Strategy.exit()执行部分止盈后无法识别需平仓总仓位的问题

问题现象 #

执行部分止盈后调用strategy.exit()，仓位仍有部分留存，加仓订单未被计入需平仓的总仓位；若关闭部分止盈功能，strategy.exit()可正常平仓所有加仓仓位。

场景说明 #

• 无部分止盈时：strategy.exit()成功平仓全部仓位
• 使用部分止盈后：strategy.exit()仅平仓部分仓位，加仓部分留存

相关代码 #

if GreenCase()    // 开多单
    tp1 := false  // 部分止盈标志位
    tp2 := false
    if strategy.position_size < 0  // 若有空单，先平仓反转
        strategy.cancel("SELL")
        strategy.close("SELL", comment="REVERSE")
        adds := 0
        strategy.entry("BUY", strategy.long, pos_qty)
        strategy.exit("Buy_exit", "BUY", limit=lpp, stop=lsp)
    else if strategy.position_size == 0
        adds := 0
        strategy.entry("BUY", strategy.long, pos_qty)
        strategy.exit("Buy_exit", "BUY", limit=lpp, stop=lsp)
    
if RedCase()     // 开空单
    tp1 := false 
    tp2 := false
    if strategy.position_size > 0
        strategy.cancel("BUY")
        strategy.close("BUY", comment="REVERSE")
        adds := 0
        strategy.entry("SELL", strategy.short, pos_qty)
        strategy.exit("Sell_exit", "SELL", limit=spp, stop=ssp)
    else if strategy.position_size == 0
        adds := 0
        strategy.entry("SELL", strategy.short, pos_qty)
        strategy.exit("Sell_exit", "SELL", limit=spp, stop=ssp)


if strategy.position_size < 0
 and close > currEntryPrice+(percentNewEntry*(currEntryPrice/100))
    adds+=1
    strategy.order("SELL", strategy.short, pos_add_qty*adds, comment="Add "+str.tostring(adds))
    tp1 := false
    tp2 := false

if strategy.position_size > 0
 and close < currEntryPrice-(percentNewEntry*(currEntryPrice/100))
    adds+=1
    strategy.order("BUY", strategy.long, pos_add_qty*adds, comment="Add "+str.tostring(adds))
    tp1 := false
    tp2 := false

if partial    // 部分止盈开关
    if strategy.position_size > 0
        if close >= original_entry_price + partial_1_level*(original_long_TP-original_entry_price)/100
         and tp1 == false
            strategy.close("BUY", qty_percent = partial_1_percent, immediately=true, comment="Partial TP 1", alert_message="")
            tp1 := true
        if close >= original_entry_price + partial_2_level*(original_long_TP-original_entry_price)/100
         and tp2 == false
            strategy.close("BUY", qty_percent = partial_2_percent, immediately=true, comment="Partial TP 2", alert_message="")
            tp2 := true
    if strategy.position_size < 0
        if close <= original_entry_price - partial_1_level*(original_entry_price-original_short_TP)/100
         and tp1 == false
            strategy.close("SELL", qty_percent = partial_1_percent, immediately=true, comment="Partial TP 1", alert_message="")
            tp1 := true
        if close <= original_entry_price - partial_2_level*(original_entry_price-original_short_TP)/100
         and tp2 == false
            strategy.close("SELL", qty_percent = partial_2_percent, immediately=true, comment="Partial TP 2", alert_message="")
            tp2 := true

问题原因 #

Pine Script中，strategy.exit()默认仅与绑定的strategy.entry()初始仓位关联，后续通过strategy.order()加仓的仓位不会自动纳入该exit订单的跟踪范围。当使用strategy.close()执行部分止盈后，原exit订单的目标平仓量仍为初始entry的剩余仓位，无法覆盖加仓部分，因此触发exit时仅平仓初始剩余仓位，加仓仓位留存。

解决方案 #

方案1：加仓/部分止盈后重新创建exit订单 #

每次加仓或部分止盈操作后，取消原exit订单并重新创建，确保新exit订单跟踪当前全部仓位：

修正加仓代码

if strategy.position_size < 0
 and close > currEntryPrice+(percentNewEntry*(currEntryPrice/100))
    adds+=1
    strategy.order("SELL", strategy.short, pos_add_qty*adds, comment="Add "+str.tostring(adds))
    tp1 := false
    tp2 := false
    // 取消原空单exit并重新创建
    strategy.cancel("Sell_exit")
    strategy.exit("Sell_exit", "SELL", limit=spp, stop=ssp)

if strategy.position_size > 0
 and close < currEntryPrice-(percentNewEntry*(currEntryPrice/100))
    adds+=1
    strategy.order("BUY", strategy.long, pos_add_qty*adds, comment="Add "+str.tostring(adds))
    tp1 := false
    tp2 := false
    // 取消原多单exit并重新创建
    strategy.cancel("Buy_exit")
    strategy.exit("Buy_exit", "BUY", limit=lpp, stop=lsp)

修正部分止盈代码

if partial    // 部分止盈开关
    if strategy.position_size > 0
        if close >= original_entry_price + partial_1_level*(original_long_TP-original_entry_price)/100
         and tp1 == false
            strategy.close("BUY", qty_percent = partial_1_percent, immediately=true, comment="Partial TP 1", alert_message="")
            tp1 := true
            // 重新创建多单exit
            strategy.cancel("Buy_exit")
            strategy.exit("Buy_exit", "BUY", limit=lpp, stop=lsp)
        if close >= original_entry_price + partial_2_level*(original_long_TP-original_entry_price)/100
         and tp2 == false
            strategy.close("BUY", qty_percent = partial_2_percent, immediately=true, comment="Partial TP 2", alert_message="")
            tp2 := true
            // 重新创建多单exit
            strategy.cancel("Buy_exit")
            strategy.exit("Buy_exit", "BUY", limit=lpp, stop=lsp)
    if strategy.position_size < 0
        if close <= original_entry_price - partial_1_level*(original_entry_price-original_short_TP)/100
         and tp1 == false
            strategy.close("SELL", qty_percent = partial_1_percent, immediately=true, comment="Partial TP 1", alert_message="")
            tp1 := true
            // 重新创建空单exit
            strategy.cancel("Sell_exit")
            strategy.exit("Sell_exit", "SELL", limit=spp, stop=ssp)
        if close <= original_entry_price - partial_2_level*(original_entry_price-original_short_TP)/100
         and tp2 == false
            strategy.close("SELL", qty_percent = partial_2_percent, immediately=true, comment="Partial TP 2", alert_message="")
            tp2 := true
            // 重新创建空单exit
            strategy.cancel("Sell_exit")
            strategy.exit("Sell_exit", "SELL", limit=spp, stop=ssp)

方案2：改用strategy.close_all()触发平仓 #

若无需区分初始与加仓仓位，可在exit条件触发时直接调用strategy.close_all()替代strategy.exit()，确保平仓全部仓位。

内容的提问来源于stack exchange，提问作者Blu