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基于布林带和分形突破的动态转折点策略

Author: ChaoZhang, Date: 2024-06-28 15:06:36
Tags: BBMASMASDFRAC

---

---

/*backtest
start: 2024-05-01 00:00:00
end: 2024-05-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Breakdown and Breakup Strategy", overlay=true)

// Bollinger Bands settings
length = input.int(20, title="Bollinger Bands Length")
src = close
mult = input.float(2.0, title="Bollinger Bands Multiplier")

// Calculate Bollinger Bands
basis = ta.sma(src, length)
dev = mult * ta.stdev(src, length)
upper = basis + dev
lower = basis - dev

plot(upper, color=color.red, linewidth=1)
plot(lower, color=color.red, linewidth=1)
plot(basis, color=color.blue, linewidth=1)

// Fractals identification
isBullishFractal = ta.highest(high, 5)[2] == high[2] and high[2] > high[1] and high[2] > high[3]
isBearishFractal = ta.lowest(low, 5)[2] == low[2] and low[2] < low[1] and low[2] < low[3]

// Variables to store the latest fractal values
var float latestBullishFractal = na
var float latestBearishFractal = na

if (isBullishFractal)
    latestBullishFractal := high[2]
    
if (isBearishFractal)
    latestBearishFractal := low[2]

// Conditions
breakdownCondition = close < lower
breakupCondition = close > latestBullishFractal
breakupUpperCondition = close > upper
breakdownBearishCondition = close < latestBearishFractal

// Variables to track state
var bool breakdownOccurred = false
var bool breakupUpperOccurred = false

// Signals
var bool plotBreakupSignal = false
var bool plotBreakdownSignal = false

// Logic for breakdown and breakup above bullish fractal
if (breakdownCondition)
    breakdownOccurred := true

if (breakdownOccurred and breakupCondition)
    plotBreakupSignal := true
    breakdownOccurred := false

// Logic for breakup and breakdown below bearish fractal
if (breakupUpperCondition)
    breakupUpperOccurred := true

if (breakupUpperOccurred and breakdownBearishCondition)
    plotBreakdownSignal := true
    breakupUpperOccurred := false

// Plot signals as icons
plotshape(series=plotBreakupSignal, location=location.abovebar, color=color.green, style=shape.triangleup, title="Breakup", size=size.small)
plotshape(series=plotBreakdownSignal, location=location.belowbar, color=color.red, style=shape.triangledown, title="Breakdown", size=size.small)

// Plotting fractals for reference
plotshape(series=isBullishFractal, location=location.abovebar, color=color.green, style=shape.triangleup, title="Bullish Fractal", offset=-2)
plotshape(series=isBearishFractal, location=location.belowbar, color=color.red, style=shape.triangledown, title="Bearish Fractal", offset=-2)

// Reset signals
plotBreakupSignal := false
plotBreakdownSignal := false


if isBullishFractal
    strategy.entry("Enter Long", strategy.long)
else if isBearishFractal
    strategy.entry("Enter Short", strategy.short)

---

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---

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