布林带动量趋势跟踪量化策略-Bollinger-Bands-Momentum-Trend-Following-Quantitative-Strategy

/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-11 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Bollinger Bands Scalp Pro", overlay=true)

// Inputs for the strategy
length = input(20, title="Bollinger Band Length")
src = input(close, title="Source")
mult = input(1.8, title="Bollinger Band Multiplier")
rsiLength = input(7, title="RSI Length")
rsiOverbought = input(75, title="RSI Overbought Level")
rsiOversold = input(25, title="RSI Oversold Level")

// Custom RSI exit points
rsiExitLong = input(75, title="RSI Exit for Long (Overbought)")
rsiExitShort = input(25, title="RSI Exit for Short (Oversold)")

// Moving Average Inputs
emaLength = input(500, title="EMA Length")
enableEMAFilter = input.bool(true, title="Enable EMA Filter")

// Exit method: Choose between 'RSI' and 'Bollinger Bands'
exitMethod = input.string("RSI", title="Exit Method", options=["RSI", "Bollinger Bands"])

// Enable/Disable Long and Short trades
enableLong = input.bool(true, title="Enable Long Trades")
enableShort = input.bool(false, title="Enable Short Trades")

// Enable/Disable Stop Loss
enableStopLoss = input.bool(false, title="Enable Stop Loss")
stopLossPercent = input.float(1.0, title="Stop Loss Percentage (%)", minval=0.1) / 100

// Bollinger Bands calculation
basis = ta.sma(src, length)
dev = mult * ta.stdev(src, length)
upperBB = basis + dev
lowerBB = basis - dev

// RSI calculation
rsi = ta.rsi(src, rsiLength)

// 200 EMA to filter trades (calculated but only used if enabled)
ema200 = ta.ema(src, emaLength)

// Long condition: RSI below oversold, price closes below the lower Bollinger Band, and optionally price is above the 200 EMA
longCondition = enableLong and (rsi < rsiOversold) and (close < lowerBB) and (not enableEMAFilter or close > ema200)
if (longCondition)
    strategy.entry("Long", strategy.long)

// Short condition: RSI above overbought, price closes above the upper Bollinger Band, and optionally price is below the 200 EMA
shortCondition = enableShort and (rsi > rsiOverbought) and (close > upperBB) and (not enableEMAFilter or close < ema200)
if (shortCondition)
    strategy.entry("Short", strategy.short)

// Stop Loss setup
if (enableStopLoss)
    strategy.exit("Long Exit", "Long", stop = strategy.position_avg_price * (1 - stopLossPercent))
    strategy.exit("Short Exit", "Short", stop = strategy.position_avg_price * (1 + stopLossPercent))

// Exit conditions based on the user's choice of exit method
if (exitMethod == "RSI")
    // Exit based on RSI
    exitLongCondition = rsi >= rsiExitLong
    if (exitLongCondition)
        strategy.close("Long")
    
    exitShortCondition = rsi <= rsiExitShort
    if (exitShortCondition)
        strategy.close("Short")
else if (exitMethod == "Bollinger Bands")
    // Exit based on Bollinger Bands
    exitLongConditionBB = close >= upperBB
    if (exitLongConditionBB)
        strategy.close("Long")
    
    exitShortConditionBB = close <= lowerBB
    if (exitShortConditionBB)
        strategy.close("Short")