双时间周期超级趋势与RSI策略优化系统

/*backtest
start: 2024-10-01 00:00:00
end: 2024-10-31 23:59:59
period: 1h
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/
// © felipemiransan

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

// Function for Supertrend
supertrend(_factor, _atrPeriod) =>
    [out, _] = ta.supertrend(_factor, _atrPeriod)
    out

// Supertrend Settings
factor = input.float(3.42, title="Supertrend Factor")
atrPeriod = input.int(14, title="ATR Period")
tf2 = input.timeframe("120", title="Supertrend Timeframe")

// RSI Settings
rsi_tf = input.timeframe("15", title="RSI Timeframe")
rsiLength = input.int(5, title="RSI Length")
rsiUpper = input.int(95, title="RSI Upper Limit")  
rsiLower = input.int(5, title="RSI Lower Limit")   

// RSI Timeframe
rsi_tf_value = request.security(syminfo.tickerid, rsi_tf, ta.rsi(close, rsiLength), lookahead=barmerge.lookahead_off, gaps=barmerge.gaps_off)

// Supertrend Timeframe
supertrend_tf2 = request.security(syminfo.tickerid, tf2, supertrend(factor, atrPeriod), lookahead=barmerge.lookahead_off, gaps=barmerge.gaps_off)

// Take Profit Settings (Percentage in relation to the average price)
takeProfitPercent = input.float(30, title="Take Profit", step=0.1) / 100

// Entry conditions based on price crossover with Supertrend Timeframe
longCondition = ta.crossover(close, supertrend_tf2) and barstate.isconfirmed
shortCondition = ta.crossunder(close, supertrend_tf2) and barstate.isconfirmed

// Execution of reversal orders with closing of previous position
if (longCondition)
    // Close a short position before opening a long position
    if (strategy.position_size < 0)
        strategy.close("Short", comment="Close Short for Long Entry")
    strategy.entry("Long", strategy.long)

if (shortCondition)
    // Close long position before opening short position
    if (strategy.position_size > 0)
        strategy.close("Long", comment="Close Long for Short Entry")
    strategy.entry("Short", strategy.short)

// Calculate take profit levels relative to the average entry price
if (strategy.position_size > 0)
    takeProfitLong = strategy.position_avg_price * (1 + takeProfitPercent)
    strategy.exit("Take Profit Long", "Long", limit=takeProfitLong)

if (strategy.position_size > 0 and (rsi_tf_value >= rsiUpper))
    strategy.close("Long", comment="RSI Take Profit Long")

if (strategy.position_size < 0)
    takeProfitShort = strategy.position_avg_price * (1 - takeProfitPercent)
    strategy.exit("Take Profit Short", "Short", limit=takeProfitShort)

if (strategy.position_size < 0 and (rsi_tf_value <= rsiLower))
    strategy.close("Short", comment="RSI Take Profit Short")

// Plot Supertrend timeframe with commit check to avoid repainting
plot(barstate.isconfirmed ? supertrend_tf2 : na, color=color.blue, title="Supertrend Timeframe (120 min)", linewidth=1)

// Plot RSI for visualization
plot(rsi_tf_value, "RSI", color=color.purple)
hline(rsiUpper, "RSI Upper", color=color.red)
hline(rsiLower, "RSI Lower", color=color.green)

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