自适应成本均值动态网格策略-基于DCA与马丁格尔原理的高级量化交易系统-Adaptive-Cost-Average-Dynamic-Grid-Strategy-Advanced-Quantitative-Trading-System-Based-on-DCA-and-Martingale-Principles

/*backtest
start: 2024-02-29 00:00:00
end: 2024-04-17 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// @HannSo1o TG
// @singoslab CIS Comunity in TG
//The strategy was created to select the optimal settings for a spot bot on the OKX exchange.
//Spot DCA + Martingale.
//The strategy is not designed for launching a bot with tradingview, only for selecting optimal settings, and the bot must be launched separately on the exchange itself, 
//in the section
//https://www.okx.com/ru/trade-spot-strategy/eth-usdt#ordtype=spot_dca

//@version=6
strategy("OKX _Spot DCA + Martingale - Strategy with DCA Grid", overlay=true, commission_type=strategy.commission.percent, commission_value=0.1, slippage=3, default_qty_type=strategy.cash, default_qty_value=100, initial_capital=10000, currency=currency.USD, process_orders_on_close=true)

// Input parameters
i_priceStepPct  = input.float(1.0, "Price Step (%)", minval=0.1, group="1. Grid Parameters") / 100
i_tpPct         = input.float(1.0, "Take Profit Target per Cycle (%)", minval=0.1, group="1. Grid Parameters") / 100

i_initialOrder  = input.float(100.0, "Initial Order Amount (USDT)", minval=1, group="2. Volume Management")
i_safetyOrder   = input.float(50.0, "Safety Order Amount (USDT)", minval=1, group="2. Volume Management")
i_maxSafety     = input.int(5, "Max Number of Safety Orders", minval=1, maxval=20, group="2. Volume Management") // Added maxval=20

i_startCond     = input.string("Instantly", "Start Conditions", options=["Instantly", "Price", "RSI"], group="3. Activation Conditions")
i_multiplier    = input.float(2.0, "Amount Multiplier", minval=1, group="4. Multipliers")
i_stepMulti     = input.float(1.5, "Price Step Multiplier", minval=1, group="4. Multipliers")

i_slEnabled     = input.bool(false, "Enable Stop Loss", group="5. Protection")
i_slPct         = input.float(5.0, "Stop Loss Target (%)", minval=0.1, group="5. Protection") / 100

// RSI Parameters
i_rsiPeriod     = input.int(14, "RSI Period", group="6. RSI Settings")
i_rsiSource     = input(close, "RSI Source", group="6. RSI Settings")
i_rsiTrigger    = input.string("Down", "Trigger Condition", options=["Up", "Down"], group="6. RSI Settings")
i_rsiThreshold  = input.float(30, "Trigger Threshold", minval=1, maxval=100, group="6. RSI Settings")
i_rsiTF         = input.timeframe("3", "Timeframe", group="6. RSI Settings")

// Strategy State
var int cycleCount = 0
var float avgPrice = na
var float totalQty = 0.0
var int safetyCount = 0
var bool cycleActive = false
var float nextOrderPrice = na
var float entryPrice = na // Entry price for the cycle

// Indicator Calculations
rsiValue = request.security(syminfo.tickerid, i_rsiTF, ta.rsi(i_rsiSource, i_rsiPeriod))
triggerPrice = low * (1 - i_priceStepPct)

// Activation Conditions
startCondition = switch i_startCond
    "Instantly" => true
    "Price"     => close <= triggerPrice
    "RSI"      => i_rsiTrigger == "Down" ? ta.crossunder(rsiValue, i_rsiThreshold) : ta.crossover(rsiValue, 100 - i_rsiThreshold)

// Cycle Management Logic

if not cycleActive and startCondition
    cycleCount := cycleCount + 1
    strategy.entry("InitBuy", strategy.long, i_initialOrder)
    avgPrice := close
    totalQty := i_initialOrder / close
    safetyCount := 0
    cycleActive := true
    nextOrderPrice := close * (1 - i_priceStepPct)
    entryPrice := close // Save entry price
    
if cycleActive
    // Check for adding safety orders
    if low <= nextOrderPrice and safetyCount < i_maxSafety
        safetyCount := safetyCount + 1
        orderSize = i_safetyOrder * math.pow(i_multiplier, safetyCount)
        strategy.order("SafetyBuy_" + str.tostring(safetyCount), strategy.long, orderSize / close, limit=nextOrderPrice)
        totalQty := totalQty + (orderSize / nextOrderPrice)
        avgPrice := (avgPrice * (totalQty - (orderSize / nextOrderPrice)) + nextOrderPrice * (orderSize / nextOrderPrice)) / totalQty
        nextOrderPrice := nextOrderPrice * (1 - i_priceStepPct * math.pow(i_stepMulti, safetyCount))
    
    // Calculate exit levels
    tpLevel = avgPrice * (1 + i_tpPct)
    slLevel = avgPrice * (1 - i_slPct)
    
    // Check take profit
    if high >= tpLevel
        strategy.close_all()
        cycleActive := false
    
    // Check stop loss
    if i_slEnabled and low <= slLevel
        strategy.close_all()
        cycleActive := false

// Function to calculate safety order levels
getLevel(n) =>
    level = entryPrice
    for i = 0 to n-1
        step = i_priceStepPct * math.pow(i_stepMulti, i)
        level := level * (1 - step)
    level

// Visualization
plot(cycleActive ? avgPrice : na, "Average Price", color.green, 2)
plot(cycleActive ? avgPrice * (1 + i_tpPct) : na, "Take Profit", color.teal, 2)
plot(i_slEnabled and cycleActive ? avgPrice * (1 - i_slPct) : na, "Stop Loss", color.red, 2)

// Display safety order grid
plot(cycleActive ? entryPrice : na, "Entry Price", color.purple, 2, plot.style_linebr)

// Dynamic display of up to 20 grid levels
plot(cycleActive and i_maxSafety >= 1 ? getLevel(1) : na, "Safety Order 1", color.blue, 2)
plot(cycleActive and i_maxSafety >= 2 ? getLevel(2) : na, "Safety Order 2", color.blue, 2)
plot(cycleActive and i_maxSafety >= 3 ? getLevel(3) : na, "Safety Order 3", color.blue, 2)
plot(cycleActive and i_maxSafety >= 4 ? getLevel(4) : na, "Safety Order 4", color.blue, 2)
plot(cycleActive and i_maxSafety >= 5 ? getLevel(5) : na, "Safety Order 5", color.blue, 2)
plot(cycleActive and i_maxSafety >= 6 ? getLevel(6) : na, "Safety Order 6", color.blue, 2)
plot(cycleActive and i_maxSafety >= 7 ? getLevel(7) : na, "Safety Order 7", color.blue, 2)
plot(cycleActive and i_maxSafety >= 8 ? getLevel(8) : na, "Safety Order 8", color.blue, 2)
plot(cycleActive and i_maxSafety >= 9 ? getLevel(9) : na, "Safety Order 9", color.blue, 2)
plot(cycleActive and i_maxSafety >=10 ? getLevel(10) : na, "Safety Order 10", color.blue, 2)
plot(cycleActive and i_maxSafety >=11 ? getLevel(11) : na, "Safety Order 11", color.blue, 2)
plot(cycleActive and i_maxSafety >=12 ? getLevel(12) : na, "Safety Order 12", color.blue, 2)
plot(cycleActive and i_maxSafety >=13 ? getLevel(13) : na, "Safety Order 13", color.blue, 2)
plot(cycleActive and i_maxSafety >=14 ? getLevel(14) : na, "Safety Order 14", color.blue, 2)
plot(cycleActive and i_maxSafety >=15 ? getLevel(15) : na, "Safety Order 15", color.blue, 2)
plot(cycleActive and i_maxSafety >=16 ? getLevel(16) : na, "Safety Order 16", color.blue, 2)
plot(cycleActive and i_maxSafety >=17 ? getLevel(17) : na, "Safety Order 17", color.blue, 2)
plot(cycleActive and i_maxSafety >=18 ? getLevel(18) : na, "Safety Order 18", color.blue, 2)
plot(cycleActive and i_maxSafety >=19 ? getLevel(19) : na, "Safety Order 19", color.blue, 2)
plot(cycleActive and i_maxSafety >=20 ? getLevel(20) : na, "Safety Order 20", color.blue, 2)