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多层波动带交易策略

Author: ChaoZhang, Date: 2024-07-31 14:08:36
Tags: SMAEMASMMAWMAVWMAATR

---

---

/*backtest
start: 2024-06-30 00:00:00
end: 2024-07-30 00:00:00
period: 2h
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/
// © abtov

//@version=5
strategy("Spider Strategy", overlay=true)

ma(source, length, type) =>
    switch type
        "SMA" => ta.sma(source, length)
        "Bollinger Bands" => ta.sma(source, length)
        "EMA" => ta.ema(source, length)
        "SMMA (RMA)" => ta.rma(source, length)
        "WMA" => ta.wma(source, length)
        "VWMA" => ta.vwma(source, length)

stdev = input.int(56, "STDEV", group="Stdev")
mult = input.float(2.3, "Multiplier", group="Stdev")
ma_len = input.int(230, "Basis Length", group="Stdev")
ma_type = input.string("SMA", title="MA Type", options=["SMA", "Bollinger Bands", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="Stdev")
auto_mult = input.bool(true, "Dynamic Mult.", group="Stdev")
basis_exit = input.bool(false, "Basis Exit", group="Stdev")

col_int = input.int(12, "Collective Value", group="Collective")
col_input = input.bool(true, "Collective Input", group="Collective")


fib1 = input.float(0.236, "Fibonacci Level 1", group = "Fibonacci")
fib2 = input.float(0.382, "Fibonacci Level 2", group = "Fibonacci")
fib3 = input.float(0.5, "Fibonacci Level 3", group = "Fibonacci")
fib4 = input.float(0.618, "Fibonacci Level 4", group = "Fibonacci")

atr_len = input.int(30, "ATR", group="ATR")
atr_bias = input.float(0.72, "Bias", group="ATR")

shares = input.int(1, "Shares Amount", group="Strategy")

if(col_input == true)
    stdev := col_int
    ma_len := col_int
    atr_len := col_int

if(auto_mult == true)
    mult := ma(ta.tr(true), atr_len, ma_type) * atr_bias


basis = ma(close, ma_len, ma_type)
lower = basis - stdev * mult
upper = basis + stdev * mult

lower2 = basis - stdev * mult * fib1
upper2 = basis + stdev * mult * fib1

lower3 = basis - stdev * mult * fib2
upper3 = basis + stdev * mult * fib2

lower4 = basis - stdev * mult * fib3
upper4 = basis + stdev * mult * fib3

lower5 = basis - stdev * mult * fib4
upper5 = basis + stdev * mult * fib4


var lowerAct = false
var lower2Act = false
var lower3Act = false
var lower4Act = false
var lower5Act = false

var upperAct = false
var upper2Act = false
var upper3Act = false
var upper4Act = false
var upper5Act = false


plot(upper, "limit short", color.red)
plot(upper2, "limit 1 short", color.red)
plot(upper3, "limit 2 short", color.red)
plot(upper4, "limit 3 short", color.red)
plot(upper5, "limit 4 short", color.red)
plot(basis, "basis", color.white)
plot(lower, "limit long", color.green)
plot(lower2, "limit 1 long", color.green)
plot(lower3, "limit 2 long", color.green)
plot(lower4, "limit 3 long", color.green)
plot(lower5, "limit 4 long", color.green)


if(lowerAct == false)
    if(close < lower)
        strategy.entry("long", strategy.long, shares)
        lowerAct := true
else
    if(low > basis)
        lowerAct := false


if(lower2Act == false)
    if(close < lower2)
        strategy.entry("long", strategy.long, shares)
        lower2Act := true
else
    if(low > basis)
        lower2Act := false


if(lower3Act == false)
    if(close < lower3)
        strategy.entry("long", strategy.long, shares)
        lower3Act := true
else
    if(low > basis)
        lower3Act := false


if(lower4Act == false)
    if(close < lower4)
        strategy.entry("long", strategy.long, shares)
        lower4Act := true
else
    if(low > basis)
        lower4Act := false


if(lower5Act == false)
    if(close < lower5)
        strategy.entry("long", strategy.long, shares)
        lower5Act := true
else
    if(low > basis)
        lower5Act := false





if(upperAct == false)
    if(close > upper)
        strategy.entry("short", strategy.short, shares)
        upperAct := true
else
    if(high < basis)
        upperAct := false


if(upper2Act == false)
    if(close > upper2)
        strategy.entry("short", strategy.short, shares)
        upper2Act := true
else
    if(high < basis)
        upper2Act := false


if(upper3Act == false)
    if(close > upper3)
        strategy.entry("short", strategy.short, shares)
        upper3Act := true
else
    if(high < basis)
        upper3Act := false


if(upper4Act == false)
    if(close > upper4)
        strategy.entry("short", strategy.short, shares)
        upper4Act := true
else
    if(high < basis)
        upper4Act := false


if(upper5Act == false)
    if(close > upper5)
        strategy.entry("short", strategy.short, shares)
        upper5Act := true
else
    if(high < basis)
        upper5Act := false


if((ta.crossover(close, basis) and basis_exit == true))
    strategy.close("short")
    strategy.close("long")

---

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---

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