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动态自适应动量突破策略

Author: ChaoZhang, Date: 2024-07-29 14:36:32
Tags: ATREMAMOM

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/*backtest
start: 2024-06-28 00:00:00
end: 2024-07-28 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/
// © ironperol
//@version=5
strategy("Adaptive Momentum Strategy", overlay=true, margin_long=100, margin_short=100)

// Input parameters for customization
src = input.source(close, title="Source")
min_length = input.int(10, minval=1, title="Minimum Length")
max_length = input.int(40, minval=1, title="Maximum Length")
ema_smoothing = input.bool(true, title="EMA Smoothing")
ema_length = input.int(7, title="EMA Length")
percent = input.float(2, title="Percent of Change", minval=0, maxval=100) / 100.0

// Separate body size filters for current and previous candles
min_body_size_current = input.float(0.5, title="Minimum Body Size for Current Candle (as a fraction of previous body size)", minval=0)
min_body_size_previous = input.float(0.5, title="Minimum Body Size for Previous Candle (as a fraction of average body size of last 5 candles)", minval=0)

close_bars = input.int(3, title="Number of Bars to Hold Position", minval=1) // User-defined input for holding period

//######################## Calculations ##########################

// Initialize dynamic length variable
startingLen = (min_length + max_length) / 2.0
var float dynamicLen = na
if na(dynamicLen)
    dynamicLen := startingLen

high_Volatility = ta.atr(7) > ta.atr(14)

if high_Volatility
    dynamicLen := math.max(min_length, dynamicLen * (1 - percent))
else
    dynamicLen := math.min(max_length, dynamicLen * (1 + percent))

momentum = ta.mom(src, int(dynamicLen))
value = ema_smoothing ? ta.ema(momentum, ema_length) : momentum

// Calculate slope as the difference between current and previous value
slope = value - value[1]

// Calculate body sizes
currentBodySize = math.abs(close - open)
previousBodySize = math.abs(close[1] - open[1])

// Calculate average body size of the last 5 candles
avgBodySizeLast5 = math.avg(math.abs(close[1] - open[1]), math.abs(close[2] - open[2]), math.abs(close[3] - open[3]), math.abs(close[4] - open[4]), math.abs(close[5] - open[5]))

//######################## Long Signal Condition ##########################

// Function to determine if the candle is a bullish engulfing
isBullishEngulfing() =>
    currentOpen = open
    currentClose = close
    previousOpen = open[1]
    previousClose = close[1]
    isBullish = currentClose >= currentOpen
    wasBearish = previousClose <= previousOpen
    engulfing = currentOpen <= previousClose and currentClose >= previousOpen
    bodySizeCheckCurrent = currentBodySize >= min_body_size_current * previousBodySize
    bodySizeCheckPrevious = previousBodySize >= min_body_size_previous * avgBodySizeLast5
    isBullish and wasBearish and engulfing and bodySizeCheckCurrent and bodySizeCheckPrevious

// Long signal condition
longCondition = isBullishEngulfing() and slope > 0

// Plotting long signals on chart
plotshape(series=longCondition, location=location.belowbar, color=color.green, style=shape.labelup, text="Long", title="Long Condition")

// Alerts for long condition
if (longCondition)
    alert("Long condition met", alert.freq_once_per_bar_close)

//######################## Short Signal Condition ##########################

// Function to determine if the candle is a bearish engulfing
isBearishEngulfing() =>
    currentOpen = open
    currentClose = close
    previousOpen = open[1]
    previousClose = close[1]
    isBearish = currentClose <= currentOpen
    wasBullish = previousClose >= previousOpen
    engulfing = currentOpen >= previousClose and currentClose <= previousOpen
    bodySizeCheckCurrent = currentBodySize >= min_body_size_current * previousBodySize
    bodySizeCheckPrevious = previousBodySize >= min_body_size_previous * avgBodySizeLast5
    isBearish and wasBullish and engulfing and bodySizeCheckCurrent and bodySizeCheckPrevious

// Short signal condition
shortCondition = isBearishEngulfing() and slope < 0

// Plotting short signals on chart
plotshape(series=shortCondition, location=location.abovebar, color=color.red, style=shape.labeldown, text="Short", title="Short Condition")

// Alerts for short condition
if (shortCondition)
    alert("Short condition met", alert.freq_once_per_bar_close)

//######################## Trading Logic ##########################

// Track the bar number when the position was opened
var int longEntryBar = na
var int shortEntryBar = na

// Enter long trade on the next candle after a long signal
if (longCondition and na(longEntryBar))
    strategy.entry("Long", strategy.long)
    longEntryBar := bar_index + 1

// Enter short trade on the next candle after a short signal
if (shortCondition and na(shortEntryBar))
    strategy.entry("Short", strategy.short)
    shortEntryBar := bar_index + 1

// Close long trades `close_bars` candles after entry
if (not na(longEntryBar) and bar_index - longEntryBar >= close_bars)
    strategy.close("Long")
    longEntryBar := na

// Close short trades `close_bars` candles after entry
if (not na(shortEntryBar) and bar_index - shortEntryBar >= close_bars)
    strategy.close("Short")
    shortEntryBar := na

---

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