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MACD-ATR-EMA 多重指标动态趋势跟踪策略

Author: ChaoZhang, Date: 2024-09-26 14:43:19
Tags: MACDATREMASMA

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/*backtest
start: 2024-08-26 00:00:00
end: 2024-09-25 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("[ROOT] MACD, ATR, & EMA Strategy", overlay = true)

// Input parameters
macd_fast_length = input.int(12, title="MACD Fast Length")
macd_slow_length = input.int(26, title="MACD Slow Length")
macd_length = input.int(9, title="MACD Signal Length")
atr_length = input.int(14, title="ATR Length")
slow_ema_length = input.int(200, title="Slow EMA Length")
fast_ema_length = input.int(50, title="Fast EMA Length")
risk_per_trade = input.float(100, title="Risk % of Total Balance per Trade", minval=0.1, maxval=100, step=0.1)
swing_lookback = input.int(10, title="Swing High/Low Lookback Period", minval=1, maxval=50, step=1)
stop_loss_type = input.string("Swing Low/High", title="Stop Loss Type", options=["Swing Low/High", "ATR-Based"])
stop_loss_buffer = input.float(0.5, title="ATR Multiplier for Stop Loss", minval=0.1, step=0.1)
min_atr_threshold = input.float(0.1, title="Minimum ATR Threshold", minval=0.01, step=0.01)

// Calculate MACD
MACD = ta.ema(close, macd_fast_length) - ta.ema(close, macd_slow_length)
signal = ta.ema(MACD, macd_length)
macd_histogram = MACD - signal

// Calculate EMAs
slow_ema = ta.ema(close, slow_ema_length)
fast_ema = ta.ema(close, fast_ema_length)

// Plot EMAs
plot(slow_ema, color=color.white, linewidth=3, title="200 EMA")
plot(fast_ema, color=color.gray, linewidth=2, title="50 EMA")

// Calculate ATR for dynamic stop-loss
atr_value = ta.atr(atr_length)

// Determine recent swing high and swing low
recent_swing_high = ta.highest(high, swing_lookback)
recent_swing_low = ta.lowest(low, swing_lookback)

// Determine dynamic stop-loss levels based on user input
var float long_stop_loss = na
var float short_stop_loss = na

if (stop_loss_type == "Swing Low/High") 
    // Stop Loss based on recent swing low/high with a buffer
    long_stop_loss := recent_swing_low - (stop_loss_buffer * atr_value)
    short_stop_loss := recent_swing_high + (stop_loss_buffer * atr_value)
else if (stop_loss_type == "ATR-Based")
    // Stop Loss based purely on ATR
    long_stop_loss := close - (stop_loss_buffer * atr_value)
    short_stop_loss := close + (stop_loss_buffer * atr_value)

// Calculate position size based on percentage of total balance
capital_to_use = strategy.equity * (risk_per_trade / 100)
position_size = capital_to_use / close

// ATR Filter: Only trade when ATR is above the minimum threshold
atr_filter = atr_value > min_atr_threshold

// Buy and Sell Conditions with ATR Filter
long_condition = atr_filter and ta.crossover(MACD, signal) and close > slow_ema and close > fast_ema and MACD < 0 and signal < 0
short_condition = atr_filter and ta.crossunder(MACD, signal) and close < slow_ema and close < fast_ema and MACD > 0 and signal > 0

// Check if no open trades exist
no_open_trades = (strategy.opentrades == 0)

// Execute Buy Orders (only on bar close and if no trades are open)
if (long_condition and barstate.isconfirmed and no_open_trades)
    strategy.entry("Long", strategy.long, qty=position_size, stop=long_stop_loss)
    label.new(bar_index, low, "Buy", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.small)

// Execute Sell Orders (only on bar close and if no trades are open)
if (short_condition and barstate.isconfirmed and no_open_trades)
    strategy.entry("Short", strategy.short, qty=position_size, stop=short_stop_loss)
    label.new(bar_index, high, "Sell", color=color.red, style=label.style_label_down, textcolor=color.white, size=size.small)

// Exit Conditions for Long and Short Positions (only on bar close)
long_exit_condition = close < fast_ema
short_exit_condition = close > fast_ema

if (long_exit_condition and barstate.isconfirmed)
    strategy.close("Long")

if (short_exit_condition and barstate.isconfirmed)
    strategy.close("Short")

// Alert Conditions (only on bar close)
alertcondition(long_condition and barstate.isconfirmed, title="Buy Alert", message="Buy Signal")
alertcondition(short_condition and barstate.isconfirmed, title="Sell Alert", message="Sell Signal")

// Exit Signal Alerts
alertcondition(long_exit_condition and barstate.isconfirmed, title="Long Exit Alert", message="Exit Long Signal")
alertcondition(short_exit_condition and barstate.isconfirmed, title="Short Exit Alert", message="Exit Short Signal")

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