市场结构突破与成交量峰值、RSI多重指标交叉策略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-04-02 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/

//@version=5
strategy("SMC Structure Break with Volume Spike + RSI Confluence", overlay=true, initial_capital=100000, currency=currency.USD)

// ===== INPUTS =====
swing_len   = input.int(5, "Swing Lookback Length", minval=2)
vol_len     = input.int(20, "Volume MA Length", minval=1)
vol_mult    = input.float(2.0, "Volume Spike Multiplier", minval=1.0)
holdBars    = input.int(3, "Bars to Hold Trade", minval=1)
rsi_length  = input.int(14, "RSI Length", minval=1)

// ===== CALCULATIONS =====
// Calculate average volume and volume spike condition
vol_avg   = ta.sma(volume, vol_len)
vol_spike = volume > vol_avg * vol_mult

// Calculate RSI value
rsi_val = ta.rsi(close, rsi_length)

// Detect swing highs and swing lows using pivot functions
pivot_high = ta.pivothigh(high, swing_len, swing_len)
pivot_low  = ta.pivotlow(low, swing_len, swing_len)

// Use persistent variables to store the last confirmed swing high and swing low
var float last_swing_high = na
var float last_swing_low  = na

if not na(pivot_high)
    last_swing_high := pivot_high
if not na(pivot_low)
    last_swing_low := pivot_low

// ===== ENTRY CONDITIONS =====
// Long entry: structure break above last swing low, volume spike, and RSI below 50
long_condition = not na(last_swing_low) and (close > last_swing_low) and (close[1] <= last_swing_low) and vol_spike and (rsi_val < 50)
// Short entry: structure break below last swing high, volume spike, and RSI above 50
short_condition = not na(last_swing_high) and (close < last_swing_high) and (close[1] >= last_swing_high) and vol_spike and (rsi_val > 50)

// Persistent variable to store the bar index when a trade is entered
var int entryBar = na

// Reset entryBar when flat
if strategy.position_size == 0
    entryBar := na

// Execute trades only when no position is held
if strategy.position_size == 0
    if long_condition
        strategy.entry("Long", strategy.long)
        entryBar := bar_index
    if short_condition
        strategy.entry("Short", strategy.short)
        entryBar := bar_index

// ===== EXIT LOGIC =====
// Exit the trade after the specified number of bars (holdBars) since entry.
if strategy.position_size != 0 and not na(entryBar)
    if (bar_index - entryBar) >= holdBars
        strategy.close_all("Hold Time Reached")
        entryBar := na

// ===== PLOTS =====
plot(last_swing_high, color=color.red, title="Last Swing High")
plot(last_swing_low, color=color.green, title="Last Swing Low")
plot(vol_avg, title="Volume MA", color=color.purple)
plot(rsi_val, title="RSI", color=color.blue)
plotshape(long_condition, title="Long Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="Long")
plotshape(short_condition, title="Short Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="Short")

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