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高级斐波那契回调与成交量加权价格行为交易策略

Author: ChaoZhang, Date: 2024-07-30 16:13:37
Tags: MAFIBONACCI

---

---

/*backtest
start: 2024-06-29 00:00:00
end: 2024-07-29 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Fibonacci and Price Action with Volume Strategy", overlay=true)

// Inputs for Fibonacci levels
fibLength = input.int(20, title="Fibonacci Length")
fibonacciLevels = array.new_float(5, 0)
var float fibHigh = na
var float fibLow = na

// Inputs for Volume
volumeMA_length = input.int(20, title="Volume MA Length")  // Moving average length for volume
volumeThreshold = input.float(1.5, title="Volume Threshold Multiplier")  // Multiplier for volume condition

// Calculate Fibonacci retracement levels
if (na(fibHigh) or na(fibLow))
    fibHigh := high
    fibLow := low

if (high > fibHigh)
    fibHigh := high
if (low < fibLow)
    fibLow := low

if (bar_index % fibLength == 0)
    fibHigh := high
    fibLow := low
    array.set(fibonacciLevels, 0, fibHigh)
    array.set(fibonacciLevels, 1, fibHigh - 0.236 * (fibHigh - fibLow))
    array.set(fibonacciLevels, 2, fibHigh - 0.382 * (fibHigh - fibLow))
    array.set(fibonacciLevels, 3, fibHigh - 0.618 * (fibHigh - fibLow))
    array.set(fibonacciLevels, 4, fibLow)

// Plot Fibonacci levels
plot(array.get(fibonacciLevels, 0), color=color.gray, linewidth=1, title="Fib 0%")
plot(array.get(fibonacciLevels, 1), color=color.gray, linewidth=1, title="Fib 23.6%")
plot(array.get(fibonacciLevels, 2), color=color.gray, linewidth=1, title="Fib 38.2%")
plot(array.get(fibonacciLevels, 3), color=color.gray, linewidth=1, title="Fib 61.8%")
plot(array.get(fibonacciLevels, 4), color=color.gray, linewidth=1, title="Fib 100%")

// Price Action Patterns
isPinBar(bullish) =>
    wickSize = bullish ? high - math.max(open, close) : math.min(open, close) - low
    bodySize = math.abs(close - open)
    wickSize > bodySize * 2

isBullishEngulfing() =>
    open[1] > close[1] and close > open and open <= close[1] and close >= open[1]

isBearishEngulfing() =>
    close[1] > open[1] and open > close and open >= close[1] and close <= open[1]

// Calculate Volume Moving Average
volumeMA = ta.sma(volume, volumeMA_length)
volumeCondition = volume > volumeThreshold * volumeMA

// Buy and Sell Conditions with Volume
longEntry = (isPinBar(true) or isBullishEngulfing()) and close > array.get(fibonacciLevels, 2) and volumeCondition
shortEntry = (isPinBar(false) or isBearishEngulfing()) and close < array.get(fibonacciLevels, 2) and volumeCondition

// Execute Trades
if (longEntry)
    strategy.entry("Buy", strategy.long)

if (shortEntry)
    strategy.entry("Sell", strategy.short)

// Plot buy and sell signals
plotshape(series=longEntry, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(series=shortEntry, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

// Plot Volume MA
plot(volumeMA, title="Volume MA", color=color.orange, linewidth=1, style=plot.style_line)

// Plot Performance Metrics
// if (strategy.closedtrades > 0)
//     winRate = (strategy.wintrades / strategy.closedtrades) * 100
//     profitFactor = strategy.grossprofit / strategy.grossloss
//     label.new(bar_index, high, "Win Rate: " + str.tostring(winRate, "#.##") + "%\nProfit Factor: " + str.tostring(profitFactor, "#.##"), 
//               color=color.new(color.blue, 80), style=label.style_label_down, size=size.small)

---

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