策略退出未正确触发

Question

感谢您查看此内容，希望您能帮助我。

我创建了一个代码，它同时考虑了布林带和 RSI 指标，并创建了一个策略，当收盘价低于 BB 下带且 RSI 显示超卖，信号是买入，退出应该是当收盘价回到布林带基准线上方时。

此外，当收盘价高于布林带上限且 RSI 显示超买时，信号是卖出，并且应在收盘价回到布林带基准线下方时退出。

但是，退出有问题，因为它有时会正确触发，有时不会。请注意，我已经补充说，如果反向移动 200 点，它应该关闭交易。

您将在下面找到代码。请让我知道我做错了什么。谢谢！

// © hkanaan0

//@version=3
// 1. Define strategy settings
strategy(title="Bollinger Breakout", overlay=true,
     pyramiding=0, initial_capital=100000,
     commission_type=strategy.commission.cash_per_order,
     commission_value=4, slippage=2)

smaLength = input(title="SMA Length", type=integer, defval=50)
stdLength = input(title="StdDev Length", type=integer, defval=50)

ubOffset = input(title="Upper Band Offset", type=float, defval=2, step=0.5)
lbOffset = input(title="Lower Band Offset", type=float, defval=2, step=0.5)

usePosSize = input(title="Use Position Sizing?", type=bool, defval=true)
riskPerc   = input(title="Risk %", type=float, defval=0.5, step=0.25)

rsiSource = input(title = "RSI Source", type = source, defval = hlc3)
rsiLength = input(title = "RSI Length", type = integer, defval = 14)
rsiOverbought = input(title = "RSI Overbought Level", type = integer, defval = 70)
rsiOversold = input(title = "RSI Oversold Level", type = integer, defval = 30)

// 2. Calculate strategy values
rsiValue = rsi(rsiSource, rsiLength)
isRSIOB = rsiValue >= rsiOverbought
isRSIOS = rsiValue <= rsiOversold
isBullish = crossover(rsiValue, 55)
isBearish = crossunder(rsiValue, 45)

smaValue = sma(hlc3, smaLength)
stdDev   = stdev(hlc3, stdLength)

upperBand = smaValue + (stdDev * ubOffset)
lowerBand = smaValue - (stdDev * lbOffset)

riskEquity  = (riskPerc / 100) * strategy.equity
atrCurrency = (atr(20) * syminfo.pointvalue)
posSize     = usePosSize ? floor(riskEquity / atrCurrency) : 1

// 3. Output strategy data
plot(series=smaValue, title="SMA", color=blue, linewidth=2)

plot(series=upperBand, title="UB", color=green,
     linewidth=4)
plot(series=lowerBand, title="LB", color=red,
     linewidth=4)
     
//plotshape(isRSIOB, title="Overbought" , location=location.abovebar , color=red , transp=0 , style=shape.triangledown , text="Sell")
//plotshape(isRSIOS, title = "Oversold", location = location.belowbar, color =lime, transp = 0, style = shape.triangleup, text = "Buy")
plotshape(isBullish, title = "Bullish Momentum", location=location.abovebar, color=lime, transp = 0, style = shape.arrowup, text = "Bullish")
plotshape(isBearish, title = "Bearish Momentum", location=location.belowbar, color=red, transp = 0, style = shape.arrowdown, text = "Bearish")


// 4. Determine long trading conditions
enterLong = crossunder(close, lowerBand) and isRSIOS
exitLong  = crossover(close, smaValue)

// 5. Code short trading conditions
enterShort = crossover(close, upperBand) and isRSIOB
exitShort  = crossunder(close, smaValue)

// 6. Submit entry orders
if (enterLong)
    strategy.order(id="Enter Long", long=true, qty=posSize)

if (enterShort)
    strategy.order(id="Enter Short", long=false, qty=posSize)

// 7. Submit exit orders
strategy.exit(id="Exit Long", when=exitLong, loss = 200)
strategy.exit(id="Exit Short", when=exitShort, loss = 200)```

Answer 1

发生的情况是 200 点是在 exit_short 或 exit_long 触发时计算的。所以如果在 12000 触发了 exit_short，即使你在 13000 做空，价格订单也只会在 11800 发生。

为了解决这个问题，我计算了您入市时的止损价：

opened_order = strategy.position_size[0] != 0 and strategy.position_size[1] == 0

如果您当时不在一个位置，但现在是，strategy.position_size 会发生变化。所以我使用valuewhen(opened_order, close, 0) 来获取您开单时的收盘价。我取这个价格和 +- 200 个刻度，具体取决于订单打开的方向。

最后，如果当前低/高触及止损价，则平仓。我还制作了不同的 cmets，因此您可以查看交易是否已停止，或者您是否获利。为此，我必须将 PineScript 更新到 v4，所以如果您不想要 cmets，您可以删除它们。

这是代码：

// Strategy settings
strategy(title="Bollinger Breakout", overlay=true,
     pyramiding=0, initial_capital=100000,
     calc_on_order_fills = true,
     commission_type=strategy.commission.cash_per_order,
     commission_value=4, slippage=2)

smaLength = input(title="SMA Length", defval=50)
stdLength = input(title="StdDev Length", defval=50)

ubOffset = input(title="Upper Band Offset", defval=2, step=0.5)
lbOffset = input(title="Lower Band Offset", defval=2, step=0.5)

usePosSize = input(title="Use Position Sizing?", defval=false)
riskPerc   = input(title="Risk %", defval=2.5, step=0.25)

rsiSource = input(title = "RSI Source", defval = hlc3)
rsiLength = input(title = "RSI Length", defval = 14)
rsiOverbought = input(title = "RSI Overbought Level", defval = 70)
rsiOversold = input(title = "RSI Oversold Level", defval = 30)

// Calculate strategy values
rsiValue = rsi(rsiSource, rsiLength)
isRSIOB = rsiValue >= rsiOverbought
isRSIOS = rsiValue <= rsiOversold
isBullish = crossover(rsiValue, 55)
isBearish = crossunder(rsiValue, 45)

smaValue = sma(hlc3, smaLength)
stdDev   = stdev(hlc3, stdLength)

upperBand = smaValue + (stdDev * ubOffset)
lowerBand = smaValue - (stdDev * lbOffset)

riskEquity  = (riskPerc / 100) * strategy.equity
atrCurrency = (atr(20) * syminfo.pointvalue)
posSize     = usePosSize ? floor(riskEquity / atrCurrency) : 1

in_market = strategy.opentrades != 0
opened_order = strategy.position_size[0] != 0 and strategy.position_size[1] == 0
is_long = strategy.position_size > 0
is_short = strategy.position_size < 0
bought = is_long[0] and not is_long[1]
sold = is_short[0] and not is_short[1]

// Output strategy data

plot(series=smaValue, title="SMA", color=color.blue, linewidth=2)
plot(series=upperBand, title="UB", color=color.green, linewidth=4)
plot(series=lowerBand, title="LB", color=color.red, linewidth=4)

// Determine long trading conditions

enterLong = crossunder(close, lowerBand) and isRSIOS
plotshape(enterLong, title="Entry long signal", location=location.abovebar, color=color.lime, style=shape.triangledown)
exitLong  = crossover(close, smaValue)

// Determine short trading conditions

enterShort = crossover(close, upperBand) and isRSIOB
plotshape(enterShort, title="Entry short signal", location=location.belowbar, color=color.red, style = shape.triangleup)
exitShort  = crossunder(close, smaValue)

// Stop loss calculations

moving_stop_price_long = not in_market ? close - (200 * syminfo.mintick) : na
moving_stop_price_short = not in_market ? close + (200 * syminfo.mintick) : na
stop_price = is_long ? valuewhen(bought, close[1], 0) - (200 * syminfo.mintick): is_short ? valuewhen(sold, close[1], 0) + (200 * syminfo.mintick) : na
plot(stop_price ? stop_price : stop_price[1], "Stop price", color.red, 2, plot.style_linebr)

// Submit entry orders

if enterLong and not in_market
    strategy.order(id="Long", long=true, qty=posSize)

if enterShort and not in_market
    strategy.order(id="Short", long=false, qty=posSize)

// Submit exit orders
if is_long
    strategy.exit("Long", limit=exitLong ? close : na, stop=stop_price)
if is_short
    strategy.exit("Short", limit=exitShort ? close : na, stop=stop_price)