多指标联动SAR反转策略与过滤入场模型

/*backtest
start: 2024-03-28 00:00:00
end: 2025-01-18 00:00:00
period: 3h
basePeriod: 3h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("SAR Reversal Strategy with Filtered Entries & Opposite Exits", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// === Input Parameters ===
start = input(0.02, "SAR Start")
increment = input(0.02, "SAR Increment")
maximum = input(0.2, "SAR Maximum")

rsiPeriod = input(14, "RSI Period")
rsiOverbought = input(70, "RSI Overbought Level")
rsiOversold = input(30, "RSI Oversold Level")

stochLength = input(14, "Stoch RSI Length")
stochOverbought = input(80, "Stoch Overbought Level")
stochOversold = input(20, "Stoch Oversold Level")

lsmaLength = input(4, title="LSMA Length")  // LSMA period input
lsmaOffset = input(9, title="LSMA Offset")  // LSMA offset input

rsi = ta.rsi(close, rsiPeriod)

// === Stochastic RSI for Additional Confirmation ===
stochRsi = ta.stoch(rsi, rsi, rsi, stochLength)


// === Calculate Indicators ===
psar = ta.sar(start, increment, maximum)

[macdLine, signalLine, _] = ta.macd(close, 12, 26, 9)

// === LSMA Calculation ===
lsma = ta.linreg(close, lsmaLength, 0)  // Least Squares Moving Average (LSMA)

// === Shift LSMA by User-Defined Offset ===
lsmaOffsetted = lsma[lsmaOffset]

// === Detect SAR Reversals ===
sarReversalUp = ta.crossover(close, psar)  // SAR flips below price → long entry signal
sarReversalDown = ta.crossunder(close, psar)  // SAR flips above price → short entry signal

// === Only Allow SAR Reversals If RSI & MACD Are Favorable ===
validLong = sarReversalUp and rsi > rsiOversold and macdLine > signalLine and stochRsi > stochOversold and close > lsmaOffsetted
validShort = sarReversalDown and rsi < rsiOverbought and macdLine < signalLine and stochRsi < stochOverbought and close < lsmaOffsetted


// === Execute Trades Only at SAR Reversals ===
if validLong
    strategy.close("Short")  // Close any short position
    strategy.entry("Long", strategy.long)

if validShort
    strategy.close("Long")  // Close any long position
    strategy.entry("Short", strategy.short)

// === Plot Indicators ===
plot(psar, title="Parabolic SAR", style=plot.style_cross, color=color.orange, linewidth=2)
hline(rsiOverbought, "RSI Overbought", color=color.red)
hline(rsiOversold, "RSI Oversold", color=color.green)
plot(rsi, title="RSI", color=color.purple)
plot(macdLine, title="MACD Line", color=color.green)
plot(signalLine, title="Signal Line", color=color.red)
hline(stochOverbought,"stochRsi", color = color.yellow)
hline(stochOversold,"stochRsi", color = color.yellow)

// === Plot LSMA and Offset LSMA for Visualization ===
//...not in valid long/short check.... plot(lsma, title="LSMA", color=color.blue, linewidth=2)
plot(lsmaOffsetted, title="Offset LSMA", color=color.red, linewidth=2)
plot(stochRsi, title="stochRsi",color=color.yellow, linewidth=2)

// ✅ Floating Label for Stoch RSI (Top-Right of Chart)
var label stochLabel = na
label.delete(stochLabel)  // Delete previous label to prevent duplicates
// experiment to show label above value at top of chart (only showed last value at end) stochLabel := label.new( bar_index, ta.highest(high, 10),    text="Stoch RSI: " + str.tostring(stochRsi, "#.##"),     color=color.blue, textcolor=color.white, size=size.small, style=label.style_label_upper_right)

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