ianzeng123
策略源码
/*backtest
start: 2025-06-01 00:00:00
end: 2026-02-11 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","ag888",360008]]
*/
//@version=5
strategy("BULL Whale Finder",
overlay=true,
pyramiding=4)
// =====================================================
// INPUTS (SOLO 1)
// =====================================================
float MLPT_USD = input.float(1000, "MLPT USD", minval=1, step=1)
// =====================================================
// HARD CODED (NO TOCAR)
// =====================================================
// SL (ATR)
int atrLen = 14
float atrMult = 2.7
// Pay-Self
bool usePaySelf = true
float payTriggerPct = 2.0 / 100.0
float payLockPct = 0.15 / 100.0
// MA200 Filter
bool useMA200Filter = true
bool useMA200Slope = true
int ma200Len = 200
int ma200SlopeLen = 20
// MA200 HTF
bool useMA200HTF = true
string ma200HTF_tf = "240" // 4H
// VS Params
int vsLen = 21
int vsOut = 2
float vsMult = 2.3
float vsMinPct = 0.7 / 100.0
float vsClosePct = 35.0 / 100.0
// TP
bool tpFromVS3 = false
float tp1Pct = 33.0
float tp2Pct = 50.0
// Visual
bool showSL = true
bool showShade = true
bool showEntryDot = true
color cSL = color.new(color.green, 0)
color cShade = color.new(color.green, 85)
color cVSentry = color.lime
color cVStp = color.orange
// Proximidad MA1/MA2 (tal cual tus valores)
bool useMA1Filter = true // exigir close > MA20
bool useEntryNearMA2 = true // VS#1 cerca MA200 desde LOW
float entryNearMA2Pct = 6.0 / 100.0 // 6%
bool useEntryNearMA1 = false // desactivado (tu screenshot)
float entryNearMA1Pct = 6.0 / 100.0 // queda fijo aunque no se use
bool useMA1MA2Near = true // MA20 y MA200 cerca
float ma1ma2NearPct = 6.0 / 100.0 // 6%
// =====================================================
// MA200 / MA20
// =====================================================
ma200 = ta.sma(close, ma200Len)
ma1 = ta.sma(close, 20)
ma200Slope = ma200 - ma200[ma200SlopeLen]
ma200SlopeOK = (not useMA200Slope) or (not na(ma200Slope) and ma200Slope > 0)
ma200FilterOK = (not useMA200Filter) or (close > ma200 and ma200SlopeOK)
// HTF MA200
ma200HTF = request.security(syminfo.tickerid, ma200HTF_tf, ta.sma(close, ma200Len))
ma200HTFFilterOK = (not useMA200HTF) or (not na(ma200HTF) and close > ma200HTF)
// Proximidad (medido desde LOW)
ma1FilterOK = (not useMA1Filter) or (close > ma1)
distLowMA2 = (not na(ma200) and low > 0) ? math.abs(low - ma200) / low : na
entryNearMA2OK = (not useEntryNearMA2) or (not na(distLowMA2) and distLowMA2 <= entryNearMA2Pct)
distLowMA1 = (not na(ma1) and low > 0) ? math.abs(low - ma1) / low : na
entryNearMA1OK = (not useEntryNearMA1) or (not na(distLowMA1) and distLowMA1 <= entryNearMA1Pct)
distMA1MA2 = (not na(ma1) and not na(ma200) and ma1 != 0) ? math.abs(ma1 - ma200) / ma1 : na
ma1ma2NearOK = (not useMA1MA2Near) or (not na(distMA1MA2) and distMA1MA2 <= ma1ma2NearPct)
// =====================================================
// VS DETECTION — LONG
// =====================================================
rng = high - low
f_avg_no_out(_len, _k) =>
float result = na
if bar_index >= _len
arr = array.new_float(0)
for i = 0 to _len - 1
array.push(arr, high[i] - low[i])
array.sort(arr, order.ascending)
n = array.size(arr)
kk = math.min(_k, math.floor((n - 1) / 2))
start = kk
stop = n - kk - 1
sum = 0.0
count = 0
if stop >= start
for j = start to stop
sum += array.get(arr, j)
count += 1
result := count > 0 ? sum / count : na
result
avgRng = f_avg_no_out(vsLen, vsOut)
okRange = not na(avgRng) and rng >= avgRng * vsMult
okMinPct = rng >= close * vsMinPct
strongBull = rng > 0 and (high - close) / rng <= vsClosePct
isVS = okRange and okMinPct and strongBull
// =====================================================
// VARS
// =====================================================
var float slPrice = na
var float entryPx = na
var float initQty = na
var float mfePct = 0.0
var bool payArmed = false
var int vsCount = 0
var float vs2Low = na
var bool tp1 = false
var bool tp2 = false
// RESET
if strategy.position_size == 0
slPrice := na
entryPx := na
initQty := na
mfePct := 0.0
payArmed := false
vsCount := 0
vs2Low := na
tp1 := false
tp2 := false
// =====================================================
// ENTRY (VS #1) + SL inicial ATR
// =====================================================
enterCond = barstate.isconfirmed and isVS and ma200FilterOK and ma200HTFFilterOK and ma1FilterOK and entryNearMA2OK and entryNearMA1OK and ma1ma2NearOK and strategy.position_size == 0
f_qty_mlpt_long(_entry, _sl) =>
risk = _entry - _sl
qRaw = (risk > 0) ? (MLPT_USD / risk) : 0.0
atr = ta.atr(atrLen)
if enterCond
slInit = close - atr * atrMult
qtyRisk = f_qty_mlpt_long(close, slInit)
if qtyRisk > 0
strategy.entry("L", strategy.long, qty=qtyRisk)
entryPx := close
initQty := qtyRisk
slPrice := slInit
vsCount := 1
// =====================================================
// PAY-SELF (MFE % -> SL piso a profit fijo, sin cerrar size)
// =====================================================
if usePaySelf and strategy.position_size > 0 and not na(entryPx) and entryPx > 0
curMfePct = math.max(0.0, (high - entryPx) / entryPx)
mfePct := math.max(mfePct, curMfePct)
if not payArmed and mfePct >= payTriggerPct
payArmed := true
if payArmed and payLockPct > 0 and not na(initQty) and initQty > 0
paySL = entryPx * (1.0 + payLockPct)
slPrice := na(slPrice) ? paySL : math.max(slPrice, paySL)
// =====================================================
// VS SEQUENCE
// =====================================================
if barstate.isconfirmed and strategy.position_size > 0 and isVS
vsCount += 1
slTrail = low - syminfo.pointvalue
slPrice := na(slPrice) ? slTrail : math.max(slPrice, slTrail)
if vsCount == 2
vs2Low := low - syminfo.pointvalue
addQty = f_qty_mlpt_long(close, slPrice)
if addQty > 0
strategy.entry("L", strategy.long, qty=addQty)
if vsCount == 3
slPrice := math.max(slPrice, entryPx)
if not na(vs2Low)
slPrice := math.max(slPrice, vs2Low)
int tp1VS = tpFromVS3 ? 3 : 4
int tp2VS = tpFromVS3 ? 4 : 5
if vsCount == tp1VS and not tp1
strategy.close("L", qty_percent=tp1Pct)
tp1 := true
if vsCount == tp2VS and not tp2
strategy.close("L", qty_percent=tp2Pct)
tp2 := true
// =====================================================
// EXIT (SL EVENT)
// =====================================================
if strategy.position_size > 0 and not na(slPrice)
strategy.exit("XL", from_entry="L", stop=slPrice)
// =====================================================
// BAR COLORS (VS entrada vs VS de TP)
// =====================================================
int tp1VS_now = tpFromVS3 ? 3 : 4
int tp2VS_now = tpFromVS3 ? 4 : 5
isTPvs = strategy.position_size > 0 and isVS and (vsCount == tp1VS_now or vsCount == tp2VS_now)
// =====================================================
// SL PLOT + SHADE
// =====================================================
plot(ma200, "MA200", color=color.red, linewidth=2)
plot(ma1, "MA20", color=color.blue, linewidth=2)
plotshape(showEntryDot and enterCond, title="Entry Dot", style=shape.circle, size=size.tiny, location=location.belowbar, color=color.new(color.green, 0))
barcolor(isTPvs ? cVStp : (isVS ? cVSentry : na))
pSL = plot(showSL ? slPrice : na, "SL", color=cSL, linewidth=2, style=plot.style_linebr)
pPx = plot(showShade and strategy.position_size > 0 ? close : na, "PX (fill)", color=color.new(color.white, 100), display=display.none)
fill(pSL, pPx, color=(showShade and strategy.position_size > 0 ? cShade : na))