/*backtest
start: 2025-01-01 00:00:00
end: 2025-07-09 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES","balance":50000}]
args: [["ContractType","rb2509",360008]]
*/

//@version=5
strategy("RAHA Strategy - Short (Futures Optimized)", overlay=true)

// === 商品期货参数设置 ===
contract_multiplier = 10  // 合约乘数，螺纹钢一般是10吨/手
margin_rate = 0.07        // 保证金比例 7%
risk_per_trade = 0.01     // 每笔交易风险比例 1%
min_contract_size = 1     // 最小交易单位（手）

// === RAHA Weighted Average Function ===
raha_weighted(src, len, sensitivity) =>
    mean = ta.sma(src, len)
    dev = ta.stdev(src, len)
    sumWeighted = 0.0
    sumWeights = 0.0
    for i = 0 to len - 1
        val = nz(src[i])
        weight = 1 / (1 + sensitivity * math.abs(val - mean) / dev)
        sumWeighted += val * weight
        sumWeights += weight
    sumWeights > 0 ? sumWeighted / sumWeights : na

// === RAHA Calculations ===
sensitivity = 1.5
raha5 = raha_weighted(close, 5, sensitivity)
raha10 = raha_weighted(close, 10, sensitivity)
raha20 = raha_weighted(close, 20, sensitivity)
raha40 = raha_weighted(close, 40, sensitivity)

// === Upper Bollinger Band on RAHA 20 ===
bbDev = ta.stdev(raha20, 20)
bbUpper = raha20 + 2.0 * bbDev

// === Short Entry Conditions ===
raha40SlopeDown = raha40 < raha40[1]
crossoverDownRAHA = ta.crossunder(raha10, raha20) or raha10 < raha20
raha5SlopeDown = raha5 < raha5[1]
bearishOutsideBollinger = high > bbUpper and low > bbUpper and close < open

// === Position Management Variables ===
var float entryHigh = na
var float entryPrice = na
var float stop = na
var float tp = na
var int redCount = 0
var int lastEntryBar = na

// === 期货仓位计算函数 ===
calc_futures_position(entry_price, stop_price, account_balance) =>
    // 计算每手保证金需求
    margin_per_contract = entry_price * contract_multiplier * margin_rate
    
    // 计算止损金额（每手）
    stop_loss_per_contract = math.abs(stop_price - entry_price) * contract_multiplier
    
    // 基于风险管理计算理想手数
    risk_amount = account_balance * risk_per_trade
    ideal_contracts = math.floor(risk_amount / stop_loss_per_contract)

    // 基于保证金计算最大可开手数
    max_affordable_contracts = math.floor(account_balance / margin_per_contract)
    
    // 取两者较小值，确保不少于最小交易单位
    final_contracts = math.max(min_contract_size, math.min(ideal_contracts, max_affordable_contracts))
    
    final_contracts

// === Enter Only When No Open Trade ===
canEnter = strategy.position_size == 0 and ((raha40SlopeDown and crossoverDownRAHA and raha5SlopeDown) or bearishOutsideBollinger)
canEnterFiltered = canEnter and (na(lastEntryBar) or strategy.opentrades == 0 or bar_index > lastEntryBar)

// === Enter Position ===
if canEnterFiltered
    entryHigh := high
    entryPrice := close
    stop := entryHigh
    
    if stop > entryPrice
        // 计算目标价格（风险收益比 1:3）
        tp := entryPrice - 3 * (stop - entryPrice)
        current_balance = strategy.equity// 获取当前账户余额
        contracts_qty = calc_futures_position(entryPrice, stop, current_balance)// 计算期货合约手数
        // 检查仓位合理性
        if contracts_qty > 0 and contracts_qty <= 1000  // 设置最大手数限制
            strategy.entry("RAHA Short", strategy.short, qty=contracts_qty, comment="Short " + str.tostring(contracts_qty) + " lots")
            redCount := 0
            lastEntryBar := bar_index

// === Manage Open Position ===
if strategy.position_size < 0
    redCount := close < open ? redCount + 1 : 0
    if redCount >= 3
        stop := high[1]
        redCount := 0

// === Exit Conditions ===
exit1 = close > raha10 and open < raha10
exit2 = ta.crossover(raha10, raha20)
exit3 = close > stop

// === Exit Logic ===
if strategy.position_size < 0
    if low <= tp and (exit1 or exit2)
        strategy.close("RAHA Short", comment="Target Hit + Signal")
    else if exit3
        strategy.close("RAHA Short", comment="Stop Loss")

// === Plot Entry and Exit Arrows ===
inPosition = strategy.position_size < 0
exitCondition = inPosition and ((low <= tp and (exit1 or exit2)) or exit3)

plotshape(canEnterFiltered, title="Short Entry", location=location.abovebar, style=shape.labeldown, text="Short", color=color.red, textcolor=color.white, size=size.small)
plotshape(exitCondition, title="Close Position", location=location.belowbar, style=shape.labelup, text="Close", color=color.green, textcolor=color.white, size=size.small)