strategies/动量反转均线组合策略Momentum-Reversal-Moving-Average-Combination-Strategy.md at master

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Name

动量反转均线组合策略Momentum-Reversal-Moving-Average-Combination-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

本策略通过组合使用多种均线指标,实现对趋势的识别。具体来说,本策略同时使用快速均线组和慢速均线组,快速均线组由5日EMA和25日WMA构成,慢速均线组由28日EMA和72日WMA构成。当快速均线上穿慢速均线时产生买入信号,当快速均线下穿慢速均线时产生卖出信号。此外,本策略还会结合RSI指标辅助判断。

策略原理

使用双均线判断趋势方向
- 快速均线组合:5日EMA、25日WMA
- 慢速均线组合:28日EMA、72日WMA
- 当快速均线上穿慢速均线,产生买入信号
- 当快速均线下穿慢速均线,产生卖出信号
使用RSI指标辅助判断买卖时机
- RSI低位买入:RSI<35时产生买入信号
- RSI高位卖出:RSI>65时产生卖出信号
采用趋势追踪机制,包括移动止损、移动止盈
- 移动止损:追踪最高价/最低价,防止亏损扩大
- 移动止盈:追踪最高价/最低价,及时止盈

优势分析

使用双均线判断趋势,快慢均线的配合可以有效识别趋势转折点
RSI指标的辅助判断可以避免均线产生错误信号
移动止损机制可以有效控制个别亏损交易的损失
移动止盈机制可以锁定盈利,避免盈利回吐

风险分析

双均线判断失败的概率较大,可能出现虚假信号
RSI参数设置不当可能错过交易机会
止损幅度设置过大,可能造成不必要的亏损
止盈幅度设置过小,可能造成利润缩水

优化方向

快速均线和慢速均线的参数可以进行优化,找到最佳参数组合
RSI的参数也可以进行优化,找到更好的超买超卖线
试验不同的止损幅度,找到最大限度减少亏损和避免虚拟信号之间的平衡点
尝试自适应止盈策略,让止盈幅度能够根据市场波动自行调整

总结

本策略通过双均线判断趋势方向,RSI指标辅助判断时机,以及移动止盈止损的方法,实现了对趋势的捕捉与跟踪。通过优化均线和RSI的参数以及止盈止损设定,可以获得更好的效果。该策略整体思路清晰,易于理解与优化,是一种实用性较强的趋势跟踪策略。

Overview

This strategy identifies trends by combining multiple moving average indicators. Specifically, this strategy uses a fast moving average ribbon and a slow moving average ribbon at the same time. The fast moving average ribbon consists of a 5-day EMA and a 25-day WMA, while the slow moving average ribbon consists of a 28-day EMA and a 72-day WMA. It generates a buy signal when the fast MA crosses above the slow MA, and a sell signal when the fast MA crosses below the slow MA. In addition, this strategy also uses the RSI indicator to assist in judging the timing.

Strategy Logic

Use double moving averages to determine the trend direction
- Fast MA Ribbon: 5-day EMA, 25-day WMA
- Slow MA Ribbon: 28-day EMA, 72-day WMA
- When fast MA crosses above slow MA, generate a buy signal
- When fast MA crosses below slow MA, generate a sell signal
Use RSI indicator to assist in determining the timing of buys and sells
- RSI Low to Buy: Generate a buy signal when RSI<35
- RSI High to Sell: Generate a sell signal when RSI>65
Adopt trend tracking mechanisms including moving stop loss and moving take profit
- Moving stop loss: Track highest/lowest price to prevent excessive losses
- Moving take profit: Track highest/lowest price for timely profit taking

Advantage Analysis

Using double MAs to determine trends, fast and slow MAs working together can effectively identify turning points
RSI indicator’s assistance helps avoid erroneous signals from MAs
Moving stop loss mechanism effectively controls losses of individual losing trades
Moving take profit mechanism locks in profits and prevents profit retracement

Risk Analysis

Relatively high probability of failure in trend determination by double MAs, may generate false signals
Improper RSI parameter settings may miss trading opportunities
Excessively large stop loss magnitude may cause unnecessary losses
Excessively small take profit magnitude may result in profit shrinkage

Optimization Directions

Parameters of fast and slow MAs can be optimized to find optimal parameter combinations
RSI parameters can also be optimized to find better overbought/oversold lines
Test with different stop loss magnitudes to find balance between minimizing losses and avoiding false signals
Try adaptive take profit strategies to allow take profit magnitude to adjust on its own based on market volatility

Conclusion

This strategy captures and tracks trends by determining trend direction with double MAs, judging timing assisted by RSI, and methods like moving take profit and stop loss. Further improvements can be achieved by optimizing parameters of MAs, RSI and profit/loss limits. The overall logic is clear and easy to understand and optimize. It is a practical and effective trend tracking strategy. [/trans]

Strategy Arguments

Argument	Default	Description
v_input_1	true	IS This a RENKO Chart
v_input_2	false	Alternate TimeFrame Multiplier (0=none)
v_input_3	false	Show Coloured MA Ribbons
v_input_4	false	Show Ribbon Median MA Lines
v_input_5	0	FAST MA Ribbon Type: : EMA
v_input_6	5	FAST Ribbon Lower MA Length
v_input_7	25	FAST Ribbon Upper Length
v_input_8	0	SLOW MA Ribbon Type: : EMA
v_input_9	28	SLOW Ribbon Lower MA Length
v_input_10	72	SLOW Ribbon Upper Length
v_input_11	2018	Backtest Start Year
v_input_12	true	Backtest Start Month
v_input_13	true	Backtest Start Day
v_input_14	0.02	start
v_input_15	0.02	increment
v_input_16	0.2	maximum
v_input_17	false	Use Opposite Trade as a Close Signal
v_input_18	true	Colour Candles to Trade Order state
v_input_19	0	What type of Orders: Longs+Shorts
v_input_20	true	Trailing Stop
v_input_21	3	Trailing Stop (%)
v_input_22	true	Take Profit
v_input_23	3	Take Profit (%)
v_input_24	true	Trailing Profit (%)
v_input_25	false	Stop Loss
v_input_26	3	Stop Loss (%)

Source (PineScript)

/*backtest
start: 2023-11-16 00:00:00
end: 2023-11-23 00:00:00
period: 3m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy(title="[WAI GUA]", shorttitle="[EOS] 1.0", overlay=false )

//study(title="[WAI GUA]", shorttitle="[EOS] 1.0", overlay=true)



//
// Use Alternate Anchor TF for MAs 
uRenko    = input(true, title="IS This a RENKO Chart")
//
anchor     = input(0,minval=0,maxval=1440,title="Alternate TimeFrame Multiplier (0=none)")
//
src          = close //input(close, title="EMA Source")
showRibbons  = input(false,title="Show Coloured MA Ribbons")
showAvgs     = input(false,title="Show Ribbon Median MA Lines")

//
// Fast Ribbon MAs
// Lower MA - type, length
typeF1    = input(defval="EMA", title="FAST MA Ribbon Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenF1     = input(defval=5, title="FAST Ribbon Lower MA Length", minval=1)
gammaF1   = 0.33 //input(defval=0.33,title="Fast MA - Gamma for LAGMA")

// Upper MA - type, length
typeF11   = typeF1 //input(defval="WMA", title="FAST Ribbon Upper MA Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenF11    = input(defval=25, title="FAST Ribbon Upper Length", minval=2)
gammaF11  = 0.77 //input(defval=0.77,title="Slow MA - Gamma for LAGMA")

// Slow Ribbon MAs
// Lower MA - type, length
typeS1   = input(defval="EMA", title="SLOW MA Ribbon Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenS1    = input(defval=28, title="SLOW Ribbon Lower MA Length", minval=1)
gammaS1  = 0.33 //input(defval=0.33,title="Fast MA - Gamma for LAGMA")

// Upper MA - type, length
typeS16   = typeS1 //input(defval="WMA", title="SLOW Ribbon Upper MA Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenS16    = input(defval=72, title="SLOW Ribbon Upper Length", minval=2)
gammaS16  = 0.77 //input(defval=0.77,title="Slow MA - Gamma for LAGMA")

// - Constants
gold = #FFD700

// - FUNCTIONS
// - variant(type, src, len, gamma)
// 返回MA输入选择变量，默认为SMA，如果空白或键入。

// SuperSmoother filter
variant_supersmoother(src,len) =>
    a1 = exp(-1.414*3.14159 / len)
    b1 = 2*a1*cos(1.414*3.14159 / len)
    c2 = b1
    c3 = (-a1)*a1
    c1 = 1 - c2 - c3
    v9 = 0.0
    v9 := c1*(src + nz(src[1])) / 2 + c2*nz(v9[1]) + c3*nz(v9[2])
    v9
    
variant_smoothed(src,len) =>
    v5 = 0.0
    v5 := na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len
    v5

variant_zerolagema(src,len) =>
    ema1 = ema(src, len)
    ema2 = ema(ema1, len)
    v10 = ema1+(ema1-ema2)
    v10
    
variant_doubleema(src,len) =>
    v2 = ema(src, len)
    v6 = 2 * v2 - ema(v2, len)
    v6

variant_tripleema(src,len) =>
    v2 = ema(src, len)
    v7 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len)               // Triple Exponential
    v7
    
//calc Laguerre
variant_lag(p,g) =>
    L0 = 0.0
    L1 = 0.0
    L2 = 0.0
    L3 = 0.0
    L0 := (1 - g)*p+g*nz(L0[1])
    L1 := -g*L0+nz(L0[1])+g*nz(L1[1])
    L2 := -g*L1+nz(L1[1])+g*nz(L2[1])
    L3 := -g*L2+nz(L2[1])+g*nz(L3[1])
    f = (L0 + 2*L1 + 2*L2 + L3)/6
    f

// return variant, defaults to SMA 
variant(type, src, len, g) =>
    type=="EMA"     ? ema(src,len) : 
      type=="WMA"   ? wma(src,len): 
      type=="VWMA"  ? vwma(src,len) : 
      type=="SMMA"  ? variant_smoothed(src,len) : 
      type=="DEMA"  ? variant_doubleema(src,len): 
      type=="TEMA"  ? variant_tripleema(src,len): 
      type=="LAGMA" ? variant_lag(src,g) :
      type=="HullMA"? wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) :
      type=="SSMA"  ? variant_supersmoother(src,len) : 
      type=="ZEMA"  ? variant_zerolagema(src,len) : 
      type=="TMA"   ? sma(sma(src,len),len) : 
                      sma(src,len)

// - /variant 

// If have anchor specified, calculate the base multiplier.
//mult  = isintraday ? anchor==0 or interval<=0 or interval>=anchor or anchor>1440? 1 : round(anchor/interval) : 1
//mult := isdwm?  1 : mult  // Only available Daily or less
mult = anchor>0 ? anchor : 1 

//
high_  = uRenko? max(close,open) : high
low_   = uRenko? min(close,open) : low


//用锚乘器调整MA长度

//Fast MA Ribbon
emaF1 = variant(typeF1, src, lenF1*mult, gammaF1)
emaF11 = variant(typeF11, src, lenF11*mult,gammaF11)
emafast = (emaF1+emaF11)/2 // Average of Upper and Lower MAs
//
//Slow MA Ribbon
emaS1 = variant(typeS1,src, lenS1*mult,gammaS1)
emaS16 = variant(typeS16, src, lenS16*mult, gammaS16)
emaslow = (emaS1+emaS16)/2 // Average of Upper and Lower MAs
//
// Count crossover candles
xup = 0
xdn = 0
fup = 0
fdn = 0
sup = 0
sdn = 0
// 
xup := (emafast-emaslow)>0 and (emafast-emaslow)>(emafast[1]-emaslow[1]) ? nz(xup[1])+1 : 0
xdn := (emafast-emaslow)<0 and (emafast-emaslow)<(emafast[1]-emaslow[1]) ? nz(xdn[1])+1 : 0
fup := (emaF1-emaF11)>0 and (emaF1-emaF11)>(emaF1[1]-emaF11[1]) ? nz(fup[1])+1 : 0
fdn := (emaF1-emaF11)<0 and (emaF1-emaF11)<(emaF1[1]-emaF11[1]) ? nz(fdn[1])+1 : 0
sup := (emaS1-emaS16)>0 and (emaS1-emaS16)>(emaS1[1]-emaS16[1]) ? nz(sup[1])+1 : 0
sdn := (emaS1-emaS16)<0 and (emaS1-emaS16)<(emaS1[1]-emaS16[1]) ? nz(sdn[1])+1 : 0

//Fast EMA Final Color Rules
colFinal = fup>=2 ? aqua : fdn>=2 ? blue : gray
//Slow EMA Final Color Rules
colFinal2 = sup>=2 ? lime : sdn>=2 ? red : gray

//Fast EMA Plots
p1=plot(showRibbons?emaF1:na, title="Fast Ribbon Lower MA", style=line, linewidth=1, color=colFinal,transp=10)
p2=plot(showRibbons?emaF11:na, title="Fast Ribbon Upper MA", style=line, linewidth=1, color=colFinal,transp=10)
plot(showAvgs?emafast:na, title="Fast Ribbon Avg MA", style=circles,join=true, linewidth=1, color=gold,transp=10)

//
//fill(p1,p2,color=colFinal, transp=90)

//Slow EMA Plots
p3=plot(showRibbons?emaS1:na, title="Slow Ribbon Lower MA", style=line, linewidth=1, color=colFinal2,transp=10)
p4=plot(showRibbons?emaS16:na, title="Slow Ribbon Upper MA", style=line, linewidth=1, color=colFinal2,transp=10)
plot(showAvgs?emaslow:na, title="Slow Ribbon Avg MA", style=circles,join=true, linewidth=1, color=fuchsia,transp=10)
//
//fill(p3,p4, color=colFinal2, transp=90)

// Generate Buy Sell signals, 
buy = 0
sell=0
//
buy  := xup>=2 and sup>=2 and fup>=2 ? nz(buy[1])>0?buy[1]+1  :1 : 0
sell := xdn>=2 and sdn>=2 and fdn>=2 ? nz(sell[1])>0?sell[1]+1 :1 : 0

////////////////////////
//* 反测试周期选择器 *//
////////////////////////

testStartYear = input(2018, "Backtest Start Year",minval=1980)
testStartMonth = input(1, "Backtest Start Month",minval=1,maxval=12)
testStartDay = input(1, "Backtest Start Day",minval=1,maxval=31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = 9999 //input(9999, "Backtest Stop Year",minval=1980)
testStopMonth = 12 // input(12, "Backtest Stop Month",minval=1,maxval=12)
testStopDay = 31 //input(31, "Backtest Stop Day",minval=1,maxval=31)
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriod() => time >= testPeriodStart and time <= testPeriodStop ? true : false


///////////////
//* RSI策略 *//
///////////////

//指示器 1
lowerpc = lowest(low, 21)
upperpc = highest(high, 21)
midpc = avg(upperpc, lowerpc)

//指示器 2
ma = sma(close, 50)
petd = ema(close,13)
rangema = ema(tr, 50)
upperkc = ma + rangema * 0.25
lowerkc = ma - rangema * 0.25

//指示器 3
up = rma(max(change(close), 0), 5)
down = rma(-min(change(close), 0), 5)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))

// PET-D
petdcolor = close > petd ? green : red
barcolor (petdcolor)


//Slope
SlopeL = midpc > midpc[5]
SlopeS = midpc < midpc[5]

//条件
CL = SlopeL == 1 and close > lowerkc and close < midpc and rsi < 35 
CS = SlopeS == 1 and close < upperkc and close > midpc and rsi > 65 

//Setup
RsiSL = CL == 1 and CL[1] != 1
RsiSS = CS == 1 and CS[1] != 1

/////////////////////
//* RSA抛物线指标 *//
/////////////////////
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)

psar = sar(start, increment, maximum)

RSALE = false
RSASE = false
if (psar > high)
    RSALE = true
else
    RSALE = false

if (psar < low)
    RSASE = true
else
    RSASE = false


////////////////
//* 策略组件 *//
////////////////

AQUA = #00FFFFFF
BLUE = #0000FFFF
RED  = #FF0000FF
LIME = #00FF00FF
GRAY = #808080FF
DARKRED   = #8B0000FF
DARKGREEN = #006400FF
//
fastExit  = input(false,title="Use Opposite Trade as a Close Signal")
clrBars   = input(true,title="Colour Candles to Trade Order state")
orderType = input("Longs+Shorts",title="What type of Orders", options=["Longs+Shorts","LongsOnly","ShortsOnly","Flip"])
//
isLong   = (orderType != "ShortsOnly")
isShort  = (orderType != "LongsOnly")

//////////////////////////
//* 贸易状态引擎 *//
//////////////////////////

// 追踪当前贸易状态
longClose = false, longClose := nz(longClose[1],false)
shortClose = false, shortClose := nz(shortClose[1],false)
tradeState = 0, tradeState := nz(tradeState[1])
tradeState := tradeState==0 ?   buy==1 and (barstate.isconfirmed or barstate.ishistory) and isLong and not longClose and not shortClose? 1 :
                               sell==1  and (barstate.isconfirmed or barstate.ishistory) and isShort and not longClose and not shortClose? -1 : 
                          tradeState : tradeState
                          
////////////////////////////////////
//* 在这里设置入口和特殊出口条件 *//
////////////////////////////////////

//进入状态，当状态改变方向时。
longCondition  = false
shortCondition = false
//longCondition  := longCondition != true ? change(tradeState) and tradeState==1 : true
//shortCondition := shortCondition != true ? change(tradeState) and tradeState==-1 : true
longCondition  := change(tradeState) and tradeState==1
shortCondition := change(tradeState) and tradeState==-1
if orderType=="Flip"
    temp = longCondition
    longCondition  := shortCondition
    shortCondition := temp
//end if

// 卖出信号退出
longExitC  =  (emafast[1]<emaslow[1] and open<emaslow[1]) ? 1 : 0
shortExitC = (emafast[1]>emaslow[1] and open>emaslow[1]) ? 1 : 0

// change退出条件。
longExit = change(longExitC) and longExitC==1 and tradeState==1
shortExit = change(shortExitC) and shortExitC==1 and tradeState==-1

// -- debugs
//plotchar(tradeState,"tradeState at Event",location=location.bottom, color=#FF0000FF)
//plotchar(longCondition, title="longCondition",color=#FF0000FF)
//plotchar(shortCondition, title="shortCondition",color=#FF0000FF)
//plotchar(tradeState, title="tradeState",color=#006400FF)
// -- /debugs

////////////////////////////////
//======[ 交易入门价格 ]======//
////////////////////////////////

last_open_longCondition = na
last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])

////////////////////////////
//======[ 位置状态 ]======//
////////////////////////////

in_longCondition  = tradeState == 1 
in_shortCondition = tradeState == -1

////////////////////////
//======[ 尾停 ]======//
////////////////////////

isTS = input(true, "Trailing Stop")
ts = input(3.0, "Trailing Stop (%)", minval=0,step=0.1, type=float) /100

last_high = na
last_low = na
last_high_short = na
last_low_long = na
last_high := not in_longCondition ? na : in_longCondition and (na(last_high[1]) or high_ > nz(last_high[1])) ? high_ : nz(last_high[1])
last_high_short := not in_shortCondition ? na : in_shortCondition and (na(last_high[1]) or high_ > nz(last_high[1])) ? high_ : nz(last_high[1])
last_low := not in_shortCondition ? na : in_shortCondition and (na(last_low[1]) or low_ < nz(last_low[1])) ? low_ : nz(last_low[1])
last_low_long := not in_longCondition ? na : in_longCondition and (na(last_low[1]) or low_ < nz(last_low[1])) ? low_ : nz(last_low[1])

long_ts =  isTS and in_longCondition and not na(last_high) and (low_ <= last_high - last_high * ts) //and (last_high >= last_open_longCondition + last_open_longCondition * tsi)
short_ts = isTS and in_shortCondition and not na(last_low) and (high_ >= last_low + last_low * ts) //and (last_low <= last_open_shortCondition - last_open_shortCondition * tsi)


////////////////////////
//======[ 获利 ]======//
////////////////////////

isTP = input(true, "Take Profit")
tp = input(3.0, "Take Profit (%)",minval=0,step=0.1,type=float) / 100
ttp = input(1.0, "Trailing Profit (%)",minval=0,step=0.1,type=float) / 100
ttp := ttp>tp ? tp : ttp

long_tp =  isTP and in_longCondition  and (last_high >= last_open_longCondition + last_open_longCondition * tp)   and (low_ <= last_high - last_high * ttp)
short_tp = isTP and in_shortCondition and (last_low <= last_open_shortCondition - last_open_shortCondition * tp) and (high_ >= last_low + last_low * ttp)

////////////////////////////
//======[ 停止损耗 ]======//
////////////////////////////

isSL = input(false, "Stop Loss")
sl = input(3.0, "Stop Loss (%)", minval=0,step=0.1, type=float) / 100
long_sl =  isSL and in_longCondition and (low_ <= last_open_longCondition - last_open_longCondition * sl)
short_sl = isSL and in_shortCondition and (high_ >= last_open_shortCondition + last_open_shortCondition * sl)

////////////////////////
//======[ 对峙 ]======//
////////////////////////

//注：短出口信号不重漆，无需用力，如果锥体继续进行。
long_sos = (fastExit or (not isTS and not isSL)) and longExit and in_longCondition
short_sos = (fastExit or (not isTS and not isSL)) and shortExit and in_shortCondition 

////////////////////////////
//======[ 关闭信号 ]======//
////////////////////////////

// 为所有不同的关闭条件创建一个单独的关闭，这里的所有条件都不重漆。
longClose :=  isLong and (long_tp or long_sl or long_ts or long_sos) and not longCondition
shortClose := isShort and (short_tp or short_sl or short_ts or short_sos) and not shortCondition
////////////////////////////
//======[ 情节色彩 ]======//
////////////////////////////

longCloseCol = na
shortCloseCol = na
longCloseCol := long_tp ? green : long_sl ? maroon : long_ts ? purple : long_sos ? orange :longCloseCol[1]
shortCloseCol := short_tp ? green : short_sl ? maroon : short_ts ? purple : short_sos ? orange : shortCloseCol[1]
//
tpColor = isTP and in_longCondition ? lime : isTP and in_shortCondition ? lime : na
slColor = isSL and in_longCondition ? red : isSL and in_shortCondition ? red : na


//////////////////////////////////
//======[ 策略图 ]======//
//////////////////////////////////

plot(isTS and in_longCondition?
     last_high - last_high * ts : na, "Long Trailing", fuchsia, style=2, linewidth=2,offset=1)
plot(isTP and in_longCondition and last_high < last_open_longCondition + last_open_longCondition * tp ? 
     last_open_longCondition + last_open_longCondition * tp : na, "Long TP Active", tpColor, style=3,join=false, linewidth=2,offset=1)
plot(isTP and in_longCondition and last_high >= last_open_longCondition +  last_open_longCondition * tp ? 
     last_high - last_high * ttp : na, "Long Trailing", black, style=2, linewidth=2,offset=1)
plot(isSL and in_longCondition and last_low_long > last_open_longCondition - last_open_longCondition * sl ? 
     last_open_longCondition - last_open_longCondition * sl : na, "Long SL", slColor, style=3,join=false, linewidth=2,offset=1)

plot(isTS and in_shortCondition?
     last_low + last_low * ts : na, "Short Trailing", fuchsia, style=2, linewidth=2,offset=1)
plot(isTP and in_shortCondition and last_low > last_open_shortCondition - last_open_shortCondition * tp ? 
     last_open_shortCondition - last_open_shortCondition * tp : na, "Short TP Active", tpColor, style=3,join=false, linewidth=2,offset=1)
plot(isTP and in_shortCondition and last_low <= last_open_shortCondition -  last_open_shortCondition * tp ? 
     last_low + last_low * ttp : na, "Short Trailing", black, style=2, linewidth=2,offset=1)
plot(isSL and in_shortCondition and last_high_short < last_open_shortCondition + last_open_shortCondition * sl ? 
     last_open_shortCondition + last_open_shortCondition * sl : na, "Short SL", slColor, style=3,join=false, linewidth=2,offset=1)

bclr = not clrBars ? na : tradeState==0 ? GRAY : 
                          in_longCondition ? close<last_open_longCondition? DARKGREEN : LIME :
                          in_shortCondition ? close>last_open_shortCondition? DARKRED : RED : GRAY
barcolor(bclr,title="Trade State Bar Colouring")


//////////////////////////////////
//======[ 战略进入与退出 ]======//
//////////////////////////////////

if testPeriod() and isLong
    strategy.entry("Long", 1, when=longCondition)
    strategy.close("Long", when=longClose )

if testPeriod() and isShort
    strategy.entry("Short", 0,  when=shortCondition)
    strategy.close("Short", when=shortClose )
    
// --- Debugs
//plotchar(longExit,title="longExit",location=location.bottom,color=na)
//plotchar(longCondition,title="longCondition",location=location.bottom,color=na)
//plotchar(in_longCondition,title="in_longCondition",location=location.bottom,color=na)
//plotchar(longClose,title="longClose",location=location.bottom,color=na,color=na)
//plotchar(buy,title="buy",location=location.bottom,color=na)
// --- /Debugs
//开单时改变背景
bgcolor( in_longCondition ? lime : na, transp=90)
bgcolor( in_shortCondition ? red : na, transp=90)

////////////////////////////
//======[ 重置变量 ]======//
////////////////////////////


if longClose or not in_longCondition
    last_high := na
    last_high_short := na
    
if shortClose or not in_shortCondition
    last_low := na
    last_low_long := na
    
if longClose or shortClose
    tradeState := 0
    in_longCondition := false
    in_shortCondition := false

    
//plotchar(tradeState,"tradeState at EOF",location=location.bottom, color=na)
// EOF

Detail

https://www.fmz.com/strategy/433073

Last Modified

2023-11-24 10:23:36

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