TradingView SMA交叉策略Pine Script v5回测无结果求助

问题原因 #

• 平仓订单ID不匹配：你调用strategy.entry()创建的多头订单ID为buy，但平仓时strategy.close()指定关闭ID为sell的订单，系统无法找到对应持仓，无法完成平仓逻辑。
• 限价单无法成交：入场逻辑设置limit=close[1]，以上一根K线收盘价作为挂单价，若当前K线价格高于该值，限价单不会成交，绝大多数行情下都无法成功开仓。
• 止盈计算空值异常：空仓时strategy.position_avg_price返回空值na，计算出的longTakeProfit也为空，导致平仓判断逻辑失效。
• 若回测标的在所选时间区间内不满足ma2>ma3 and ma3>ma4的多头排列条件，也不会触发入场信号。

修正后代码 #

//@version=5
strategy(shorttitle='Long on MA Crossover',title='Long Strategy with MA Crossover', overlay=true, initial_capital = 20000, currency = currency.USD, process_orders_on_close=true, default_qty_type = strategy.cash, default_qty_value = 20000, commission_type=strategy.commission.percent, commission_value=0.075)


//Backtest dates
fromMonth = input.int(defval = 1,    title = "From Month",  minval = 1, maxval = 12)
fromDay   = input.int(defval = 1,    title = "From Day",    minval = 1, maxval = 31)
fromYear  = input.int(defval = 2019, title = "From Year",   minval = 1970)
thruMonth = input.int(defval = 1,    title = "Thru Month",  minval = 1, maxval = 12)
thruDay   = input.int(defval = 1,    title = "Thru Day",    minval = 1, maxval = 31)
thruYear  = input.int(defval = 2112, title = "Thru Year",   minval = 1970)

showDate  = input.bool(defval = true, title = "Show Date Range")

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => time >= start and time <= finish ? true : false       // create function "within window of time"

len1 = input.int(9, minval=1, title="MA1")
len2 = input.int(50, minval=1, title="MA2")
len3 = input.int(100, minval=1, title="MA3")
len4 = input.int(200, minval=1, title="MA4")

ma1 = ta.sma(close, len1)
ma2 = ta.sma(close, len2)
ma3 = ta.sma(close, len3)
ma4 = ta.sma(close, len4)

Take_profit= ((input (3))/100)

// 持仓时才计算止盈价
longTakeProfit = strategy.position_size > 0 ? strategy.position_avg_price * (1 + Take_profit) : na

closeLong = (strategy.position_size > 0 and close > longTakeProfit) or ta.crossover(ma2,ma1)

//Entry 移除limit参数改为市价成交，或根据需求调整限价逻辑
strategy.entry("buy", strategy.long, when = ta.crossover(ma1,ma2) and ma2 > ma3 and ma3 > ma4 and window())

//Exit 修正平仓订单ID为buy
strategy.close("buy", when = closeLong and window())

内容的提问来源于stack exchange，提问作者Sunil Doddapaneni