量化交易VSA体积分析与MACD动量指标结合公平价值缺口策略

/*backtest
start: 2024-07-22 00:00:00
end: 2025-03-01 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("VSA+MACD+FVG Strategy", overlay=true)

// === Inputs ===
// MACD Inputs
fastLength = input.int(12, "MACD Fast Length", minval=1, group="MACD Settings")
slowLength = input.int(26, "MACD Slow Length", minval=1, group="MACD Settings")
signalLength = input.int(9, "MACD Signal Length", minval=1, group="MACD Settings")

// VSA Inputs
volumeLookback = input.int(20, "Volume SMA Period", minval=1, group="VSA Settings")
priceLookback = input.int(5, "Price Lookback Period", minval=1, group="VSA Settings")

// FVG Inputs
fvgLookback = input.int(3, "FVG Lookback", minval=1, group="FVG Settings")
fvgColor = input.color(color.blue, "FVG Color", group="FVG Settings")
fvgTransparency = input.int(90, "FVG Transparency", minval=0, maxval=100, group="FVG Settings")

// Signal Colors
buyColor = input.color(color.green, "Buy Signal Color", group="Display Settings")
sellColor = input.color(color.red, "Sell Signal Color", group="Display Settings")

// === MACD Calculation ===
[macdLine, signalLine, hist] = ta.macd(close, fastLength, slowLength, signalLength)
macdBullish = macdLine > signalLine and macdLine > 0
macdBearish = macdLine < signalLine and macdLine < 0

// === VSA Implementation ===
vsaBullish = close > open and volume > ta.sma(volume, volumeLookback) and close > ta.highest(high, priceLookback)[2]
vsaBearish = close < open and volume > ta.sma(volume, volumeLookback) and close < ta.lowest(low, priceLookback)[2]

// === FVG (Fair Value Gap) Detection ===
fvgUpCondition = low > high[fvgLookback] and close[1] > open[1]
fvgDownCondition = high < low[fvgLookback] and close[1] < open[1]

var float fvgTop = 0.0
var float fvgBottom = 0.0
var bool inFVG = false

// Detect and Store FVG
if fvgUpCondition
    fvgTop := low
    fvgBottom := high[fvgLookback]
    inFVG := true
else if fvgDownCondition
    fvgTop := low[fvgLookback]
    fvgBottom := high
    inFVG := true

// Check if price is in FVG
priceInFVG = (high >= fvgBottom and low <= fvgTop)

// === Position Tracking ===
isLongOpen = strategy.position_size > 0
isShortOpen = strategy.position_size < 0

// === Trading Conditions ===
buySignal = vsaBullish and macdBullish and priceInFVG and not isLongOpen
sellSignal = vsaBearish and macdBearish and priceInFVG and not isShortOpen

// === Execute Trades ===
if buySignal
    strategy.entry("Buy", strategy.long)

if sellSignal
    strategy.entry("Sell", strategy.short)

// === Visual Markers ===
if buySignal
    label.new(bar_index, low, "BUY", 
              color=buyColor, 
              textcolor=color.white, 
              style=label.style_label_up)

if sellSignal
    label.new(bar_index, high, "SELL", 
              color=sellColor, 
              textcolor=color.white, 
              style=label.style_label_down)

// === Plot MACD for reference ===
plot(macdLine, "MACD", color=color.blue, title="MACD Line")
plot(signalLine, "Signal", color=color.orange, title="Signal Line")
plot(hist, "Histogram", style=plot.style_histogram, color=color.gray, title="Histogram")

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