多维趋势动量价值过滤交易策略-Multi-Dimensional-Trend-Momentum-Value-Filtering-Trading-Strategy

/*backtest
start: 2024-04-03 00:00:00
end: 2025-04-02 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/

//@version=5
strategy("BuySell Strategy OD", overlay=true)

// === INPUTS === //
rsiPeriod   = input.int(14, "RSI Period")
stochPeriod = input.int(14, "Stoch RSI Period")
adxPeriod   = input.int(14, "ADX Period")

// === INDICATORS === //

// RSI
rsi = ta.rsi(close, rsiPeriod)

// Stoch RSI
rsiMin = ta.lowest(rsi, stochPeriod)
rsiMax = ta.highest(rsi, stochPeriod)
stochRsi = rsiMax != rsiMin ? (rsi - rsiMin) / (rsiMax - rsiMin) * 100 : 0

// ADX (manual calculation)
upMove   = high - high[1]
downMove = low[1] - low
plusDM   = (upMove > downMove and upMove > 0) ? upMove : 0
minusDM  = (downMove > upMove and downMove > 0) ? downMove : 0

tr = math.max(math.max(high - low, high - close[1]), low - close[1])
atr = ta.rma(tr, adxPeriod)

plusDI = 100 * ta.rma(plusDM, adxPeriod) / atr
minusDI = 100 * ta.rma(minusDM, adxPeriod) / atr
dx = 100 * ((plusDI - minusDI) >= 0 ? (plusDI - minusDI) : (minusDI - plusDI)) / (plusDI + minusDI)
adx = ta.rma(dx, adxPeriod)

// VWAP
vwap = ta.vwap(hlc3)

// === BUY CONDITION === //
buyCond = (adx > 25) and (rsi < 30) and (stochRsi < 20) and (close < vwap)

// === SELL CONDITION === //
sellCond = (adx > 25) and (rsi > 70) and (stochRsi > 80) and (close > vwap)

// === PLOTS === //
plotshape(buyCond, title="BUY", location=location.belowbar, color=color.green, style=shape.labelup, text="BUY")
plotshape(sellCond, title="SELL", location=location.abovebar, color=color.red, style=shape.labeldown, text="SELL")

// === STRATEGY ORDERS === //
if buyCond
    strategy.entry("BUY", strategy.long)

if sellCond
    strategy.entry("SELL", strategy.short)