交易时段VWMA动态价位上下穿透策略

/*backtest
start: 2024-02-29 00:00:00
end: 2025-02-26 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("SVWMA Lx", overlay=true, initial_capital=100000, 
     default_qty_type=strategy.percent_of_equity, default_qty_value=10, pyramiding=10, calc_on_every_tick=true)

//──────────────────────────────
// Session VWMA Inputs
//──────────────────────────────
vwmaLen   = input.int(55, title="VWMA Length", inline="VWMA", group="Session VWMA")
vwmaColor = input.color(color.orange, title="VWMA Color", inline="VWMA", group="Session VWMA", tooltip="VWMA resets at the start of each session (at the opening of the day).")

//──────────────────────────────
// Session VWMA Calculation Function
//──────────────────────────────
day_vwma(_start, s, l) =>
    bs_nd = ta.barssince(_start)
    v_len = math.max(1, bs_nd < l ? bs_nd : l)
    ta.vwma(s, v_len)

//──────────────────────────────
// Determine Session Start
//──────────────────────────────
newSession = ta.change(time("D")) != 0

//──────────────────────────────
// Compute Session VWMA
//──────────────────────────────
vwmaValue = day_vwma(newSession, close, vwmaLen)
plot(vwmaValue, color=vwmaColor, title="Session VWMA")

//──────────────────────────────
// Define Signal Conditions (only on transition)
//──────────────────────────────
bullCond = low > vwmaValue      // Bullish: candle low above VWMA
bearCond = high < vwmaValue     // Bearish: candle high below VWMA

// Trigger signal only on the bar where the condition first becomes true
bullSignal = bullCond and not bullCond[1]
bearSignal = bearCond and not bearCond[1]

//──────────────────────────────
// **Exit Condition at 15:29 IST**
//──────────────────────────────
sessionEnd = hour == 15 and minute == 29

// Exit all positions at 15:29 IST
if sessionEnd
    strategy.close_all(comment="Closing all positions at session end")

//──────────────────────────────
// **Trade Control Logic** (Prevents consecutive same-side signals)
//──────────────────────────────
var bool lastTradeWasBuy = false  // Track last trade direction **Reset Direction At Session End**
var bool lastTradeWasSell = false // Track last trade direction **Reset Direction At Session End**
// Reset at new session
if newSession
    lastTradeWasBuy := true
    lastTradeWasSell := true

//──────────────────────────────
// **Position Management: Entry & Labels**
//──────────────────────────────
if bullSignal and not lastTradeWasBuy  //
    if strategy.position_size < 0
        strategy.close("Short", comment="Exit Short on Bull Signal")
        strategy.entry("Long", strategy.long, comment="Enter Long: Buy Call & Sell Put at ATM")
    else
        strategy.entry("Long", strategy.long, comment="Add Long: Buy Call & Sell Put at ATM")

    // Add BUY Label above entry candle
    label.new(x=bar_index, y=low - ta.atr(5) * 0.5, text="BUY", color=color.green, textcolor=color.white, size=size.small,  style=label.style_label_up, xloc=xloc.bar_index)

    lastTradeWasBuy := true  // Mark that the last trade was a Buy

if bearSignal and lastTradeWasBuy  //
    if strategy.position_size < 0
        strategy.close("Long", comment="Exit Long on Bear Signal")
        strategy.entry("Short", strategy.short, comment="Enter Short: Buy Put & Sell Call at ATM")
    else
        strategy.entry("Short", strategy.short, comment="Add Short: Buy Put & Sell Call at ATM")

    // Add SELL Label below candle 
    label.new(x=bar_index, y=high + ta.atr(5) * 0.5,  text="SELL", color=color.red, textcolor=color.white, size=size.small, style=label.style_label_down, xloc=xloc.bar_index)

    lastTradeWasBuy := false  // Mark that the last trade was a Sell

//──────────────────────────────
// **Updated Alert Conditions**
//──────────────────────────────
alertcondition(bullSignal and not lastTradeWasBuy, 
     title="Long Entry Alert", 
     message="Bullish signal: BUY CALL & SELL PUT at ATM. Entry allowed.")

alertcondition(bearSignal and lastTradeWasBuy, 
     title="Short Entry Alert", 
     message="Bearish signal: BUY PUT & SELL CALL at ATM. Entry allowed.")

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