布林带风险管理的看涨吞没策略量化交易系统

/*backtest
start: 2025-01-25 00:00:00
end: 2025-02-24 00:00:00
period: 10m
basePeriod: 10m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*/

//@version=5
strategy("Bullish Engulfing Strategy with BB Risk", overlay=true)

// Input parameters for customization (optional, can be adjusted in Strategy Tester)
minVolume = input.int(1, "Minimum Volume", minval=1)  // Optional filter for liquidity

// Calculate Bollinger Bands (length=40, StdDev=2.5) for R
length = 40
mult = 2.5
basis = ta.sma(close, length)  // Middle Band (40-period SMA of close)
dev = mult * ta.stdev(close, length)  // Standard deviation multiplied by 2.5
upperBB = basis + dev  // Upper Bollinger Band
lowerBB = basis - dev  // Lower Bollinger Band

// Define R as 0.4 times the Bollinger Bands spread: R = 0.4 * ((1 - (lowerBB / upperBB)) * 100)
R = 0.4 * (1 - (lowerBB / upperBB))  // Percentage value, scaled by 0.4

// Define Bullish Engulfing pattern with optional volume filter
isBullishEngulfing() => close > open and close[1] < open[1] and close > open[1] and open < close[1] and close[1] < open[1] and close > open and volume > minVolume

bullishEngulfing = isBullishEngulfing()

// Track position and entry details
var bool inPosition = false
var float entryPrice = 0.0
var int entryBar = 0
var int exitBar = 0  // Track exit bar (added here to fix undeclared variable)
var float exitPrice = 0.0  // Track exit price

// Enter long position on the next bar after Bullish Engulfing, with position size risking 0.75% of portfolio
if (bullishEngulfing and not inPosition)
    // Calculate position size to risk 0.75% of portfolio
    portfolioValue = strategy.equity  // Current portfolio equity
    riskPerTrade = portfolioValue * 0.0025  // 0.75% of portfolio
    stopLossDistance = R  // R% of entry price (stop-loss distance)
    entryPrice := close
    positionSize = riskPerTrade / stopLossDistance / entryPrice  // Position size in units (contracts/shares)
    
    // Ensure positionSize is rounded to a practical number (e.g., whole shares)
    positionSize := math.round(positionSize)
    
    // Enter long position with calculated size
    strategy.entry("Long", strategy.long, limit = entryPrice, qty=positionSize)
    inPosition := true
    entryBar := bar_index

// Exit logic: Stop-loss or Take-profit
if (inPosition)
    // Stop-loss: Exit if price drops below entryPrice - R%
    stopLossLevel = entryPrice * (1 - R)
    if (low <= stopLossLevel)
        strategy.close("Long")
        inPosition := false
        exitBar := bar_index
        exitPrice := close
    
    // Take-profit: Exit if price rises above entryPrice + 4R%
    takeProfitLevel = entryPrice * (1 + 4 * R)
    if (high >= takeProfitLevel)
        strategy.close("Long")
        inPosition := false
        exitBar := bar_index
        exitPrice := close

// Optional: Plot signals and R for visualization
if (bullishEngulfing)
    label.new(bar_index, high, "Bullish Engulfing", yloc=yloc.abovebar, color=color.green, style=label.style_label_down, textcolor=color.white)

plot(R, title="R (BB Spread %)", color=color.blue, style=plot.style_histogram)

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