订单流分析

//@version=6
strategy("订单流分析", shorttitle="订单流", overlay=false, 
         default_qty_type=strategy.fixed, default_qty_value=1,
         pyramiding=0, calc_on_every_tick=true)


// ====== 输入参数 ======
var_group = "策略参数"
timeframeInput = input.string("AUTO", "时间周期调整", options=["AUTO", "1分钟", "5分钟", "15分钟", "30分钟", "1小时", "4小时", "日线"], group=var_group)

// 根据时间周期自动调整参数
var timeframeMap = array.from("1", "5", "15", "30", "60", "240", "D")
var selectedTimeframe = timeframeInput == "AUTO" ? timeframe.period : array.get(timeframeMap, array.indexof(array.from("1分钟", "5分钟", "15分钟", "30分钟", "1小时", "4小时", "日线"), timeframeInput))

// 动态调整参数
volumeThreshold = input.float(2.0, "成交量阈值(相对于平均值)", minval=1.0, group=var_group)
priceChangeThreshold = input.float(0.5, "价格变化阈值(%)", minval=0.1, group=var_group)
lookbackPeriod = input.int(20, "回溯期间", minval=5, group=var_group)

// 根据时间周期调整参数
adjustedVolumeThreshold = timeframeInput == "AUTO" ? volumeThreshold :timeframe.isintraday ? volumeThreshold * 1.5 : volumeThreshold
adjustedPriceThreshold = timeframeInput == "AUTO" ? priceChangeThreshold :timeframe.isintraday ? priceChangeThreshold * 0.5 : priceChangeThreshold
adjustedLookback = timeframeInput == "AUTO" ? lookbackPeriod :timeframe.isintraday ? math.floor(lookbackPeriod * 0.7) : lookbackPeriod

// ====== 风控参数 ======
risk_group = "风控参数"
useStopLoss = input.bool(true, "启用止损", group=risk_group)
stopLossPercent = input.float(2.0, "止损百分比", minval=0.1, maxval=100.0, group=risk_group)
useTakeProfit = input.bool(true, "启用止盈", group=risk_group)
takeProfitPercent = input.float(3.0, "止盈百分比", minval=0.1, maxval=100.0, group=risk_group)

// ====== 计算指标 ======
// 计算VWAP作为参考
vwap = ta.vwap(hlc3)

// 计算相对成交量（使用指数移动平均以减少滞后）
averageVolume = ta.ema(volume, adjustedLookback)
volumeRatio = volume / averageVolume

// 计算价格变化百分比（相对VWAP）
priceChange = math.abs(close - vwap) / vwap * 100

// 计算买卖压力（考虑VWAP）
buyPressure = close > vwap ? volume : 0.0
sellPressure = close < vwap ? volume : 0.0
netPressure = ta.ema(buyPressure - sellPressure, adjustedLookback)

// 计算成交量动量
volumeMomentum = ta.mom(volume, 1)
isVolumeIncreasing = volumeMomentum > 0

// ====== 生成信号 ======
// 判断成交量和价格变动
isHighVolume = volumeRatio >= volumeThreshold
isSignificantMove = priceChange >= priceChangeThreshold

// 生成交易条件
longCondition = isHighVolume and isSignificantMove and netPressure > 0 and close > vwap and isVolumeIncreasing
shortCondition = isHighVolume and isSignificantMove and netPressure < 0 and close < vwap and isVolumeIncreasing

// ====== 执行策略 ======
if (longCondition)
    strategy.entry("买入开仓", strategy.long)
if (shortCondition)
    strategy.entry("卖出开仓", strategy.short)

// 设置止损止盈
if (useStopLoss or useTakeProfit)
    strategy.exit("多单平仓", from_entry="买入开仓", stop=useStopLoss ? close * (1 - stopLossPercent/100) : na, limit=useTakeProfit ? close * (1 + takeProfitPercent/100) : na)
    strategy.exit("空单平仓", from_entry="卖出开仓", stop=useStopLoss ? close * (1 + stopLossPercent/100) : na, limit=useTakeProfit ? close * (1 - takeProfitPercent/100) : na)

// ====== 绘制图表 ======
// 计算买卖压力
bullishPressure = netPressure > 0 ? netPressure : 0
bearishPressure = netPressure < 0 ? math.abs(netPressure) : 0

// 计算移动最大值作为标准化基准
maxPressure = math.max(ta.highest(bullishPressure, 100), ta.highest(bearishPressure, 100))
normBullishPressure = maxPressure != 0 ? (bullishPressure / maxPressure * 100) : 0
normBearishPressure = maxPressure != 0 ? (bearishPressure / maxPressure * 100) : 0

// 绘制买卖压力柱状图
plot(normBullishPressure, "买压", color=color.new(color.green, 0), style=plot.style_columns)
plot(-normBearishPressure, "卖压", color=color.new(color.red, 0), style=plot.style_columns)

// 绘制中轴线
hline(0, "中轴线", color=color.new(color.gray, 50))

// 绘制成交量比率（放大5倍使其更容易观察）
plot(volumeRatio * 5, "成交量比率", color=color.new(color.blue, 0), linewidth=2)
hline(volumeThreshold * 5, "成交量阈值", color=color.new(color.gray, 0), linestyle=hline.style_dashed)

// ====== 背景标记 ======
bgcolor(longCondition ? color.new(color.green, 90) : shortCondition ? color.new(color.red, 90) : na)

// ====== 盈亏标记 ======
if (strategy.closedtrades > 0)
    lastTradeIndex = strategy.closedtrades - 1
    lastTradeProfit = strategy.closedtrades.profit(lastTradeIndex)
    lastTradeBarIndex = strategy.closedtrades.exit_bar_index(lastTradeIndex)
    if (bar_index == lastTradeBarIndex)
        labelText = lastTradeProfit > 0 ? "盈利: " + str.tostring(lastTradeProfit, "#.##") : "亏损: " + str.tostring(lastTradeProfit, "#.##")
        labelColor = lastTradeProfit > 0 ? color.green : color.red
        label.new(x=bar_index, y=close, text=labelText, color=labelColor, style=label.style_label_down, size=size.small)