema_distance_exit_condition = ema_crossover_exit and volume_confirmation
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// Track positions separately with counters for multiple trades
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var int weekly_trade_count = 0
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var int daily_trade_count = 0
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var int ema_distance_trade_count = 0
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var float weekly_position_qty = 0.0
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var float daily_position_qty = 0.0
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var float ema_distance_position_qty = 0.0
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// Entry conditions - allow multiple concurrent trades
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weekly_entry = weekly_bounce
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daily_entry = daily_bounce
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// Strategy execution - ensure ALL signals result in trades
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if weekly_entry
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strategy.entry("Weekly_Long", strategy.long, qty=weekly_position_size, comment="Weekly RSI Bounce #" + str.tostring(weekly_trade_count + 1), alert_message="Weekly Entry")
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weekly_trade_count := weekly_trade_count + 1
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weekly_position_qty := weekly_position_qty + weekly_position_size
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if daily_entry
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strategy.entry("Daily_Long", strategy.long, qty=daily_position_size, comment="Daily RSI Bounce #" + str.tostring(daily_trade_count + 1), alert_message="Daily Entry")
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daily_trade_count := daily_trade_count + 1
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daily_position_qty := daily_position_qty + daily_position_size
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if ema_distance_entry
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strategy.entry("EMA_Distance_Long", strategy.long, qty=ema_distance_position_size, comment="EMA Distance Entry #" + str.tostring(ema_distance_trade_count + 1), alert_message="EMA Distance Entry")
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ema_distance_trade_count := ema_distance_trade_count + 1
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ema_distance_position_qty := ema_distance_position_qty + ema_distance_position_size
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// Debug - show actual entry attempts
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if weekly_entry
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label.new(bar_index, high + (high - low) * 0.1, "WEEKLY ENTRY ATTEMPT",
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color=color.green, textcolor=color.white, size=size.normal, style=label.style_label_down)
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if daily_entry
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label.new(bar_index, high + (high - low) * 0.15, "DAILY ENTRY ATTEMPT",
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color=color.blue, textcolor=color.white, size=size.normal, style=label.style_label_down)
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if ema_distance_entry
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label.new(bar_index, high + (high - low) * 0.2, "EMA DISTANCE: " + str.tostring(price_ema_distance, "#.#") + " pips",
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color=color.purple, textcolor=color.white, size=size.normal, style=label.style_label_down)
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// Partial exit for weekly positions on daily RSI overbought
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if daily_rsi_overbought and weekly_position_qty > 0
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exit_qty = weekly_position_qty * (partial_exit_percent / 100)
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strategy.close("Weekly_Long", qty=exit_qty, comment="Weekly Partial Exit Daily OB")
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weekly_position_qty := math.max(0, weekly_position_qty - exit_qty)
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// Partial exit for daily positions on daily RSI overbought
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if daily_rsi_overbought and daily_position_qty > 0
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exit_qty_daily = daily_position_qty * (partial_exit_percent / 100)
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strategy.close("Daily_Long", qty=exit_qty_daily, comment="Daily Partial Exit OB")
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daily_position_qty := math.max(0, daily_position_qty - exit_qty_daily)
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// Complete exit for weekly positions on weekly RSI overbought
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if weekly_rsi_overbought and weekly_position_qty > 0
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strategy.close("Weekly_Long", comment="Complete Exit Weekly OB")
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weekly_position_qty := 0.0
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weekly_trade_count := 0
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// Exit all positions when EMA crosses from above price to below price
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if ema_exit_condition and strategy.position_size > 0
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strategy.close_all("EMA Cross Exit")
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weekly_position_qty := 0.0
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daily_position_qty := 0.0
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ema_distance_position_qty := 0.0
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weekly_trade_count := 0
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daily_trade_count := 0
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ema_distance_trade_count := 0
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// Exit EMA distance positions when price crosses below EMA (anti-crossover)
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if ema_distance_exit_condition and ema_distance_position_qty > 0
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strategy.close("EMA_Distance_Long", comment="EMA Distance Anti-Cross Exit")
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ema_distance_position_qty := 0.0
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ema_distance_trade_count := 0
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// Plotting
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plot(ema_200, "200 EMA", color=color.orange, linewidth=2)
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plot(ema_exit, "EMA Exit", color=color.purple, linewidth=1, style=plot.style_line)
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plot(rsi_daily, "Daily RSI", color=color.blue, display=display.data_window)
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plot(rsi_weekly, "Weekly RSI", color=color.red, display=display.data_window)
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// Plot RSI levels
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hline(rsi_oversold, "Oversold Level", color=color.red, linestyle=hline.style_dashed)
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hline(rsi_overbought, "Overbought Level", color=color.green, linestyle=hline.style_dashed)
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// Background color for RSI conditions
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bgcolor(weekly_bounce ? color.new(color.green, 90) : na, title="Weekly RSI Bounce")
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bgcolor(daily_bounce ? color.new(color.blue, 90) : na, title="Daily RSI Bounce")
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bgcolor(daily_rsi_overbought and (weekly_position_qty > 0 or daily_position_qty > 0) ? color.new(color.yellow, 90) : na, title="Daily RSI Overbought (Partial Exit)")
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bgcolor(weekly_rsi_overbought and weekly_position_qty > 0 ? color.new(color.orange, 90) : na, title="Weekly RSI Overbought (Complete Exit)")
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bgcolor(ema_exit_condition and strategy.position_size > 0 ? color.new(color.red, 90) : na, title="EMA Cross Exit")
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bgcolor(ema_distance_exit_condition and ema_distance_position_qty > 0 ? color.new(color.maroon, 90) : na, title="EMA Distance Anti-Cross Exit")
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bgcolor(ema_distance_entry ? color.new(color.purple, 90) : na, title="EMA Distance Entry")
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// Plot entry and exit signals with enhanced debugging
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plotshape(weekly_entry, "Weekly Entry", shape.triangleup, location.belowbar, color.green, size=size.normal)
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plotshape(daily_entry, "Daily Entry", shape.triangleup, location.belowbar, color.blue, size=size.small)
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plotshape(ema_distance_entry, "EMA Distance Entry", shape.triangleup, location.belowbar, color.purple, size=size.normal)
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plotshape(daily_rsi_overbought and (weekly_position_qty > 0 or daily_position_qty > 0), "Partial Exit Both", shape.circle, location.abovebar, color.yellow, size=size.small)
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plotshape(weekly_rsi_overbought and weekly_position_qty > 0, "Complete Exit Weekly OB", shape.triangledown, location.abovebar, color.orange, size=size.normal)
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plotshape(ema_exit_condition and strategy.position_size > 0, "EMA Cross Exit", shape.triangledown, location.abovebar, color.red, size=size.large)
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plotshape(ema_distance_exit_condition and ema_distance_position_qty > 0, "EMA Distance Anti-Cross Exit", shape.triangledown, location.abovebar, color.maroon, size=size.normal)
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// Debug labels to show when conditions are met
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if weekly_bounce
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label.new(bar_index, low - (high - low) * 0.1, "W-RSI: " + str.tostring(rsi_weekly, "#.##"),
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color=color.green, textcolor=color.white, size=size.small, style=label.style_label_up)
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if daily_bounce
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label.new(bar_index, low - (high - low) * 0.05, "D-RSI: " + str.tostring(rsi_daily, "#.##"),
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color=color.blue, textcolor=color.white, size=size.small, style=label.style_label_up)
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// Table to show current status
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var table info_table = table.new(position.top_right, 2, 12, bgcolor=color.white, border_width=1)
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if barstate.islast
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table.cell(info_table, 0, 0, "Indicator", bgcolor=color.gray, text_color=color.white)
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table.cell(info_table, 1, 0, "Value", bgcolor=color.gray, text_color=color.white)
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table.cell(info_table, 0, 1, "Daily RSI", bgcolor=color.white)
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table.cell(info_table, 1, 1, str.tostring(rsi_daily, "#.##"), bgcolor=color.white)
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table.cell(info_table, 0, 2, "Weekly RSI", bgcolor=color.white)
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table.cell(info_table, 1, 2, str.tostring(rsi_weekly, "#.##"), bgcolor=color.white)
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table.cell(info_table, 0, 3, "200 EMA", bgcolor=color.white)
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table.cell(info_table, 1, 3, str.tostring(ema_200, "#.##"), bgcolor=color.white)
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table.cell(info_table, 0, 4, "EMA Distance", bgcolor=color.white)
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table.cell(info_table, 1, 4, str.tostring(price_ema_distance, "#.#") + " pips", bgcolor=color.white)
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table.cell(info_table, 0, 5, "EMA Exit Level", bgcolor=color.white)
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table.cell(info_table, 1, 5, str.tostring(ema_exit, "#.##"), bgcolor=color.white)
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table.cell(info_table, 0, 6, "Total Position", bgcolor=color.white)
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table.cell(info_table, 1, 6, strategy.position_size > 0 ? "Long" : "None",
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bgcolor=strategy.position_size > 0 ? color.green : color.white)
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table.cell(info_table, 0, 7, "Total Size", bgcolor=color.white)
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table.cell(info_table, 1, 7, str.tostring(strategy.position_size, "#.####"), bgcolor=color.white)
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table.cell(info_table, 0, 8, "Weekly Qty", bgcolor=color.white)
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table.cell(info_table, 1, 8, str.tostring(weekly_position_qty, "#.####"),
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bgcolor=weekly_position_qty > 0 ? color.green : color.white)
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table.cell(info_table, 0, 9, "Daily Qty", bgcolor=color.white)
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table.cell(info_table, 1, 9, str.tostring(daily_position_qty, "#.####"),
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bgcolor=daily_position_qty > 0 ? color.blue : color.white)
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table.cell(info_table, 0, 10, "EMA Distance Qty", bgcolor=color.white)
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table.cell(info_table, 1, 10, str.tostring(ema_distance_position_qty, "#.####"),
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bgcolor=ema_distance_position_qty > 0 ? color.purple : color.white)
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table.cell(info_table, 0, 11, "Trade Counts", bgcolor=color.white)
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table.cell(info_table, 1, 11, "W:" + str.tostring(weekly_trade_count) + " D:" + str.tostring(daily_trade_count) + " E:" + str.tostring(ema_distance_trade_count), bgcolor=color.white) |