基于波动率突破和多重技术指标的混合交易策略-Hybrid-Trading-Strategy-Based-on-Volatility-Breakout-and-Multiple-Technical-Indicators

/*backtest
start: 2024-10-01 00:00:00
end: 2025-02-18 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Hybrid Money Making Trading Strategy", overlay=true)

// VWAP Calculation
cumulative_vp = ta.cum(volume * close)
cumulative_vol = ta.cum(volume)
vwap = cumulative_vp / cumulative_vol
plot(vwap, title="VWAP", color=color.blue)

// TWAP Calculation
twap = ta.sma((high + low + close) / 3, 14)
plot(twap, title="TWAP", color=color.orange)

// Volatility Breakout
atr = ta.atr(14)
bb_upper = ta.sma(close, 20) + 2 * ta.stdev(close, 20)
bb_lower = ta.sma(close, 20) - 2 * ta.stdev(close, 20)
volatility_breakout = close > bb_upper

// Pattern Recognition (Basic Example)
head_shoulders = ta.crossover(close, ta.sma(close, 50))
triangle_pattern = ta.crossover(ta.sma(close, 10), ta.sma(close, 50))
pattern_signal = head_shoulders or triangle_pattern

// Volume Confirmation (Require high volume for entry)
vol_avg = ta.sma(volume, 20)
high_volume = volume > 1.5 * vol_avg

// Buy/Sell Signal Conditions
buy_signal = volatility_breakout and pattern_signal and high_volume
sell_signal = not volatility_breakout and pattern_signal

// Track Latest Signal
var float last_signal_price = na
var string last_signal_type = ""
if buy_signal
    last_signal_price := close
    last_signal_type := "BUY"
if sell_signal
    last_signal_price := close
    last_signal_type := "SELL"

// Strategy Entry & Exit
if buy_signal
    strategy.entry("Long", strategy.long)
    strategy.exit("TakeProfit", from_entry="Long", stop=close - 1.5 * atr, limit=close + 2 * atr)
if sell_signal
    strategy.close("Long")