多维度自适应趋势追踪与风险管理策略

/*backtest
start: 2025-01-26 00:00:00
end: 2025-02-24 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Optimized Target Trend Strategy v2", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// Inputs
length = input.int(10, "Trend Length")
useTrendFilter = input.bool(true, "Use Trend Filter")
cooldownBars = input.int(15, "Cooldown Between Trades") // Increased cooldown to prevent overtrading

// Fixed Risk Management
fixedSL = 50 // 60 pips/ticks stop loss
fixedTP = 100 // 100 pips/ticks take profit
breakEvenTrigger = 50 // Move stop to break even after 50 pips/ticks in profit

// ATR Calculation for Dynamic Stop Buffer
atrMultiplier = 1.2
atr_value = ta.atr(14) * atrMultiplier

// Moving Averages for Trend Filter
ema50 = ta.ema(close, 50)
ema200 = ta.ema(close, 200)
strongTrendFilter = useTrendFilter ? (close > ema50 and ema50 > ema200) : true
weakTrendFilter = useTrendFilter ? (close < ema50 and ema50 < ema200) : true

// Time Filter - Trading Only Between 2 AM to 2 PM New York Time
timeAllowed = (hour >= 2 and hour < 14)

// Cooldown Logic (Prevents Overtrading)
var float lastTradeBar = na
canTrade = na(lastTradeBar) or (bar_index - lastTradeBar) > cooldownBars

// Entry Conditions with Stronger Filtering
longCondition = ta.crossover(close, ta.sma(high, length) + atr_value) and strongTrendFilter and timeAllowed and canTrade
shortCondition = ta.crossunder(close, ta.sma(low, length) - atr_value) and weakTrendFilter and timeAllowed and canTrade

// Convert Pips to Price Movement
pipSize = syminfo.mintick
SL_Price = fixedSL * pipSize
TP_Price = fixedTP * pipSize
BE_Price = breakEvenTrigger * pipSize

if (longCondition)
    strategy.entry("Long", strategy.long)
    lastTradeBar := bar_index
    strategy.exit("Take Profit", from_entry="Long", limit=close + TP_Price, stop=close - SL_Price - atr_value)

if (shortCondition)
    strategy.entry("Short", strategy.short)
    lastTradeBar := bar_index
    strategy.exit("Take Profit", from_entry="Short", limit=close - TP_Price, stop=close + SL_Price + atr_value)

// Move Stop Loss to Break Even After 50 Pips Profit
longBreakEven = close + BE_Price
shortBreakEven = close - BE_Price

if (strategy.position_size > 0 and high >= longBreakEven)
    strategy.exit("Break Even Long", from_entry="Long", stop=close + 2 * pipSize) // Small buffer to avoid premature stop-out

if (strategy.position_size < 0 and low <= shortBreakEven)
    strategy.exit("Break Even Short", from_entry="Short", stop=close - 2 * pipSize)

// Plot Trend Filter
plot(useTrendFilter ? ema50 : na, color=color.blue, title="EMA 50")
plot(useTrendFilter ? ema200 : na, color=color.red, title="EMA 200")

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