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基于动量趋势同步策略

Author: ChaoZhang, Date: 2024-02-19 14:48:37
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---

/*backtest
start: 2024-01-19 00:00:00
end: 2024-02-18 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PresentTrading

//@version=5
strategy("PresentTrend RMI Synergy - Strategy [presentTrading]", shorttitle="PresentTrend RMI Synergy - Strategy [presentTrading]", overlay=false)

// Inputs
tradeDirection = input.string("Both", title="Trade Direction", options=["Long", "Short", "Both"])
lengthRMI = input.int(21, title="RMI Length")
lengthSuperTrend = input.int(5, title="presentTrend Length")
multiplierSuperTrend = input.float(4.0, title="presentTrend Multiplier")

// RMI Calculation
up = ta.rma(math.max(ta.change(close), 0), lengthRMI)
down = ta.rma(-math.min(ta.change(close), 0), lengthRMI)
rmi = 100 - (100 / (1 + up / down))

// PresentTrend Dynamic Threshold Calculation (Simplified Example)
presentTrend = ta.sma(close, lengthRMI) * multiplierSuperTrend // Simplified for demonstration

// SuperTrend for Dynamic Trailing Stop
atr = ta.atr(lengthSuperTrend)
upperBand = ta.sma(close, lengthSuperTrend) + multiplierSuperTrend * atr
lowerBand = ta.sma(close, lengthSuperTrend) - multiplierSuperTrend * atr
trendDirection = close > ta.sma(close, lengthSuperTrend) ? 1 : -1
// Entry Logic
longEntry = rmi > 60 and trendDirection == 1 
shortEntry = rmi < 40 and trendDirection == -1 

// Exit Logic with Dynamic Trailing Stop
longExitPrice = trendDirection == 1 ? lowerBand : na
shortExitPrice = trendDirection == -1 ? upperBand : na

// Strategy Execution
if (tradeDirection == "Long" or tradeDirection == "Both") and longEntry
    strategy.entry("Long Entry", strategy.long)
    strategy.exit("Exit Long", stop=longExitPrice)

if (tradeDirection == "Short" or tradeDirection == "Both") and shortEntry
    strategy.entry("Short Entry", strategy.short)
    strategy.exit("Exit Short", stop=shortExitPrice)

// Visualization
plot(rmi, title="RMI", color=color.orange)
hline(50, "Baseline", color=color.white)
hline(30, "Baseline", color=color.blue)
hline(70, "Baseline", color=color.blue)

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