Question

首先，对不起我的英语。我不是母语人士。

我发送了用松树脚本编写的策略框架。例如，您在策略中看到的；当长信号进入时，L1和L2位置打开。

我想更改strategy.exit部分。

当L1达到long_tp（目标点）时，L2的止损应该进入入场价（收支平衡），但是脚本中的止损就像尾随的止损会逐步变为价格和ATR。

ATR每步变化，因此我的初始止损水平（entryprice-1.5xATR）始终在变化。我不想改变。它应该停留在初始水平（止损=初始价格-1.5倍初始ATR）。

总之：当我获得多头头寸L1和L2时，止损水平应该为（entryprice-1.5xinitialATR），并且如果L1达到止盈水平，则L2的止损会变为进入价格，而进入价格应该保持不变使用ATR。

//@version=3
strategy(title="MA Crossover", overlay = true, pyramiding=0, initial_capital=10000, currency=currency.USD, calc_on_order_fills=1,default_qty_type=strategy.fixed, default_qty_value=10000)

price = close
fastlength = input(5,"fast length", minval=1, maxval=300)
slowlength = input(13,"slow length", minval=1, maxval=300)

sl_coefficent = input(1.5, "SL")
tp_coefficient = input(1, "TP")

///ATR alculation
atrlength = input(title="ATR Length", defval=14, minval=1)
atrsmoothing = input(title="ATR Smoothing", defval="SMA", options=["RMA", "SMA", "EMA", "WMA"])

ma_function(source, atrlength) => 
    if atrsmoothing == "RMA"
        rma(source, atrlength)
    else
        if atrsmoothing == "SMA"
            sma(source, atrlength)
        else
            if atrsmoothing == "EMA"
                ema(source, atrlength)
            else
                wma(source, atrlength)
atr = ma_function(tr(true), atrlength)

//Moving Averagers
fastMA = sma(close,fastlength)
slowMA = sma(close, slowlength)
plot(fastMA, title = "fast", color = blue, linewidth=2, transp=0)
plot(slowMA, title = "slow", color = red, linewidth=2, transp=0)

//Signals 
short_signal = slowMA > fastMA and price < slowMA
long_signal = slowMA < fastMA and price > fastMA


//Entry and Exit Conditions
enterLong = (long_signal) 
enterShort = (short_signal) 

exitLong = (short_signal) 
exitShort = (long_signal) 

//STRATEGY
if (year>2018)

    //Long entries with standard 1.5 ATR for SL, 1 ATR for TP
    long_sl = price - atr * sl_coefficent
    long_tp = price + atr * tp_coefficient
    strategy.entry("L1", strategy.long, when = enterLong)
    strategy.exit("L1 Limit Exit", "L1", stop = long_sl, limit = long_tp)
    strategy.close("L1", when = exitLong)

    //Long entries with no TP
    strategy.entry("L2", strategy.long, when = enterLong)
    strategy.exit("L2 Limit Exit", "L2", stop = long_sl)
    strategy.close("L2", when = exitLong)

    //Short entries with standard 1.5 ATR for SL, 1 ATR for TP
    short_sl = price + atr * sl_coefficent
    short_tp = price - atr * tp_coefficient
    strategy.entry("S1", strategy.short, when = enterShort)
    strategy.exit("S1 Limit Exit", "S1", stop = short_sl, limit = short_tp)
    strategy.close("S1", when = exitShort)

   //Short entries with no TP
   strategy.entry("S2", strategy.short, when = enterShort)
   strategy.exit("S2 Limit Exit", "S2", stop = short_sl)
   strategy.close("S2", when = exitShort)

Answer 1

根据您的评论价值，当您进入交易时什么时候将有助于保持ATR的价值：

ATR_Long := (strategy.position_size == 0 and strategy.long == 1 and strategy.position_entry_name == "Long" )? na : valuewhen(GoLong, one_atr, 0)
ATR_Short := (strategy.position_size == 0 and strategy.short == 1 and strategy.position_entry_name == "Short")? na : valuewhen(GoShort, one_atr, 0)

Answer 2

如果这正是您要寻找的，我不确定我是否对您了解：

//Long entries with standard 1.5 ATR for SL, 1 ATR for TP
    long_sl = strategy.position_avg_price - atr * sl_coefficent
    long_tp = strategy.position_avg_price + atr * tp_coefficient

Tradingview Pine Script strategy.exit（）如何止损移动以达到收支平衡

2 个答案: