布林带精准风险优化策略

/*backtest
start: 2024-03-03 00:00:00
end: 2024-05-17 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Bollinger Precision Strategy", overlay=true, initial_capital=10000, currency=currency.USD, default_qty_type=strategy.percent_of_equity, default_qty_value=2)

// === Input Settings ===
// Bollinger Bands settings
bb_length = input.int(20, title="BB Length", minval=1)
bb_mult   = input.float(2.0, title="BB Multiplier", step=0.1)

// RSI settings (used as an additional filter)
rsiPeriod  = input.int(14, title="RSI Period")
oversold   = input.int(30, title="RSI Oversold Level")
overbought = input.int(70, title="RSI Overbought Level")

// === Risk Management Inputs ===
enable_stop_loss   = input.bool(true, title="Enable Stop-Loss")
enable_take_profit = input.bool(true, title="Enable Take-Profit")
stop_loss_percent  = input.float(4.0, title="Stop-Loss (%)", step=0.1)
take_profit_percent = input.float(8.0, title="Take-Profit (%)", step=0.1)

// === Bollinger Bands Calculations ===
basis = ta.sma(close, bb_length)
dev   = bb_mult * ta.stdev(close, bb_length)
upper = basis + dev
lower = basis - dev

// Plot Bollinger Bands
plot(basis, color=color.blue, title="Basis")
plot(upper, color=color.red, title="Upper Band")
plot(lower, color=color.green, title="Lower Band")

// === RSI Calculation ===
rsiValue = ta.rsi(close, rsiPeriod)

// === Entry Conditions ===
buySignal  = ta.crossover(close, lower) and (rsiValue < oversold)
sellSignal = ta.crossunder(close, upper) and (rsiValue > overbought)

// Variable to store the entry price
var float entry_price = na

// === Trading Logic with Copied Risk–Reward Function ===
if buySignal
    entry_price := close
    strategy.entry("Long", strategy.long)
    strategy.close("Short")
    
    // Risk–Reward Management for Long Trades
    sl_long = enable_stop_loss ? entry_price * (1 - stop_loss_percent / 100) : na
    tp_long = enable_take_profit ? entry_price * (1 + take_profit_percent / 100) : na
    strategy.exit("Exit Long", from_entry="Long", stop=sl_long, limit=tp_long)
    
    // If both SL and TP are disabled, close the Long position on signal
    if not enable_stop_loss and not enable_take_profit
        strategy.close("Long")

if sellSignal
    entry_price := close
    strategy.entry("Short", strategy.short)
    strategy.close("Long")
    
    // Risk–Reward Management for Short Trades
    sl_short = enable_stop_loss ? entry_price * (1 + stop_loss_percent / 100) : na
    tp_short = enable_take_profit ? entry_price * (1 - take_profit_percent / 100) : na
    strategy.exit("Exit Short", from_entry="Short", stop=sl_short, limit=tp_short)
    
    // If both SL and TP are disabled, close the Short position on signal
    if not enable_stop_loss and not enable_take_profit
        strategy.close("Short")

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