持仓后止损立即触发问题求助及相关Pine Script代码

问题原因 #

在开仓的同一根K线中，strategy.position_avg_price还未更新为当前开仓的成交价格。Pine Script中策略的持仓均价会在订单确认成交后才更新，而你在执行strategy.entry的同一根K线就调用strategy.exit，此时strategy.position_avg_price要么为0（无历史持仓），要么是上一次持仓的均价，导致计算出的止损价格完全不符合预期，进而触发立即止损。

解决代码 #

方法一：用信号触发时的收盘价计算止损 #

longLossPerc = input(title="Long Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=1) * 0.01
shortLossPerc = input(title="Short Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=1) * 0.01

// 记录开仓价格
var float longEntryPrice = na
var float shortEntryPrice = na

// 多单开仓时记录收盘价
if (long)
    longEntryPrice := close
// 空单开仓时记录收盘价
if (short)
    shortEntryPrice := close

// 基于开仓价格计算止损
longStopPrice  = longEntryPrice * (1 - longLossPerc)
shortStopPrice = shortEntryPrice * (1 + shortLossPerc)

strategy.entry('Long', strategy.long, when=long, comment='Long',alert_message = message_long_entry)
strategy.exit( "SL","Long", stop=longStopPrice, comment = "SL Long",alert_message = message_long_exit)
strategy.entry('Short', strategy.short, when=short, comment='Short',alert_message = message_short_entry)
strategy.exit( "SL","Short", stop=shortStopPrice, comment = "SL Short",alert_message = message_short_exit)

方法二：用实际成交价格计算止损（更严谨） #

longLossPerc = input(title="Long Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=1) * 0.01
shortLossPerc = input(title="Short Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=1) * 0.01

var float longEntryPrice = na
var float shortEntryPrice = na

// 检测多单成交并记录实际成交价格
if (strategy.position_size > 0 and strategy.position_size[1] <= 0)
    longEntryPrice := strategy.entry_result.price
// 检测空单成交并记录实际成交价格
if (strategy.position_size < 0 and strategy.position_size[1] >= 0)
    shortEntryPrice := strategy.entry_result.price

// 基于实际成交价格计算止损
longStopPrice  = longEntryPrice * (1 - longLossPerc)
shortStopPrice = shortEntryPrice * (1 + shortLossPerc)

strategy.entry('Long', strategy.long, when=long, comment='Long',alert_message = message_long_entry)
strategy.exit( "SL","Long", stop=longStopPrice, comment = "SL Long",alert_message = message_long_exit)
strategy.entry('Short', strategy.short, when=short, comment='Short',alert_message = message_short_entry)
strategy.exit( "SL","Short", stop=shortStopPrice, comment = "SL Short",alert_message = message_short_exit)

内容的提问来源于stack exchange，提问作者WojteG