波动率差异标准差均线交叉量化策略

/*backtest
start: 2024-08-20 09:00:00
end: 2025-08-19 15:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","rb888",360008]]
*/

strategy("VoVix DEVMA Clean", shorttitle="VoVix", overlay=false)

//VoVix DEVMA配置参数：设置偏差移动平均线的核心参数
group_devma = "VoVix DEVMA Configuration"
devLen = input.int(59, "Deviation Lookback", minval=15, maxval=60, group=group_devma);//偏差回看周期
fastVoVixLen = input.int(20, "Fast VoVix Length", minval=10, maxval=50, group=group_devma);//快速VoVix周期
slowVoVixLen = input.int(60, "Slow VoVix Length", minval=30, maxval=100, group=group_devma);//慢速VoVix周期

//自适应智能模块：控制策略的自适应功能开关
group_adaptive = "Adaptive Intelligence"
ENABLE_ADAPTIVE = input.bool(true, "Enable Adaptive Features", group=group_adaptive);//启用自适应功能
ADAPTIVE_TIME_EXIT = input.bool(true, "Adaptive Time-Based Exit", group=group_adaptive);//自适应时间退出

//智能执行模块：配置交易执行的核心参数
group_execution = "Intelligent Execution"
tradeQty = input.int(10, "Trade Quantity", minval=1, maxval=100, group=group_execution);//交易数量
USE_SMART_STOPS = input.bool(true, "Smart Stop Loss", group=group_execution);//智能止损开关
ATR_SL_MULTIPLIER = input.float(2.0, "Stop Loss ATR Multiplier", minval=0.5, maxval=5.0, step=0.1, group=group_execution);//止损ATR倍数
ATR_TP_MULTIPLIER = input.float(3.0, "Take Profit ATR Multiplier", minval=1.0, maxval=10.0, step=0.1, group=group_execution);//止盈ATR倍数
USE_TRAILING_STOP = input.bool(true, "Use Trailing Stop", group=group_execution);//移动止损开关
TRAIL_POINTS_MULT = input.float(0.5, "Trail Points ATR Multiplier", minval=0.5, maxval=5.0, step=0.1, group=group_execution);//移动止损点位倍数
TRAIL_OFFSET_MULT = input.float(0.5, "Trail Offset ATR Multiplier", minval=0.1, maxval=2.0, step=0.1, group=group_execution);//移动止损偏移倍数
max_bars_in_trade = input.int(18, "Maximum Bars in Trade", group=group_execution, minval=1, maxval=100);//最大持仓K线数

//自适应变量系统：跟踪和优化交易表现的核心变量
var array<float> trade_returns = array.new_float(30);//存储最近30笔交易收益率
var array<int> trade_durations = array.new_int(20);//存储最近20笔盈利交易持续时间
var int total_trades = 0;//总交易次数计数器
var float win_rate = 0.5;//胜率初始值
var int avg_winning_duration = 20;//平均盈利交易持续时间
var float adaptive_time_exit_mult = 1.0;//自适应时间退出倍数

//计算平均真实波幅：用于动态调整止损止盈距离
atr_value = ta.atr(14);//14周期ATR值

//核心DEVMA计算：VoVix策略的核心指标计算逻辑
//VoVix源数据计算：结合快慢ATR差值和标准差的归一化指标
vovix_source = (ta.atr(fastVoVixLen) - ta.atr(slowVoVixLen)) / (ta.stdev(ta.atr(fastVoVixLen), devLen) + 1e-6);//防除零保护
dev = ta.stdev(vovix_source, devLen);//VoVix源数据的标准差
fastDEVMA = ta.sma(dev, fastVoVixLen);//快速偏差移动平均线
slowDEVMA = ta.sma(dev, slowVoVixLen);//慢速偏差移动平均线

//信号逻辑：基于DEVMA交叉产生交易信号
devma_diff = fastDEVMA - slowDEVMA;//快慢线差值
bullCross = ta.crossover(fastDEVMA, slowDEVMA) and devma_diff > 0;//多头交叉信号
bearCross = ta.crossunder(fastDEVMA, slowDEVMA) and math.abs(devma_diff) > 0;//空头交叉信号

//信号强度计算：评估交易信号的质量等级
signal_strength = math.abs(devma_diff) / dev * 100;//信号强度百分比
//信号质量分级：根据强度划分为四个等级
signal_quality = signal_strength > 5.0 ? "ELITE" : signal_strength > 3.0 ? "STRONG" : signal_strength > 1.0 ? "GOOD" : "WEAK"

//执行逻辑：控制交易的开仓和平仓时机
can_enter_new_trade = strategy.position_size == 0;//检查是否可以开启新交易

//应用自适应时间退出逻辑：根据胜率动态调整最大持仓时间
adaptive_max_bars = max_bars_in_trade;//初始化自适应最大K线数
if ENABLE_ADAPTIVE and ADAPTIVE_TIME_EXIT
    if win_rate > 0.85
        //高胜率时延长持仓时间
        adaptive_max_bars := math.round(max_bars_in_trade * adaptive_time_exit_mult * 1.5)
    else if win_rate > 0.75
        //中高胜率时适度延长
        adaptive_max_bars := math.round(max_bars_in_trade * adaptive_time_exit_mult * 1.25)
    else
        //正常胜率时保持标准时间
        adaptive_max_bars := math.round(max_bars_in_trade * adaptive_time_exit_mult)

//自适应记忆系统：学习和优化交易表现
if strategy.closedtrades > strategy.closedtrades[1] and barstate.isconfirmed
    //获取最后一笔交易的盈亏信息
    last_trade_pnl = strategy.closedtrades.profit(strategy.closedtrades - 1);//最后交易盈亏
    last_trade_return = last_trade_pnl / strategy.initial_capital;//最后交易收益率
    //最后交易持续K线数
    last_trade_bars = strategy.closedtrades.exit_bar_index(strategy.closedtrades - 1) - strategy.closedtrades.entry_bar_index(strategy.closedtrades - 1)
    
    //跟踪表现数据：维护交易收益率数组
    array.unshift(trade_returns, last_trade_return);//添加新收益率到数组头部
    if array.size(trade_returns) > 30
        array.pop(trade_returns);//保持数组大小不超过30
    
    //跟踪盈利交易的持续时间
    if last_trade_pnl > 0
        array.unshift(trade_durations, last_trade_bars);//记录盈利交易时长
        if array.size(trade_durations) > 20
            array.pop(trade_durations);//保持数组大小不超过20
    
    total_trades += 1;//增加总交易计数
    
    //更新胜率：基于最近交易记录计算当前胜率
    if array.size(trade_returns) >= 10
        wins = 0//盈利交易计数器
        for i = 0 to array.size(trade_returns) - 1
            if array.get(trade_returns, i) > 0
                wins += 1//统计盈利交易数量
        win_rate := wins / array.size(trade_returns);//计算胜率

//自适应参数调整：每3笔交易后优化策略参数
if ENABLE_ADAPTIVE and array.size(trade_returns) >= 5 and total_trades % 3 == 0
    if array.size(trade_durations) > 5
        duration_sum = 0//持续时间总和
        //计算最近10笔盈利交易的平均持续时间
        for i = 0 to math.min(array.size(trade_durations) - 1, 9)
            duration_sum += array.get(trade_durations, i)
        avg_winning_duration := math.round(duration_sum / math.min(array.size(trade_durations), 10))

    //调整自适应时间退出倍数
    if ADAPTIVE_TIME_EXIT and avg_winning_duration > 0
        adaptive_time_exit_mult := math.max(0.5, math.min(2.0, avg_winning_duration / max_bars_in_trade));//限制在0.5-2.0倍之间

//交易入场逻辑：统一的交易执行函数
//入场函数：减少代码重复，统一处理多空交易
f_enter_trade(isLong, entryName, exitName, comment) =>
    stop_distance = atr_value * ATR_SL_MULTIPLIER;//止损距离
    profit_distance = atr_value * ATR_TP_MULTIPLIER;//止盈距离
    
    //计算止损价格：多头向下，空头向上
    stop_loss = USE_SMART_STOPS ? (isLong ? close - stop_distance : close + stop_distance) : na
    take_profit = isLong ? close + profit_distance : close - profit_distance;//止盈价格
    
    //执行入场订单
    strategy.entry(entryName, isLong ? strategy.long : strategy.short, qty=tradeQty, comment=comment)
    
    //设置出场条件：支持固定止损或移动止损
    if USE_TRAILING_STOP
        trail_points = atr_value * TRAIL_POINTS_MULT;//移动止损触发点位
        trail_offset = atr_value * TRAIL_OFFSET_MULT;//移动止损偏移量
        strategy.exit(exitName, entryName, stop=stop_loss, limit=take_profit, trail_points=trail_points, trail_offset=trail_offset)
    else
        strategy.exit(exitName, entryName, stop=stop_loss, limit=take_profit)//固定止损止盈

//多头入场：快线上穿慢线且无持仓时开多
if bullCross and can_enter_new_trade and barstate.isconfirmed
    f_enter_trade(true, "ExpansionLong", "ExitExpLong", "Expansion→LONG")

//空头入场：快线下穿慢线且无持仓时开空
if bearCross and can_enter_new_trade and barstate.isconfirmed
    f_enter_trade(false, "ContractionShort", "ExitConShort", "Contraction→SHORT")

//基于时间的强制平仓：防止过度持仓
if strategy.position_size != 0
    //计算当前持仓的K线数量
    bars_in_trade = bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1)
    if bars_in_trade >= adaptive_max_bars and barstate.isconfirmed
        strategy.close_all(comment="Time Exit " + str.tostring(bars_in_trade) + "b")//时间退出

//基础绘图：显示策略核心指标线
//快速DEVMA线：绿色上升，红色下降
plot(fastDEVMA, "FastDEVMA", color=fastDEVMA > fastDEVMA[1] ? color.green : color.maroon, linewidth=2)
//慢速DEVMA线：青色上升，橙色下降
plot(slowDEVMA, "SlowDEVMA", color=slowDEVMA > slowDEVMA[1] ? color.aqua : color.orange, linewidth=2)
plot(dev, "StdDev", color=color.new(color.purple, 60), linewidth=1);//标准差线，紫色半透明

//交易提醒：发送信号质量提醒
if bullCross
    alert("VoVix EXPANSION: " + signal_quality, alert.freq_once_per_bar)//扩张信号提醒
if bearCross
    alert("VoVix CONTRACTION: " + signal_quality, alert.freq_once_per_bar)//收缩信号提醒