如何实现Take Profit触发后仍可按条件开新单的Pine Script策略优化

需求说明 #

我用Pine Script编写了VortexStrategyEMA策略，已配置止盈和止损规则，当前在SOLUSDT 30分钟周期测试。需要实现：当止盈触发平仓后，若多/空开仓条件仍满足，允许策略开立新单再次获取止盈。

原始策略代码 #

//@version=5
strategy("VortexStrategyEMA", overlay=true,  initial_capital = 1000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

AlerteBuy = input("Alerte BUY")
AlerteSell = input("Alerte SELL")
AlerteCloseBuy = input("Alerte CLOSE BUY")
AlerteCloseSell = input("Alerte CLOSE SELL")

//EMA
longer = ta.ema(close, 100)
longest = ta.ema(close, 200)
plot(longer, title="EMA100", color=#2962FF)
plot(longest,title="EMA200", color=#E91E63)
emahigh = ta.ema(high,14)
emalow = ta.ema(low,14)

//Vortex 
period_ = input.int(200, title="Length", minval=2)
VMP = math.sum( math.abs( emahigh - emalow[1]), period_ )
VMM = math.sum( math.abs( emalow - emahigh[1]), period_ )
STR = math.sum( ta.atr(1), period_ )
VIP = VMP / STR
VIM = VMM / STR
emaVIP = ta.ema(VIP, 14)
emaVIM = ta.ema(VIM, 14)
plot(VIP, title="VI +", color=#2962FF)
plot(VIM, title="VI -", color=#E91E63)

//ConditionsLONG
EMALONG = longer > longest
VortexLONG = ta.crossover(VIP,VIM)
LONG = VortexLONG and EMALONG

//ConditionsSHORT
EMASHORT = longer < longest
VortexSHORT = ta.crossunder(VIP,VIM)
SHORT = VortexSHORT and EMASHORT

//Strategy
strategy.entry("Long", strategy.long, when=LONG, comment="Long" ,  alert_message = AlerteBuy)
strategy.entry("Short", strategy.short, when=SHORT, comment="Short" ,   alert_message = AlerteSell)

stopPer = input(5, title='Stop Loss %') / 100
takePer = input(10, title='Take Profit %') / 100

// Determine where you've entered and in what direction
shortStop = strategy.position_avg_price * (1 + stopPer)
shortTake = strategy.position_avg_price * (1 - takePer)

longStop = strategy.position_avg_price * (1 - stopPer)
longTake = strategy.position_avg_price * (1 + takePer)

if strategy.position_size < 0
    strategy.exit(id='Close Short', stop=shortStop, limit=shortTake,   alert_message = AlerteCloseSell)

if strategy.position_size > 0
    strategy.exit(id='Close Long', stop=longStop, limit=longTake, alert_message = AlerteCloseBuy)

问题分析 #

原始策略的开仓条件仅依赖ta.crossover/ta.crossunder这类一次性交叉信号，这类信号仅在交叉触发的单根K线上有效。当止盈平仓后，即使EMA趋势和VI的强弱关系仍符合开仓要求（比如多单条件：EMA100>EMA200且VIP>VIM），由于没有新的交叉信号，策略不会再次开仓。

修改后的策略代码 #

//@version=5
strategy("VortexStrategyEMA", overlay=true, initial_capital = 1000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

AlerteBuy = input("Alerte BUY")
AlerteSell = input("Alerte SELL")
AlerteCloseBuy = input("Alerte CLOSE BUY")
AlerteCloseSell = input("Alerte CLOSE SELL")

//EMA
longer = ta.ema(close, 100)
longest = ta.ema(close, 200)
plot(longer, title="EMA100", color=#2962FF)
plot(longest,title="EMA200", color=#E91E63)
emahigh = ta.ema(high,14)
emalow = ta.ema(low,14)

//Vortex 
period_ = input.int(200, title="Length", minval=2)
VMP = math.sum( math.abs( emahigh - emalow[1]), period_ )
VMM = math.sum( math.abs( emalow - emahigh[1]), period_ )
STR = math.sum( ta.atr(1), period_ )
VIP = VMP / STR
VIM = VMM / STR
emaVIP = ta.ema(VIP, 14)
emaVIM = ta.ema(VIM, 14)
plot(VIP, title="VI +", color=#2962FF)
plot(VIM, title="VI -", color=#E91E63)

//ConditionsLONG
EMALONG = longer > longest
// 跟踪当前VI的多单状态（VIP在VIM上方）
currentLongVI = VIP > VIM
// 修改开仓条件：初始交叉触发 或 无仓位且多单条件持续满足
LONG = (ta.crossover(VIP,VIM) and EMALONG) or (strategy.position_size == 0 and EMALONG and currentLongVI)

//ConditionsSHORT
EMASHORT = longer < longest
// 跟踪当前VI的空单状态（VIP在VIM下方）
currentShortVI = VIP < VIM
// 修改开仓条件：初始交叉触发 或 无仓位且空单条件持续满足
SHORT = (ta.crossunder(VIP,VIM) and EMASHORT) or (strategy.position_size == 0 and EMASHORT and currentShortVI)

//Strategy
strategy.entry("Long", strategy.long, when=LONG, comment="Long" ,  alert_message = AlerteBuy)
strategy.entry("Short", strategy.short, when=SHORT, comment="Short" ,   alert_message = AlerteSell)

stopPer = input(5, title='Stop Loss %') / 100
takePer = input(10, title='Take Profit %') / 100

// Determine where you've entered and in what direction
shortStop = strategy.position_avg_price * (1 + stopPer)
shortTake = strategy.position_avg_price * (1 - takePer)

longStop = strategy.position_avg_price * (1 - stopPer)
longTake = strategy.position_avg_price * (1 + takePer)

if strategy.position_size < 0
    strategy.exit(id='Close Short', stop=shortStop, limit=shortTake,   alert_message = AlerteCloseSell)

if strategy.position_size > 0
    strategy.exit(id='Close Long', stop=longStop, limit=longTake, alert_message = AlerteCloseBuy)

关键修改说明 #

1. 新增VI状态跟踪变量：currentLongVI和currentShortVI分别跟踪当前VIP与VIM的强弱关系，判断是否维持多/空趋势。
2. 修改开仓条件逻辑：
   • 保留原有的交叉信号作为初始开仓触发条件
   • 新增规则：当策略无仓位时，若EMA趋势和VI状态仍符合多/空要求，允许再次开仓
   • 这样在止盈平仓后，只要趋势和VI状态不变，策略就会重新开立新单，继续获取止盈收益

内容的提问来源于stack exchange，提问作者Axone