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AlphaTrend与KAMA结合的自适应趋势跟踪与风险管理策略

Author: ChaoZhang, Date: 2024-07-30 12:30:19
Tags: KAMAATRMFIRSI

---

---

/*backtest
start: 2024-06-01 00:00:00
end: 2024-06-30 23:59:59
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy('AlphaTrend with KAMA and Risk Management', shorttitle='AT+KAMA+RM', overlay=true, format=format.price, precision=2, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// AlphaTrend Inputs
coeff = input.float(1, 'AT Multiplier', step=0.1)
AP = input.int(14, 'AT Common Period', minval=1)
src = input.source(close, 'AT Source')
showsignals = input.bool(true, 'Show Signals?')
novolumedata = input.bool(false, 'Change calculation (no volume data)?')

// KAMA Inputs
kamaLength = input.int(21, 'KAMA Length', minval=1)

// Risk Management Inputs
profitTarget = input.float(10, 'Profit Target for Partial Exit (%)', minval=1, step=0.1)

// Yeni değişkenler
var float entryPrice = na
var string currentPosition = "flat"  // "long", "short", veya "flat"
var float partialExitPrice = na

// AlphaTrend Calculation
ATR = ta.sma(ta.tr, AP)
upT = low - ATR * coeff
downT = high + ATR * coeff
AlphaTrend = 0.0
AlphaTrend := (novolumedata ? ta.rsi(src, AP) >= 50 : ta.mfi(hlc3, AP) >= 50) ? upT < nz(AlphaTrend[1]) ? nz(AlphaTrend[1]) : upT : downT > nz(AlphaTrend[1]) ? nz(AlphaTrend[1]) : downT

// KAMA Calculation
xPrice = close
xvnoise = math.abs(xPrice - xPrice[1])
nAMA = 0.0
nfastend = 0.666
nslowend = 0.0645
nsignal = math.abs(xPrice - xPrice[kamaLength])

// Manual calculation of sum
nnoise = 0.0
for i = 0 to kamaLength-1
    nnoise := nnoise + xvnoise[i]
nefratio = nnoise != 0 ? nsignal / nnoise : 0
nsmooth = math.pow(nefratio * (nfastend - nslowend) + nslowend, 2)
nAMA := nz(nAMA[1]) + nsmooth * (xPrice - nz(nAMA[1]))

// Plotting
color1 = AlphaTrend > AlphaTrend[2] ? #00E60F : AlphaTrend < AlphaTrend[2] ? #80000B : AlphaTrend[1] > AlphaTrend[3] ? #00E60F : #80000B
k1 = plot(AlphaTrend, color=color.new(#0022FC, 0), linewidth=3, title='AlphaTrend')
k2 = plot(AlphaTrend[2], color=color.new(#FC0400, 0), linewidth=3)
fill(k1, k2, color=color1)
plot(nAMA, color=color.yellow, linewidth=2, title='KAMA')

// Sinyal koşulları
buyCondition = (ta.crossover(nAMA, AlphaTrend) and ta.crossover(nAMA, AlphaTrend[2])) or
             (ta.crossover(nAMA, AlphaTrend) and nAMA > AlphaTrend[2]) or
             (ta.crossover(nAMA, AlphaTrend[2]) and nAMA > AlphaTrend)
sellCondition = (ta.crossunder(nAMA, AlphaTrend) and ta.crossunder(nAMA, AlphaTrend[2])) or
              (ta.crossunder(nAMA, AlphaTrend) and nAMA < AlphaTrend[2]) or
              (ta.crossunder(nAMA, AlphaTrend[2]) and nAMA < AlphaTrend)

// Yeni Sinyaller
buySignal = buyCondition
sellSignal = sellCondition

// Alım satım mantığı
if (buySignal and currentPosition != "long")
    if (currentPosition == "short")
        strategy.close("Short")
    strategy.entry("Long", strategy.long)
    entryPrice := close
    currentPosition := "long"
    partialExitPrice := entryPrice * (1 + profitTarget / 100)

if (sellSignal and currentPosition != "short")
    if (currentPosition == "long")
        strategy.close("Long")
    strategy.entry("Short", strategy.short)
    entryPrice := close
    currentPosition := "short"
    partialExitPrice := entryPrice * (1 - profitTarget / 100)

// Kısmi çıkış mantığı
if (currentPosition == "long" and high >= partialExitPrice)
    strategy.close("Long", comment="Partial Exit at " + str.tostring(profitTarget) + "% profit", qty_percent=50)
    partialExitPrice := na
if (currentPosition == "short" and low <= partialExitPrice)
    strategy.close("Short", comment="Partial Exit at " + str.tostring(profitTarget) + "% profit", qty_percent=50)
    partialExitPrice := na

// Plotting signals
plotshape(buySignal and showsignals ? AlphaTrend * 0.9999 : na, title='BUY', text='BUY', location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(#0022FC, 0), textcolor=color.new(color.white, 0))
plotshape(sellSignal and showsignals ? AlphaTrend * 1.0001 : na, title='SELL', text='SELL', location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.maroon, 0), textcolor=color.new(color.white, 0))
plotshape(currentPosition == "long" and high >= partialExitPrice ? high : na, title='PARTIAL EXIT LONG', text='PARTIAL', location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.orange, 0), textcolor=color.new(color.white, 0))
plotshape(currentPosition == "short" and low <= partialExitPrice ? low : na, title='PARTIAL EXIT SHORT', text='PARTIAL', location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(color.orange, 0), textcolor=color.new(color.white, 0))

// Alerts
alertcondition(buySignal, title='BUY Signal', message='KAMA crossed above AlphaTrend - BUY!')
alertcondition(sellSignal, title='SELL Signal', message='KAMA crossed below AlphaTrend - SELL!')
alertcondition((currentPosition == "long" and high >= partialExitPrice) or (currentPosition == "short" and low <= partialExitPrice), title='Partial Exit', message='Profit target reached - Closing half position!')

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