加权均线与逆费舍尔变换CCI动量过滤多策略系统

/*backtest
start: 2024-07-31 09:00:00
end: 2025-07-30 15:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES","balance":500000}]
*/

//@version=5
//策略初始化：设置策略名称和基本参数
strategy("Intelligent Entry Strategy", overlay=false)

//WMA移动平均线系统：用于判断市场趋势方向
wmaFast = ta.wma(close, 50);//快速WMA，50周期
wmaSlow = ta.wma(close, 200);//慢速WMA，200周期

//绘制WMA200线：根据快慢线关系显示不同颜色
plot(wmaSlow, title="WMA 200 (Magic Line)", color=wmaFast > wmaSlow ? color.green : color.red, 
    linewidth=2, overlay = true)

//WMA金叉信号：快线上穿慢线时显示绿色标签
if ta.crossover(wmaFast, wmaSlow)
    label.new(bar_index, low, style=label.style_label_up, color=color.green, size=size.small)

//WMA死叉信号：快线下穿慢线时显示红色标签
if ta.crossunder(wmaFast, wmaSlow)
    label.new(bar_index, high, style=label.style_label_down, color=color.red, size=size.small)

//IFT_CCI指标计算：反向费舍尔变换的商品通道指数
cciLength = input(5, "CCI Length");//CCI周期参数
wmaLength = input(9, "Smoothing Length");//WMA平滑周期参数
v11 = 0.1 * (ta.cci(close, cciLength) / 4);//CCI值标准化处理
v21 = ta.wma(v11, wmaLength);//对CCI值进行WMA平滑
iftCciRaw = (math.exp(2 * v21) - 1) / (math.exp(2 * v21) + 1);//反向费舍尔变换公式
iftCci = nz(iftCciRaw[1]);//获取前一根K线的IFT_CCI值，处理空值

//绘制IFT_CCI指标：显示在副图中
plot(iftCciRaw[1], title="IFT_CCI (Mind Reader)", color=color.fuchsia)
hline(0.5, color=color.red);//上临界线
hline(-0.5, color=color.green);//下临界线

//过滤条件设置：基于IFT_CCI值的多空过滤
iftFilterLong = iftCci >= 0.5;//做多过滤条件
iftFilterShort = iftCci <= -0.5;//做空过滤条件

//风险管理参数：设置止盈止损参数
profitPercent = input.float(3.0, title="Profit Trailing Start (%)", minval=0.1);//止盈开始百分比
pullbackPercent = input.float(1.0, title="Trailing Stop Pullback (%)", minval=0.1);//回撤止盈百分比
maxLossPercent = input.float(3.0, title="Maximum Loss Stop (%)", minval=0.1);//最大损失百分比

//状态变量定义：用于跟踪仓位和价格状态
var float entryPrice = na;//进场价格
var float highestPrice = na;//最高价记录
var float lowestPrice = na;//最低价记录
var string activePosition = "none";//当前持仓状态
var bool longReady = false;//多头准备状态
var bool shortReady = false;//空头准备状态

//K线确认状态：确保在K线收盘后执行操作
barClosed = barstate.isconfirmed

//交易信号定义：基于WMA交叉的买卖信号
longSignal = wmaFast > wmaSlow and wmaFast[1] <= wmaSlow[1];//多头信号：快线上穿慢线
shortSignal = wmaFast < wmaSlow and wmaFast[1] >= wmaSlow[1];//空头信号：快线下穿慢线

//多头进场逻辑：处理多头交易的进场条件
if (longSignal and not iftFilterLong and barClosed)
    longReady := true;//如果有多头信号但IFT_CCI条件未满足，设置多头准备状态

if (longSignal and iftFilterLong and barClosed)
    if (activePosition == "short")
        strategy.close("Short");//如果当前持有空头仓位，先平仓
    strategy.entry("Long", strategy.long);//开多头仓位
    entryPrice := close;//记录进场价格
    highestPrice := close;//初始化最高价
    activePosition := "long";//更新仓位状态
    longReady := false;//重置多头准备状态
    //显示多头进场标签
    label.new(bar_index, low, "Long Magic!", style=label.style_label_up, color=color.green, 
        textcolor=color.white, size=size.tiny)

//延迟多头进场：处理之前准备的多头信号
if (longReady and iftFilterLong and wmaFast > wmaSlow and barClosed)
    if (activePosition == "short")
        strategy.close("Short");//平掉空头仓位
    strategy.entry("Long", strategy.long);//开多头仓位
    entryPrice := close;//记录进场价格
    highestPrice := close;//初始化最高价
    activePosition := "long";//更新仓位状态
    longReady := false;//重置多头准备状态
    //显示延迟多头进场标签
    label.new(bar_index, low, "Pending Long Triggered!", style=label.style_label_up, 
        color=color.lime, textcolor=color.black, size=size.tiny)

//空头进场逻辑：处理空头交易的进场条件
if (shortSignal and not iftFilterShort and barClosed)
    shortReady := true;//如果有空头信号但IFT_CCI条件未满足，设置空头准备状态

if (shortSignal and iftFilterShort and barClosed)
    if (activePosition == "long")
        strategy.close("Long");//如果当前持有多头仓位，先平仓
    strategy.entry("Short", strategy.short);//开空头仓位
    entryPrice := close;//记录进场价格
    lowestPrice := close;//初始化最低价
    activePosition := "short";//更新仓位状态
    shortReady := false;//重置空头准备状态
    //显示空头进场标签
    label.new(bar_index, high, "Short Curse!", style=label.style_label_down, color=color.red, 
        textcolor=color.white, size=size.tiny)

//延迟空头进场：处理之前准备的空头信号
if (shortReady and iftFilterShort and wmaFast < wmaSlow and barClosed)
    if (activePosition == "long")
        strategy.close("Long");//平掉多头仓位
    strategy.entry("Short", strategy.short);//开空头仓位
    entryPrice := close;//记录进场价格
    lowestPrice := close;//初始化最低价
    activePosition := "short";//更新仓位状态
    shortReady := false;//重置空头准备状态
    //显示延迟空头进场标签
    label.new(bar_index, high, "Pending Short Triggered!", style=label.style_label_down, 
        color=color.orange, textcolor=color.black, size=size.tiny)

//准备状态重置：当趋势发生反转时重置准备状态
if (longReady and wmaFast < wmaSlow)
    longReady := false;//趋势转空时取消多头准备

if (shortReady and wmaFast > wmaSlow)
    shortReady := false;//趋势转多时取消空头准备

//多头出场逻辑：处理多头仓位的止盈止损
if (activePosition == "long")
    highestPrice := math.max(highestPrice, close);//更新持仓期间最高价
    profitRatio = (highestPrice - entryPrice) / entryPrice * 100;//计算盈利比例
    pullback = (highestPrice - close) / highestPrice * 100;//计算从最高点的回撤比例
    lossRatio = (entryPrice - close) / entryPrice * 100;//计算亏损比例
    
    //移动止盈条件：达到目标盈利且回撤超过设定值时平仓
    if (profitRatio >= profitPercent and pullback >= pullbackPercent)
        strategy.close("Long");//平多头仓位
        activePosition := "none";//重置仓位状态
        //显示止盈平仓标签
        label.new(bar_index, high, "Long Profit Take!", style=label.style_label_down, color=color.teal)
    
    //止损条件：亏损超过最大允许值时平仓
    if (profitRatio < profitPercent and lossRatio >= maxLossPercent)
        strategy.close("Long");//平多头仓位
        activePosition := "none";//重置仓位状态
        //显示止损平仓标签
        label.new(bar_index, high, "Long Stop Loss!", style=label.style_label_down, color=color.red)

//空头出场逻辑：处理空头仓位的止盈止损
if (activePosition == "short")
    lowestPrice := math.min(lowestPrice, close);//更新持仓期间最低价
    profitRatio = (entryPrice - lowestPrice) / entryPrice * 100;//计算盈利比例
    bounce = (close - lowestPrice) / lowestPrice * 100;//计算从最低点的反弹比例
    lossRatio = (close - entryPrice) / entryPrice * 100;//计算亏损比例
    
    //移动止盈条件：达到目标盈利且反弹超过设定值时平仓
    if (profitRatio >= profitPercent and bounce >= pullbackPercent)
        strategy.close("Short");//平空头仓位
        activePosition := "none";//重置仓位状态
        //显示止盈平仓标签
        label.new(bar_index, low, "Short Profit Take!", style=label.style_label_up, color=color.purple)
    
    //止损条件：亏损超过最大允许值时平仓
    if (profitRatio < profitPercent and lossRatio >= maxLossPercent)
        strategy.close("Short");//平空头仓位
        activePosition := "none";//重置仓位状态
        //显示止损平仓标签
        label.new(bar_index, low, "Short Stop Loss!", style=label.style_label_up, color=color.red)