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ChandelierExit-EMA动态止损趋势跟踪策略

Author: ChaoZhang, Date: 2024-07-29 17:05:04
Tags: ATREMACE

---

---

/*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"}]
*/

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

//@version=5
// Copyright (c) 2019-present, Alex Orekhov (everget)
// Chandelier Exit script may be freely distributed under the terms of the GPL-3.0 license.
strategy('Chandelier Exit Strategy with 200 EMA Filter', shorttitle='CES', overlay=true)

var string calcGroup = 'Calculation'
length = input.int(title='ATR Period', defval=22, group=calcGroup)
mult = input.float(title='ATR Multiplier', step=0.1, defval=3.0, group=calcGroup)
useClose = input.bool(title='Use Close Price for Extremums', defval=true, group=calcGroup)

var string visualGroup = 'Visuals'
showLabels = input.bool(title='Show Buy/Sell Labels', defval=true, group=visualGroup)
highlightState = input.bool(title='Highlight State', defval=true, group=visualGroup)

var string alertGroup = 'Alerts'
awaitBarConfirmation = input.bool(title="Await Bar Confirmation", defval=true, group=alertGroup)

atr = mult * ta.atr(length)
ema200 = ta.ema(close, 200)

longStop = (useClose ? ta.highest(close, length) : ta.highest(length)) - atr
longStopPrev = nz(longStop[1], longStop)
longStop := close[1] > longStopPrev ? math.max(longStop, longStopPrev) : longStop

shortStop = (useClose ? ta.lowest(close, length) : ta.lowest(length)) + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := close[1] < shortStopPrev ? math.min(shortStop, shortStopPrev) : shortStop

var int dir = 1
dir := close > shortStopPrev ? 1 : close < longStopPrev ? -1 : dir

buySignal = dir == 1 and dir[1] == -1
sellSignal = dir == -1 and dir[1] == 1

await = awaitBarConfirmation ? barstate.isconfirmed : true

// Trading logic
if (buySignal and await and close > ema200)
    strategy.entry("Long", strategy.long, stop = low - atr * 0.5)

if (sellSignal and await and close < ema200)
    strategy.entry("Short", strategy.short, stop = high + atr * 0.5)

if (sellSignal and await)
    strategy.close("Long")

if (buySignal and await)
    strategy.close("Short")

---

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---

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