双周期波动率调整突破交易系统与动态仓位管理及金字塔加仓策略

/*backtest
start: 2024-08-10 00:00:00
end: 2025-05-01 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","au2505",360008]]
*/


//策略声明和基础设置
strategy("海龟交易系统(完整版)", overlay=true, pyramiding=5)

//风险控制参数
riskPercent = input.float(0.5, title="每笔交易风险占资金百分比", minval=0.1, maxval=5.0, step=0.1)
pointValue = input.float(1000.0, title="点值(元/点)")

//入场周期参数
entryPeriod1 = input.int(20, title="系统1入场周期")
entryPeriod2 = input.int(55, title="系统2入场周期(亏损后)")

//出场和波动性参数
exitPeriod = input.int(10, title="出场周期")
nPeriod = input.int(20, title="N周期(ATR)")
pyramidSpacing = input.float(0.5, title="每N x ...添加单位", step=0.1)

//波动性指标计算
N = ta.atr(nPeriod)  //计算ATR作为市场波动性的量化标准

//系统1入场通道计算(20周期)
entryHigh1 = ta.highest(high, entryPeriod1)  //计算20周期内最高价作为做多突破位
entryLow1 = ta.lowest(low, entryPeriod1)     //计算20周期内最低价作为做空突破位

//系统2入场通道计算(55周期)
entryHigh2 = ta.highest(high, entryPeriod2)  //计算55周期内最高价作为保守做多突破位
entryLow2 = ta.lowest(low, entryPeriod2)     //计算55周期内最低价作为保守做空突破位

//出场通道计算(10周期)
exitLong = ta.lowest(low, exitPeriod)        //计算10周期内最低价作为多头出场位
exitShort = ta.highest(high, exitPeriod)     //计算10周期内最高价作为空头出场位

//交易状态跟踪变量
var bool lastLongLoss = false        //记录上次多头交易是否亏损
var bool lastShortLoss = false       //记录上次空头交易是否亏损
var float lastLongEntryPrice = na    //记录上次多头入场价格
var float lastShortEntryPrice = na   //记录上次空头入场价格

//账户权益和风险计算
equity = strategy.equity                     //获取当前账户总权益
riskDollars = equity * (riskPercent / 100)   //计算每笔交易允许的风险金额
unitSize = riskDollars / (N * pointValue)    //基于ATR计算标准头寸规模
positionSize = math.floor(unitSize)          //设定最终头寸大小

//入场信号生成逻辑
useSystem1Long = close > entryHigh1[1]                    //系统1多头入场条件
useSystem2Long = lastLongLoss and close > entryHigh2[1]   //系统2多头入场条件(仅在上次亏损后)
useSystem1Short = close < entryLow1[1]                    //系统1空头入场条件
useSystem2Short = lastShortLoss and close < entryLow2[1]  //系统2空头入场条件(仅在上次亏损后)

//金字塔加仓条件
canAddLong = strategy.opentrades > 0 and strategy.position_size > 0 and close >= lastLongEntryPrice + (pyramidSpacing * N)
//多头加仓条件
canAddShort = strategy.opentrades > 0 and strategy.position_size < 0 and close <= lastShortEntryPrice - (pyramidSpacing * N)
//空头加仓条件

//出场信号生成
longExit = close < exitLong   //多头出场条件
shortExit = close > exitShort //空头出场条件

//多头入场执行
if (useSystem1Long or useSystem2Long)
    strategy.entry("多头", strategy.long, qty=positionSize)  //执行多头开仓
    lastLongEntryPrice := close                              //记录多头入场价格作为加仓基准
    lastLongLoss := false                                    //重置多头亏损状态

//空头入场执行
if (useSystem1Short or useSystem2Short)
    strategy.entry("空头", strategy.short, qty=positionSize) //执行空头开仓
    lastShortEntryPrice := close                             //记录空头入场价格作为加仓基准
    lastShortLoss := false                                   //重置空头亏损状态

//多头加仓执行
if (canAddLong)
    strategy.entry("多头加仓", strategy.long, qty=positionSize) //执行多头加仓
    lastLongEntryPrice := close                               //更新多头入场价格基准

//空头加仓执行
if (canAddShort)
    strategy.entry("空头加仓", strategy.short, qty=positionSize) //执行空头加仓
    lastShortEntryPrice := close                              //更新空头入场价格基准

//多头出场执行
if (longExit)
    strategy.close("多头")        //平掉初始多头头寸
    strategy.close("多头加仓")    //平掉所有多头加仓头寸
    lastLongLoss := close < lastLongEntryPrice  //根据出场价格更新亏损状态

//空头出场执行
if (shortExit)
    strategy.close("空头")        //平掉初始空头头寸
    strategy.close("空头加仓")    //平掉所有空头加仓头寸
    lastShortLoss := close > lastShortEntryPrice  //根据出场价格更新亏损状态

//系统1入场信号可视化
plot(entryHigh1, title="20周期高点", color=color.green)        //绘制系统1多头入场线
plot(entryLow1, title="20周期低点", color=color.red)          //绘制系统1空头入场线

//系统2入场信号可视化
plot(entryHigh2, title="55周期高点", color=color.lime, linewidth=1)    //绘制系统2多头入场线
plot(entryLow2, title="55周期低点", color=color.maroon, linewidth=1)   //绘制系统2空头入场线

//出场信号可视化
plot(exitLong, title="10周期低点(多头出场)", color=color.orange)  //绘制多头出场信号线
plot(exitShort, title="10周期高点(空头出场)", color=color.blue)   //绘制空头出场信号线