AI交易策略真实回测,月化收益约28%——不吹几百倍,只分享一个能复制的真实案例

//@version=5
strategy("Optimized BTC Mean Reversion (RSI 20/65)", 
     overlay=true, 
     initial_capital=10000,
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100,
     commission_type=strategy.commission.percent,
     commission_value=0.04,
     pyramiding=0,
     calc_on_every_tick=false)

// ================================================================================
// STRATEGY PARAMETERS - UNIVERSAL RSI 20/65 FOR ALL COINS
// ================================================================================

// EMA Settings
emaLength = input.int(200, "EMA Period", minval=1, group="Indicator Settings")

// RSI Settings - UNIVERSAL 20/65
rsiPeriod = input.int(14, "RSI Period", minval=1, group="RSI Settings")
rsiBullLevel = input.float(20, "RSI Oversold Level (BUY)", minval=10, maxval=50, group="RSI Settings")
rsiBearLevel = input.float(65, "RSI Overbought Level (SELL)", minval=50, maxval=90, group="RSI Settings")

// Stochastic Settings
stochLength = input.int(14, "Stochastic K Period", minval=1, group="Stochastic")
stochSmooth = input.int(3, "Stochastic D Period", minval=1, group="Stochastic")
stochOverbought = input.float(75, "Stochastic Overbought", minval=50, maxval=100, group="Stochastic")
stochOversold = input.float(25, "Stochastic Oversold", minval=0, maxval=50, group="Stochastic")

// Fixed Risk/Reward Settings
stopLossPct = input.float(4.0, "Stop Loss %", minval=0.1, maxval=20.0, step=0.1, group="Risk Management") / 100
takeProfitPct = input.float(6.0, "Take Profit %", minval=0.1, maxval=30.0, step=0.1, group="Risk Management") / 100

// Backtest Date Range
startDate = input(timestamp("2025-01-01 00:00"), "Start Date", group="Backtest Range")
endDate = input(timestamp("2099-12-31 23:59"), "End Date", group="Backtest Range")
inDateRange = true

// ================================================================================
// INDICATOR CALCULATIONS
// ================================================================================

// EMA
ema = ta.ema(close, emaLength)

// RSI
rsi = ta.rsi(close, rsiPeriod)

// Stochastic
stochK = ta.stoch(close, high, low, stochLength)
stochD = ta.sma(stochK, stochSmooth)

// Distance from EMA
distPct = ((close - ema) / ema) * 100

// ================================================================================
// ENTRY SIGNALS
// ================================================================================

// LONG: RSI < 20 + Stochastic < 25 + Price above EMA
longSignal = rsi < rsiBullLevel and 
             stochK < stochOversold and close > ema  * 0.9

// SHORT: RSI > 65 + Stochastic > 75 + Price below EMA
shortSignal = rsi > rsiBearLevel and 
              stochK > stochOverbought and 
              close < ema

// ================================================================================
// POSITION MANAGEMENT WITH PLOTTED LINES
// ================================================================================

var float entryPrice = na
var float longStopPrice = na
var float longTargetPrice = na
var float shortStopPrice = na
var float shortTargetPrice = na

inLongPosition = strategy.position_size > 0
inShortPosition = strategy.position_size < 0
noPosition = strategy.position_size == 0

// ================================================================================
// ENTRY ORDERS
// ================================================================================

if inDateRange and noPosition
    if longSignal
        entryPrice := close
        longStopPrice := entryPrice * (1 - stopLossPct)
        longTargetPrice := entryPrice * (1 + takeProfitPct)
        strategy.entry("Long", strategy.long, comment="Long: RSI 16")

    if shortSignal
        entryPrice := close
        shortStopPrice := entryPrice * (1 + stopLossPct)
        shortTargetPrice := entryPrice * (1 - takeProfitPct)
        strategy.entry("Short", strategy.short, comment="Short: RSI 65")

// ================================================================================
// EXIT ORDERS
// ================================================================================

if inLongPosition
    strategy.exit("Exit Long", 
         from_entry="Long",
         stop=longStopPrice, 
         limit=longTargetPrice,
         comment_loss="SL Hit",
         comment_profit="TP Hit")

if inShortPosition
    strategy.exit("Exit Short",
         from_entry="Short",
         stop=shortStopPrice,
         limit=shortTargetPrice,
         comment_loss="SL Hit",
         comment_profit="TP Hit")

// ================================================================================
// VISUALIZATION - WITH SL/TP LINES
// ================================================================================

// Plot EMA
plot(ema, "EMA 200", color=color.new(color.yellow, 0), linewidth=2)

// Plot Stop Loss and Take Profit Lines
plot(inLongPosition ? longStopPrice : na, "Long Stop Loss", 
     color=color.new(color.red, 0), linewidth=2, style=plot.style_linebr)
plot(inLongPosition ? longTargetPrice : na, "Long Take Profit", 
     color=color.new(color.green, 0), linewidth=2, style=plot.style_linebr)

plot(inShortPosition ? shortStopPrice : na, "Short Stop Loss", 
     color=color.new(color.red, 0), linewidth=2, style=plot.style_linebr)
plot(inShortPosition ? shortTargetPrice : na, "Short Take Profit", 
     color=color.new(color.green, 0), linewidth=2, style=plot.style_linebr)

// Plot entry price line when in position
plot(inLongPosition or inShortPosition ? entryPrice : na, "Entry Price",
     color=color.new(color.blue, 0), linewidth=1, style=plot.style_circles)

// Plot entry signals
plotshape(longSignal and noPosition, "Long Entry", 
     shape.triangleup, location.belowbar, 
     color=color.new(color.green, 0), size=size.small)

plotshape(shortSignal and noPosition, "Short Entry",
     shape.triangledown, location.abovebar,
     color=color.new(color.red, 0), size=size.small)



// ================================================================================
// ALERTS
// ================================================================================

alertcondition(longSignal and noPosition, "Long Entry Signal", 
     "RSI 16 Oversold - LONG at {{close}}")

alertcondition(shortSignal and noPosition, "Short Entry Signal",
     "RSI 65 Overbought - SHORT at {{close}}")