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Trend Crossover Rata-rata Multi-Moving Mengikuti Strategi dengan Filter Volatilitas

Penulis:ChaoZhang, Tanggal: 2024-07-29 13:37:09
Tag:MAEMASMAWMAVWMASMMARMA

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/*backtest
start: 2023-07-23 00:00:00
end: 2024-07-28 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title="WODIsMA Strategy", shorttitle="WMA_Strategy", overlay=true, overlay=true, pyramiding=2, default_qty_value=6, default_qty_type=strategy.fixed, initial_capital=1000, currency=currency.USD)

// 用户输入参数
capital_pct = input.float(20, title="每笔订单使用的资金百分比(%)", minval=0.1, maxval=100, group="Position") / 100
close_pct = input.float(20, title="每次平仓使用的百分比(%)", minval=0, maxval=100, group="Position") / 100
stop_loss_user = input.float(10, title="止损百分比(%)", minval=0, maxval=100, group="Position") / 100
allow_long = input.bool(true, title="是否做多", group="Position")
allow_short = input.bool(true, title="是否做空", group="Position")

// 用户选择的移动平均线
short_term_ma = input.string("MA 0", title="短期趋势均线", options=["MA 0", "MA 1", "MA 2", "MA 3", "MA 4", "MA 5"], group="TrendIdentify")
mid_term_ma = input.string("MA 1", title="中期趋势均线", options=["MA 0", "MA 1", "MA 2", "MA 3", "MA 4", "MA 5"], group="TrendIdentify")
long_term_ma = input.string("MA 2", title="长期趋势均线", options=["MA 0", "MA 1", "MA 2", "MA 3", "MA 4", "MA 5"], group="TrendIdentify")
bull_bear_ma = input.string("MA 3", title="牛熊趋势均线", options=["MA 0", "MA 1", "MA 2", "MA 3", "MA 4", "MA 5"], group="TrendIdentify")
enable_bull_bear = input.bool(false, title="是否启用牛熊趋势线", group="TrendIdentify")
// 波动率指标参数
volatility_k = input.int(60, title="波动率数值K线数" , group="volatility")
volatility_threshold = input.float(1, minval=0, title="波动率值 0则不使用(%)", group="volatility")

// 定义不同类型的移动平均线函数
ma(source, length, type) =>
    switch type
        "SMA" => ta.sma(source, length)
        "EMA" => ta.ema(source, length)
        "SMMA (RMA)" => ta.rma(source, length)
        "WMA" => ta.wma(source, length)
        "VWMA" => ta.vwma(source, length)

// 定义每根均线的输入参数和颜色
length0 = input.int(16, minval=1, title="Length 0", group="MA 0")
source0 = input.source(hl2, title="Source 0", group="MA 0")
type0 = input.string("SMA", title="Type 0", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="MA 0")
timeframe0 = input.timeframe("", title="Timeframe 0", group="MA 0")
color0 = input.color(color.gray, title="Color 0", group="MA 0")
show0 = input.bool(true, title="Show MA 0", group="MA 0")

length1 = input.int(48, minval=1, title="Length 1", group="MA 1")
source1 = input.source(hl2, title="Source 1", group="MA 1")
type1 = input.string("SMA", title="Type 1", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="MA 1")
timeframe1 = input.timeframe("", title="Timeframe 1", group="MA 1")
color1 = input.color(color.aqua, title="Color 1", group="MA 1")
show1 = input.bool(true, title="Show MA 1", group="MA 1")

length2 = input.int(144, minval=1, title="Length 2", group="MA 2")
source2 = input.source(hl2, title="Source 2", group="MA 2")
type2 = input.string("SMA", title="Type 2", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="MA 2")
timeframe2 = input.timeframe("", title="Timeframe 2", group="MA 2")
color2 = input.color(color.orange, title="Color 2", group="MA 2")
show2 = input.bool(true, title="Show MA 2", group="MA 2")

length3 = input.int(432, minval=1, title="Length 3", group="MA 3")
source3 = input.source(hl2, title="Source 3", group="MA 3")
type3 = input.string("SMA", title="Type 3", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="MA 3")
timeframe3 = input.timeframe("", title="Timeframe 3", group="MA 3")
color3 = input.color(color.green, title="Color 3", group="MA 3")
show3 = input.bool(true, title="Show MA 3", group="MA 3")

length4 = input.int(91, minval=1, title="Length 4", group="MA 4")
source4 = input.source(hl2, title="Source 4", group="MA 4")
type4 = input.string("SMA", title="Type 4", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="MA 4")
timeframe4 = input.timeframe("D", title="Timeframe 4", group="MA 4")
color4 = input.color(color.rgb(159, 110, 208), title="Color 4", group="MA 4") // 浅紫色
style4 = input.string("step", title="Style 4", options=["line", "step"], group="MA 4")
show4 = input.bool(false, title="Show MA 4", group="MA 4")

length5 = input.int(182, minval=1, title="Length 5", group="MA 5")
source5 = input.source(hl2, title="Source 5", group="MA 5")
type5 = input.string("SMA", title="Type 5", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="MA 5")
timeframe5 = input.timeframe("D", title="Timeframe 5", group="MA 5")
color5 = input.color(color.red, title="Color 5", group="MA 5")
style5 = input.string("step", title="Style 5", options=["line", "step"], group="MA 5")
show5 = input.bool(true, title="Show MA 5", group="MA 5")

// 计算每根均线的值
value0 = request.security(syminfo.tickerid, timeframe0, ma(source0, length0, type0))
value1 = request.security(syminfo.tickerid, timeframe1, ma(source1, length1, type1))
value2 = request.security(syminfo.tickerid, timeframe2, ma(source2, length2, type2))
value3 = request.security(syminfo.tickerid, timeframe3, ma(source3, length3, type3))
value4 = request.security(syminfo.tickerid, timeframe4, ma(source4, length4, type4))
value5 = request.security(syminfo.tickerid, timeframe5, ma(source5, length5, type5))

// 绘制每根均线
plot(show0 ? value0 : na, title="MA 0", color=color0)
plot(show1 ? value1 : na, title="MA 1", color=color1)
plot(show2 ? value2 : na, title="MA 2", color=color2)
plot(show3 ? value3 : na, title="MA 3", color=color3)
plot(show4 ? value4 : na, title="MA 4", color=color4, style=style4 == "step" ? plot.style_stepline : plot.style_line, linewidth=2)
plot(show5 ? value5 : na, title="MA 5", color=color5, style=style5 == "step" ? plot.style_stepline : plot.style_line, linewidth=2)

// 添加策略部分

// 选择均线值
get_ma_value(ma_name) =>
    if (ma_name == "MA 0")
        value0
    else if (ma_name == "MA 1")
        value1
    else if (ma_name == "MA 2")
        value2
    else if (ma_name == "MA 3")
        value3
    else if (ma_name == "MA 4")
        value4
    else
        value5

short_ma_value = get_ma_value(short_term_ma)
mid_ma_value = get_ma_value(mid_term_ma)
long_ma_value = get_ma_value(long_term_ma)
bull_bear_ma_value = get_ma_value(bull_bear_ma)

// 计算波动率
high_close = ta.highest(high, volatility_k)
low_close = ta.lowest(low, volatility_k)
volatility = 100 * (high_close - low_close) / low_close

// 波动率条件背景色
volatilityCondition = (volatility > volatility_threshold)
volatilityConditionBG = (volatility > volatility_threshold) and volatility_threshold != 0

bgcolor(volatilityConditionBG ? color.new(color.green, 90) : na, title="Volatility Background")

// 策略信号
long_condition = (short_ma_value > long_ma_value and ta.crossover(mid_ma_value, long_ma_value))
short_condition = (short_ma_value < long_ma_value and ta.crossunder(mid_ma_value, long_ma_value))

var float stop_level_long = na
var float stop_level_short = na

// 执行策略
if (volatilityCondition and allow_long and (not enable_bull_bear or close > bull_bear_ma_value)) 
    if (long_condition and close > long_ma_value)  // 判断是否立即触发止损
        strategy.entry("Long", strategy.long, qty=capital_pct * strategy.equity / close)
        label.new(bar_index, low*0.996, text="BUY", color=color.green, textcolor=color.white, style=label.style_label_up, size=size.small)

if (volatilityCondition and allow_short and (not enable_bull_bear or close < bull_bear_ma_value)) 
    if (short_condition and close < long_ma_value)  // 判断是否立即触发止损
        strategy.entry("Short", strategy.short, qty=capital_pct * strategy.equity / close)
        label.new(bar_index, high*1.004, text="SELL", color=color.red, textcolor=color.white, style=label.style_label_down, size=size.small)

// 部分平仓逻辑
if (enable_bull_bear)
    // 当当前价格处在牛熊趋势均线之下时
    if (close < bull_bear_ma_value)
        // 平所有多仓
        if (strategy.position_size > 0)
            strategy.close("Long", comment="平所有多仓")
            label.new(bar_index, low*0.996, text="CLOSE", color=color.gray, textcolor=color.white, style=label.style_label_up, size=size.small)
        // 当短期均线在长期均线之上时，中期均线向上穿过长期均线，平空
        if (short_ma_value > long_ma_value and ta.crossover(mid_ma_value, long_ma_value) and volatilityCondition)
            if (strategy.position_size < 0)
                strategy.close("Short", qty=close_pct * strategy.position_size, comment="部分平空")
                label.new(bar_index, high*1.004, text="CLOSE", color=color.gray, textcolor=color.white, style=label.style_label_down, size=size.small)

    // 当当前价格处在牛熊趋势均线之上时
    if (close > bull_bear_ma_value)
        // 平所有空仓
        if (strategy.position_size < 0)
            strategy.close("Short", comment="平所有空仓")
            label.new(bar_index, high*1.004, text="CLOSE", color=color.gray, textcolor=color.white, style=label.style_label_up, size=size.small)
        // 当短期均线在长期均线之下时，中期均线向下穿过长期均线，平多
        if (short_ma_value < long_ma_value and ta.crossunder(mid_ma_value, long_ma_value) and volatilityCondition)
            if (strategy.position_size > 0)
                strategy.close("Long", qty=close_pct * strategy.position_size, comment="部分平多")
                label.new(bar_index, low*0.996, text="CLOSE", color=color.gray, textcolor=color.white, style=label.style_label_down, size=size.small)
else if (not enable_bull_bear and not (allow_long and allow_short))
    // 当短期均线在长期均线之上时，中期均线向上穿过长期均线，平空
    if (short_ma_value > long_ma_value and ta.crossover(mid_ma_value, long_ma_value) and volatilityCondition)
        if (strategy.position_size < 0)
            strategy.close("Short", qty=close_pct * strategy.position_size, comment="部分平空")
            label.new(bar_index, low*0.996, text="CLOSE", color=color.gray, textcolor=color.white, style=label.style_label_up, size=size.small)

    // 当短期均线在长期均线之下时，中期均线向下穿过长期均线，平多
    if (short_ma_value < long_ma_value and ta.crossunder(mid_ma_value, long_ma_value) and volatilityCondition)
        if (strategy.position_size > 0)
            strategy.close("Long", qty=close_pct * strategy.position_size, comment="部分平多")
            label.new(bar_index, high*1.004, text="CLOSE", color=color.gray, textcolor=color.white, style=label.style_label_down, size=size.small)

// 止损处理
if (strategy.position_size > 0)
    stop_level_long_user = strategy.position_avg_price * (1 - stop_loss_user)
    strategy.exit("Stop Loss", from_entry="Long", stop=stop_level_long_user)
else if (strategy.position_size < 0)
    stop_level_short_user = strategy.position_avg_price * (1 + stop_loss_user)
    strategy.exit("Stop Loss", from_entry="Short", stop=stop_level_short_user)

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