260 lines
12 KiB
Plaintext
260 lines
12 KiB
Plaintext
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
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// © 三重滤网均线交易策略
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//@version=6
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strategy("三重滤网均线交易策略", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10, initial_capital=100000)
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// ==================== 参数设置 ====================
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// 均线参数
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ema156_length = input.int(156, "大趋势均线周期 (EMA156)", minval=1, group="均线设置")
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ema52_length = input.int(52, "小趋势均线周期 (EMA52)", minval=1, group="均线设置")
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// MACD参数
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macd_fast = input.int(12, "MACD快线周期", minval=1, group="MACD设置")
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macd_slow = input.int(26, "MACD慢线周期", minval=1, group="MACD设置")
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macd_signal = input.int(9, "MACD信号线周期", minval=1, group="MACD设置")
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// 策略参数
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confirm_bars = input.int(3, "金叉/死叉后确认K线数", minval=1, maxval=10, group="策略设置")
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breakout_bars = input.int(10, "突破EMA52确认K线数", minval=1, maxval=20, group="策略设置")
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risk_reward_ratio = input.float(2.0, "盈亏比", minval=1.0, maxval=5.0, step=0.5, group="策略设置")
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// 显示设置
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show_ema156 = input.bool(true, "显示EMA156", group="显示设置")
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show_ema52 = input.bool(true, "显示EMA52", group="显示设置")
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show_signals = input.bool(true, "显示信号标记", group="显示设置")
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// ==================== 计算均线 ====================
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ema156 = ta.ema(close, ema156_length)
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ema52 = ta.ema(close, ema52_length)
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// ==================== 计算MACD ====================
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[macd_line, signal_line, hist] = ta.macd(close, macd_fast, macd_slow, macd_signal)
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// MACD金叉和死叉
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macd_golden_cross = ta.crossover(macd_line, signal_line)
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macd_death_cross = ta.crossunder(macd_line, signal_line)
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// ==================== 趋势判断 ====================
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// 大趋势：价格相对于EMA156的位置
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big_trend_bullish = close > ema156 // 大级别多头趋势
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big_trend_bearish = close < ema156 // 大级别空头趋势
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// 小趋势：价格相对于EMA52的位置
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small_trend_bullish = close > ema52 // 小级别多头趋势
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small_trend_bearish = close < ema52 // 小级别空头趋势
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// ==================== 金叉/死叉后趋势确认 ====================
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// 记录最近的金叉/死叉位置
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var int bars_since_golden = na
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var int bars_since_death = na
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var float golden_cross_price = na
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var float death_cross_price = na
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if macd_golden_cross
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bars_since_golden := 0
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golden_cross_price := close
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else if not na(bars_since_golden)
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bars_since_golden := bars_since_golden + 1
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if macd_death_cross
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bars_since_death := 0
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death_cross_price := close
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else if not na(bars_since_death)
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bars_since_death := bars_since_death + 1
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// 检查金叉后confirm_bars根K线是否持续上涨（收盘价逐步走高或维持）
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golden_cross_confirmed = false
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if not na(bars_since_golden) and bars_since_golden >= confirm_bars and bars_since_golden <= confirm_bars + 5
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// 检查金叉后的K线是否按上涨趋势运行
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trend_up_after_golden = true
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for i = 1 to confirm_bars
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if close[bars_since_golden - i] < golden_cross_price
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trend_up_after_golden := false
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break
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golden_cross_confirmed := trend_up_after_golden
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// 检查死叉后confirm_bars根K线是否持续下跌
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death_cross_confirmed = false
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if not na(bars_since_death) and bars_since_death >= confirm_bars and bars_since_death <= confirm_bars + 5
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trend_down_after_death = true
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for i = 1 to confirm_bars
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if close[bars_since_death - i] > death_cross_price
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trend_down_after_death := false
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break
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death_cross_confirmed := trend_down_after_death
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// ==================== 价格站稳EMA52确认 ====================
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// 检查价格是否在近期突破并站稳EMA52
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price_above_ema52_stable = true
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for i = 0 to math.min(breakout_bars - 1, bar_index)
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if close[i] < ema52[i]
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price_above_ema52_stable := false
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break
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price_below_ema52_stable = true
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for i = 0 to math.min(breakout_bars - 1, bar_index)
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if close[i] > ema52[i]
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price_below_ema52_stable := false
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break
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// 检测EMA52突破
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ema52_breakout_up = ta.crossover(close, ema52)
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ema52_breakout_down = ta.crossunder(close, ema52)
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// 近期是否有EMA52突破
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recent_ema52_breakout_up = false
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recent_ema52_breakout_down = false
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for i = 0 to breakout_bars - 1
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if ema52_breakout_up[i]
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recent_ema52_breakout_up := true
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if ema52_breakout_down[i]
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recent_ema52_breakout_down := true
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// ==================== 计算回调低点/高点作为止损 ====================
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// 寻找最近的回调低点（用于多头止损）
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var float swing_low = na
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lookback_period = 20
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swing_low := ta.lowest(low, lookback_period)
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// 寻找最近的回调高点（用于空头止损）
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var float swing_high = na
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swing_high := ta.highest(high, lookback_period)
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// ==================== 入场条件 ====================
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// 多头入场条件：
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// 1. 大级别为多头趋势（价格在EMA156上方）
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// 2. 小级别刚从空头转多头（价格突破EMA52）
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// 3. MACD金叉已确认（金叉后K线继续上涨）
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// 4. 价格站稳EMA52
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long_condition = big_trend_bullish and
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small_trend_bullish and
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(golden_cross_confirmed or (not na(bars_since_golden) and bars_since_golden <= breakout_bars)) and
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(recent_ema52_breakout_up or price_above_ema52_stable) and
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macd_line > signal_line
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// 空头入场条件（反向操作）：
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// 1. 大级别为空头趋势（价格在EMA156下方）
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// 2. 小级别刚从多头转空头（价格跌破EMA52）
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// 3. MACD死叉已确认
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// 4. 价格站稳EMA52下方
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short_condition = big_trend_bearish and
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small_trend_bearish and
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(death_cross_confirmed or (not na(bars_since_death) and bars_since_death <= breakout_bars)) and
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(recent_ema52_breakout_down or price_below_ema52_stable) and
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macd_line < signal_line
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// ==================== 计算止损止盈 ====================
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// 多头止损止盈
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long_stop_loss = swing_low
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long_risk = close - long_stop_loss
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long_take_profit = close + long_risk * risk_reward_ratio
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// 空头止损止盈
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short_stop_loss = swing_high
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short_risk = short_stop_loss - close
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short_take_profit = close - short_risk * risk_reward_ratio
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// ==================== 执行交易 ====================
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// 避免重复开仓
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var bool in_long_position = false
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var bool in_short_position = false
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// 更新持仓状态
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if strategy.position_size > 0
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in_long_position := true
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in_short_position := false
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else if strategy.position_size < 0
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in_long_position := false
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in_short_position := true
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else
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in_long_position := false
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in_short_position := false
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// 多头入场
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if long_condition and not in_long_position and long_risk > 0
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strategy.entry("多头", strategy.long)
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strategy.exit("多头止盈止损", "多头", stop=long_stop_loss, limit=long_take_profit)
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// 空头入场
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if short_condition and not in_short_position and short_risk > 0
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strategy.entry("空头", strategy.short)
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strategy.exit("空头止盈止损", "空头", stop=short_stop_loss, limit=short_take_profit)
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// ==================== 绘制均线 ====================
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plot(show_ema156 ? ema156 : na, "EMA156 大趋势", color=color.new(color.orange, 0), linewidth=2)
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plot(show_ema52 ? ema52 : na, "EMA52 小趋势", color=color.new(color.blue, 0), linewidth=1)
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// ==================== 绘制趋势背景 ====================
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// 大趋势背景色
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bg_color = big_trend_bullish ? color.new(color.green, 93) : big_trend_bearish ? color.new(color.red, 93) : na
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bgcolor(bg_color, title="大趋势背景")
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// ==================== 绘制信号标记 ====================
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// 多头信号
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plotshape(show_signals and long_condition and not in_long_position[1] ? low : na,
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title="多头信号", style=shape.triangleup, location=location.belowbar,
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color=color.new(color.green, 0), size=size.small, text="买入")
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// 空头信号
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plotshape(show_signals and short_condition and not in_short_position[1] ? high : na,
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title="空头信号", style=shape.triangledown, location=location.abovebar,
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color=color.new(color.red, 0), size=size.small, text="卖出")
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// MACD金叉标记
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plotshape(show_signals and macd_golden_cross ? low : na,
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title="MACD金叉", style=shape.circle, location=location.belowbar,
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color=color.new(color.lime, 0), size=size.tiny)
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// MACD死叉标记
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plotshape(show_signals and macd_death_cross ? high : na,
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title="MACD死叉", style=shape.circle, location=location.abovebar,
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color=color.new(color.fuchsia, 0), size=size.tiny)
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// ==================== 绘制止损止盈线 ====================
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plot(strategy.position_size > 0 ? long_stop_loss : na, "多头止损", color=color.red, style=plot.style_linebr, linewidth=1)
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plot(strategy.position_size > 0 ? long_take_profit : na, "多头止盈", color=color.green, style=plot.style_linebr, linewidth=1)
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plot(strategy.position_size < 0 ? short_stop_loss : na, "空头止损", color=color.red, style=plot.style_linebr, linewidth=1)
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plot(strategy.position_size < 0 ? short_take_profit : na, "空头止盈", color=color.green, style=plot.style_linebr, linewidth=1)
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// ==================== 信息面板 ====================
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var table info_panel = table.new(position.top_right, 2, 8, bgcolor=color.new(color.black, 80), border_width=1)
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if barstate.islast
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table.cell(info_panel, 0, 0, "指标", text_color=color.white, text_size=size.small)
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table.cell(info_panel, 1, 0, "状态", text_color=color.white, text_size=size.small)
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table.cell(info_panel, 0, 1, "大趋势(EMA156)", text_color=color.white, text_size=size.small)
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table.cell(info_panel, 1, 1, big_trend_bullish ? "📈 多头" : "📉 空头",
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text_color=big_trend_bullish ? color.lime : color.red, text_size=size.small)
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table.cell(info_panel, 0, 2, "小趋势(EMA52)", text_color=color.white, text_size=size.small)
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table.cell(info_panel, 1, 2, small_trend_bullish ? "📈 多头" : "📉 空头",
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text_color=small_trend_bullish ? color.lime : color.red, text_size=size.small)
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table.cell(info_panel, 0, 3, "MACD状态", text_color=color.white, text_size=size.small)
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table.cell(info_panel, 1, 3, macd_line > signal_line ? "金叉状态" : "死叉状态",
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text_color=macd_line > signal_line ? color.lime : color.red, text_size=size.small)
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table.cell(info_panel, 0, 4, "持仓状态", text_color=color.white, text_size=size.small)
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position_text = strategy.position_size > 0 ? "多头持仓" : strategy.position_size < 0 ? "空头持仓" : "空仓"
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position_color = strategy.position_size > 0 ? color.lime : strategy.position_size < 0 ? color.red : color.gray
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table.cell(info_panel, 1, 4, position_text, text_color=position_color, text_size=size.small)
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table.cell(info_panel, 0, 5, "EMA156", text_color=color.white, text_size=size.small)
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table.cell(info_panel, 1, 5, str.tostring(ema156, "#.##"), text_color=color.orange, text_size=size.small)
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table.cell(info_panel, 0, 6, "EMA52", text_color=color.white, text_size=size.small)
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table.cell(info_panel, 1, 6, str.tostring(ema52, "#.##"), text_color=color.blue, text_size=size.small)
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table.cell(info_panel, 0, 7, "盈亏比", text_color=color.white, text_size=size.small)
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table.cell(info_panel, 1, 7, "1:" + str.tostring(risk_reward_ratio, "#.#"), text_color=color.yellow, text_size=size.small)
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// ==================== 警报条件 ====================
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alertcondition(long_condition and not in_long_position[1], title="多头入场信号", message="三重滤网策略：多头入场信号触发！大趋势多头，小趋势回调完成，MACD金叉确认")
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alertcondition(short_condition and not in_short_position[1], title="空头入场信号", message="三重滤网策略：空头入场信号触发！大趋势空头，小趋势反弹完成，MACD死叉确认")
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alertcondition(macd_golden_cross, title="MACD金叉", message="MACD金叉出现")
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alertcondition(macd_death_cross, title="MACD死叉", message="MACD死叉出现")
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