ID-110-成交量能量潮OBV变异策略

{=================== 成交量能量潮OBV变异策略 ===================}
{作者：QClaw 自动化公式研究系统}
{日期：2026-06-09}
{ID：ID-110}

{=================== 参数设置 ===================}
N1 := 12; {短期OBV均线}
N2 := 26; {长期OBV均线}
VOL_WEIGHT := 1.5; {成交量权重}

{=================== OBV计算（经典） ===================}
{当日OBV = 前日OBV + 当日成交量（若上涨）或 - 当日成交量（若下跌）}
OBV_TODAY := IF(CLOSE > REF(CLOSE, 1), VOL, IF(CLOSE < REF(CLOSE, 1), -VOL, 0));
OBV := SUM(OBV_TODAY, 0);

{=================== OBV变异计算（改进版） ===================}
{改进1：考虑价格变化幅度（不仅是涨跌方向）}
PRICE_CHANGE_RATE := (CLOSE - REF(CLOSE, 1)) / REF(CLOSE, 1) * 100;
WEIGHTED_OBV := SUM(IF(PRICE_CHANGE_RATE > 0, VOL * (1 + PRICE_CHANGE_RATE * 0.1), 
                      IF(PRICE_CHANGE_RATE < 0, -VOL * (1 + ABS(PRICE_CHANGE_RATE) * 0.1), 0)), 0);

{改进2：成交量加权的OBV（放量时权重更大）}
VOL_MA := MA(VOL, 20);
VOL_RATIO := VOL / REF(VOL_MA, 1);
WEIGHTED_OBV2 := SUM(IF(CLOSE > REF(CLOSE, 1), VOL * VOL_RATIO, 
                       IF(CLOSE < REF(CLOSE, 1), -VOL * VOL_RATIO, 0)), 0);

{=================== OBV均线系统 ===================}
OBV_MA_SHORT := MA(OBV, N1);
OBV_MA_LONG := MA(OBV, N2);
WOBV_MA_SHORT := MA(WEIGHTED_OBV, N1);
WOBV_MA_LONG := MA(WEIGHTED_OBV, N2);

{=================== 信号生成 ===================}
{信号1：OBV上穿其均线（资金流入）}
OBV_CROSS_UP := CROSS(OBV, OBV_MA_SHORT);

{信号2：加权OBV上穿其均线（放量确认）}
WOBV_CROSS_UP := CROSS(WEIGHTED_OBV, WOBV_MA_SHORT);

{信号3：OBV均线金叉}
OBV_MA_GOLDEN := CROSS(OBV_MA_SHORT, OBV_MA_LONG);

{信号4：价格与OBV背离（底背离买入）}
{价格创新低，但OBV未创新低}
PRICE_LOW := LOW < REF(LOW, 20);
OBV_NOT_LOW := OBV > REF(OBV, 20);
BOTTOM_DIVERGENCE := PRICE_LOW AND OBV_NOT_LOW;

{=================== 综合买入信号 ===================}
{条件：OBV金叉 或 （加权OBV金叉 且 成交量放大）}
BUY_SIGNAL := (OBV_CROSS_UP OR OBV_MA_GOLDEN) AND VOL > VOL_MA * 1.2;

{改进买入信号：加入底背离确认}
BUY_SIGNAL2 := BUY_SIGNAL OR (BOTTOM_DIVERGENCE AND CROSS(OBV, OBV_MA_SHORT));

{=================== 卖出信号 ===================}
{信号：OBV下穿其均线 或 OBV均线死叉}
SELL_SIGNAL := CROSS(OBV_MA_SHORT, OBV) OR CROSS(OBV_MA_LONG, OBV_MA_SHORT);

{顶背离卖出（价格创新高，OBV未创新高）}
PRICE_HIGH := HIGH > REF(HIGH, 20);
OBV_NOT_HIGH := OBV < REF(OBV, 20);
TOP_DIVERGENCE := PRICE_HIGH AND OBV_NOT_HIGH;

SELL_SIGNAL2 := SELL_SIGNAL OR TOP_DIVERGENCE;

{=================== 输出显示 ===================}
OBV, COLORWHITE, LINETHICK2;
OBV_MA_SHORT, COLORYELLOW, LINETHICK1;
OBV_MA_LONG, COLORTGREEN, LINETHICK1;
WEIGHTED_OBV, COLORMAGENTA, LINETHICK1;

DRAWTEXT(BUY_SIGNAL2, LOW * 0.98, '买'), COLTGREEN;
DRAWTEXT(SELL_SIGNAL2, HIGH * 1.02, '卖'), COLORRED;

{=================== 成交量确认 ===================}
VOL, COLORTGRAY, LINETHICK1;
VOL_MA, COLORTGRAY, LINETHICK1;

{=================== 结束 ===================}
{================== 风险提示（修复R04） ==================}
{1. 本公式仅供参考，不构成投资建议}
{2. 任何策略在极端行情下都可能失效}
{3. 建议组合使用，单一策略风险较高}
{4. 历史回测不代表未来收益}
{5. 实际使用需结合市场环境和其他指标}
{6. 投资有风险，入市需谨慎}
{================== 回测数据（修复R07） ==================}
{待真实回测验证 — 回测参数：沪深300成分股，2023-01-01至今，持有周期10日}
{预计胜率：待验证}
{预计总收益率：待验证}
{预计最大回撤：待验证}
{夏普比率：待验证}
{交易次数：待验证}