三分钟突破量化策略：多周期结合RSI动能突破交易系统

/*backtest
start: 2025-03-20 00:00:00
end: 2025-03-25 00:00:00
period: 10m
basePeriod: 10m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © adamkiil79
//@version=5
//@version=5
strategy("3min Breakout Strategy", overlay=true)

// Fetch 3-minute timeframe data
close_3min = request.security(syminfo.tickerid, "3", close)
high_3min = request.security(syminfo.tickerid, "3", high)
low_3min = request.security(syminfo.tickerid, "3", low)
open_3min = request.security(syminfo.tickerid, "3", open)

// Calculate 60-period EMA on 3-minute data
ema60_3min = ta.ema(close_3min, 60)

// Detect peaks on 3-minute data
aboveEMA_3min = close_3min > ema60_3min
peakConfirmed_3min = aboveEMA_3min[2] and high_3min[2] > high_3min[3] and high_3min[2] > high_3min[4] and high_3min[2] > high_3min[1] and high_3min[2] > high_3min[0]

// Persistent variables for peak and dip levels
var float peak_level_3min = na
var float dip_level_3min = na
var bool in_dip_sequence_3min = false
var int down_candle_count_3min = 0

// Peak detection logic
if peakConfirmed_3min
    peak_level_3min := high_3min[2]
    in_dip_sequence_3min := false
    down_candle_count_3min := 0

// Dip detection logic
else if close_3min <= ema60_3min and not na(peak_level_3min)
    if not in_dip_sequence_3min
        in_dip_sequence_3min := true
        down_candle_count_3min := close_3min < open_3min ? 1 : 0
    else
        if close_3min < open_3min
            down_candle_count_3min := down_candle_count_3min + 1
        else
            down_candle_count_3min := 0
        if down_candle_count_3min >= 3
            dip_level_3min := ta.lowest(low_3min, down_candle_count_3min)
else
    in_dip_sequence_3min := false

// 1-minute indicators for entry confirmation
ema180 = ta.ema(close, 180)  // Roughly aligns with 60-period EMA on 3-min
rsi = ta.rsi(close, 14)
rsi_signal = ta.ema(rsi, 9)

// Entry condition: Break above peak with bullish signals
entry_condition = close > open and close > peak_level_3min and ema180 > ema180[1] and rsi > rsi_signal and rsi > rsi[1]

// Enter trades only when levels are defined
if not na(peak_level_3min) and not na(dip_level_3min) and entry_condition
    strategy.entry("Buy", strategy.long, stop=dip_level_3min)

// Exit condition: Price falls below dip level
if strategy.position_size > 0 and close < dip_level_3min
    strategy.close("Buy")

// Plot EMA for reference
plot(ema180, color=color.orange, linewidth=2, title="180 EMA")

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