抛物线停损反转与布林带趋势识别量化交易策略-Parabolic-SAR-and-Bollinger-Bands-Trend-Identification-Quantitative-Trading-Strategy

/*backtest
start: 2024-03-27 00:00:00
end: 2024-12-12 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Parabolic SAR + Bollinger Bands Strategy", overlay=true)

// ———— Inputs ———— //
// Parabolic SAR Inputs
sar_step = input.float(0.02, "SAR Step", minval=0.001, maxval=0.1)
sar_max = input.float(0.2, "SAR Max", minval=0.1, maxval=0.5)

// Bollinger Bands Inputs
bb_length = input.int(20, "BB Length")
bb_mult = input.float(2.0, "BB Multiplier")

// ———— Calculate Indicators ———— //
// Parabolic SAR
sar = ta.sar(sar_step, sar_max, sar_max)
plot(sar, "SAR", color=color.blue, style=plot.style_circles)

// Bollinger Bands
bb_basis = ta.sma(close, bb_length)
bb_dev = bb_mult * ta.stdev(close, bb_length)
bb_upper = bb_basis + bb_dev
bb_lower = bb_basis - bb_dev

// Plot Bollinger Bands
plot(bb_basis, "BB Basis", color=color.orange)
plot(bb_upper, "BB Upper", color=color.blue)
plot(bb_lower, "BB Lower", color=color.blue)

// ———— Strategy Logic ———— //
// Long Condition: Price closes above SAR (uptrend) AND below Upper BB
longCondition = close > sar and close < bb_upper

// Short Condition: Price closes below SAR (downtrend) AND above Lower BB
shortCondition = close < sar and close > bb_lower

// Exit Conditions
exitLong = close < sar or close >= bb_upper
exitShort = close > sar or close <= bb_lower

// ———— Execute Orders ———— //
if (longCondition)
    strategy.entry("Buy", strategy.long)
if (exitLong)
    strategy.close("Buy")

if (shortCondition)
    strategy.entry("Sell", strategy.short)
if (exitShort)
    strategy.close("Sell")

// ———— Visual Alerts ———— //
plotshape(longCondition, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small)
plotshape(shortCondition, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)