指数移动平均交叉智能定投链式止损跟踪系统

/*backtest
start: 2025-05-01 00:00:00
end: 2025-07-15 00:00:00
period: 1h
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*/

//@version=5
strategy(
     title="DCA + Dual Trailing Strategy", // Updated Title
     overlay=true 
     )

//趋势识别参数
fastMALen = input.int(9, title="Fast EMA Length")//快速均线长度
slowMALen = input.int(21, title="Slow EMA Length")//慢速均线长度

//风险控制参数
trailStopPerc   = input.float(8.0, title="Standard Trailing Stop (%)", minval=0.1) / 100//标准跟踪止损百分比
lockInThreshold = input.float(2.5, title="Profit Lock-In Trigger (%)", minval=0.1) / 100//利润锁定触发阈值
lockInTrailPct  = input.float(1.5, title="Lock-In Trail (%) after Trigger", minval=0.1) / 100//触发后的锁定跟踪百分比

//资金管理参数
useATRSpacing     = input.bool(true, title="Use ATR-Based Spacing?")//是否使用ATR间距
atrLength         = input.int(14, title="ATR Length", minval=1)//ATR长度
atrSo1Multiplier  = input.float(1.2, title="ATR SO1 Multiplier", minval=0.1)//ATR SO1乘数
atrSo2Multiplier  = input.float(2.5, title="ATR SO2 Multiplier", minval=0.1)//ATR SO2乘数
fallbackSo1Perc = input.float(4.0, title="Fallback SO1 Drop (%) ", minval=0.1) / 100//备用SO1下跌百分比
fallbackSo2Perc = input.float(8.0, title="Fallback SO2 Drop (%) ", minval=0.1) / 100//备用SO2下跌百分比
basePoint = input.float(10000.0, title="Base Order Size (价格点数)", minval=1.0)//基础订单规模(价格点数)
so1Point  = input.float(12500.0, title="Safety Order 1 Size (价格点数)", minval=1.0)//安全订单1规模(价格点数)
so2Point  = input.float(17500.0, title="Safety Order 2 Size (价格点数)", minval=1.0)//安全订单2规模(价格点数)

//冷却期参数
cooldownBars = input.int(4, "Cooldown Bars After Base Entry", minval=0)//基础入场后的冷却周期数

fastMA    = ta.ema(close, fastMALen)//快速EMA
slowMA    = ta.ema(close, slowMALen)//慢速EMA
trendUp   = ta.crossover(fastMA, slowMA)//趋势向上信号(快线上穿慢线)
trendDown = ta.crossunder(fastMA, slowMA)//趋势向下信号(快线下穿慢线)
atrValue = ta.atr(atrLength)//ATR值

baseBuySignal = trendUp//基础买入信号为快线上穿慢线
var int   lastBuyBar     = na//跟踪最后一次基础入场的柱状索引
inCooldown = not na(lastBuyBar) and (bar_index - lastBuyBar < cooldownBars)//是否在冷却期内
var float baseEntryPrice = na//存储初始基础入场价格，用于SO计算
float so1TriggerPrice = na
float so2TriggerPrice = na
if strategy.position_size > 0//只有在已有基础订单的情况下才计算
    so1TriggerPrice := useATRSpacing ? 
         (baseEntryPrice - atrValue * atrSo1Multiplier) : 
         (baseEntryPrice * (1 - fallbackSo1Perc))
    so2TriggerPrice := useATRSpacing ? 
         (baseEntryPrice - atrValue * atrSo2Multiplier) : 
         (baseEntryPrice * (1 - fallbackSo2Perc))
bool so1Condition = strategy.position_size > 0 and close <= so1TriggerPrice and strategy.opentrades == 1
bool so2Condition = strategy.position_size > 0 and close <= so2TriggerPrice and strategy.opentrades == 2
if baseBuySignal and strategy.position_size == 0 and not inCooldown
    baseQty = basePoint / close//根据投资点数计算数量
    strategy.order("Base Order", strategy.long, qty=baseQty, comment="Base Entry")
    baseEntryPrice := close
    lastBuyBar     := bar_index
if so1Condition
    so1Qty = so1Point / close//根据投资点数计算数量
    strategy.order("Safety Order 1", strategy.long, qty=so1Qty, comment="SO1")
if so2Condition
    so2Qty = so2Point / close//根据投资点数计算数量
    strategy.order("Safety Order 2", strategy.long, qty=so2Qty, comment="SO2")

avgEntryPrice = strategy.position_avg_price
var float highestSinceEntry = na//入场后的最高价
var float trailStopPrice    = na//跟踪止损价格
var bool  stopHitNormal     = false//标准止损是否触发
var bool  lockInTriggered = false//利润锁定是否触发
var float lockInPeak      = na//锁定后的峰值
var float lockInStopPrice = na//锁定止损价格
var bool  stopHitLockIn   = false//锁定止损是否触发
if strategy.position_size > 0
    highestSinceEntry := na(highestSinceEntry) ? close : math.max(highestSinceEntry, close)
    trailStopPrice    := highestSinceEntry * (1 - trailStopPerc)
    stopHitNormal     := close < trailStopPrice
    if not lockInTriggered and close >= avgEntryPrice * (1 + lockInThreshold)
        lockInTriggered := true
        lockInPeak      := close
    if lockInTriggered
        lockInPeak      := math.max(lockInPeak, close)
        lockInStopPrice := lockInPeak * (1 - lockInTrailPct)
        stopHitLockIn   := close < lockInStopPrice
    else
        stopHitLockIn   := false
        lockInStopPrice := na
else
    highestSinceEntry := na
    trailStopPrice    := na
    stopHitNormal     := false
    lockInTriggered   := false
    lockInPeak        := na
    lockInStopPrice   := na
    stopHitLockIn     := false
exitCondition = (stopHitNormal or stopHitLockIn or trendDown) and strategy.position_size > 0
if exitCondition
    strategy.close_all(comment="Exit: SL / LockIn / TrendDown")

plot(fastMA, color=color.new(color.green, 0), title="Fast EMA", linewidth=2)//绘制快速EMA
plot(slowMA, color=color.new(color.red, 0), title="Slow EMA", linewidth=2)//绘制慢速EMA
plot(strategy.position_size > 0 ? trailStopPrice : na, color=color.new(color.orange, 0), 
     title="Standard Trailing Stop", style=plot.style_linebr, linewidth=2)//绘制标准跟踪止损线
plot(lockInTriggered ? lockInStopPrice : na, color=color.new(color.fuchsia, 0), 
     title="Lock-In Trailing Stop", style=plot.style_linebr, linewidth=2)//绘制锁定跟踪止损线