恭喜我突破2000粉，上点干货🎉。今天扭亏为盈，Happy Hunting，发完我就要去快乐的逛拼多多买买买啦，留言明天回～

```

# === 1. 指标计算 ===
bb_mid   = SMA(close, 20)
bb_std   = STD(close, 20)
bb_upper = bb_mid + 2 * bb_std
bb_lower = bb_mid - 2 * bb_std

bandwidth = (bb_upper - bb_lower) / bb_mid * 100
atr = ATR(14)

# 带宽阈值
squeeze_threshold_extreme = bandwidth_percentile(10)   # 极窄带，直接不做
squeeze_threshold_normal  = bandwidth_percentile(20)   # 普通窄带，可作为观察区间

# ATR过滤
atr_min_threshold = ATR_percentile(30)   # ATR太低说明波动太小，容易被噪音洗掉

# 百分位止盈
tp_percentile_long  = historical_positive_excursion_percentile(60)
tp_percentile_short = historical_negative_excursion_percentile(60)

# 交易冷却
cooldown_bars = 5

# 状态变量
position = NONE
last_exit_bar = -999


# === 2. 市场状态识别 ===
# 只在非极窄带时考虑交易
if bandwidth <= squeeze_threshold_extreme:
    allow_trade_regime = False
else:
    allow_trade_regime = True

# 趋势 / 震荡过滤（示意，可替换成ADX、均线斜率、高低点结构）
if abs(slope(bb_mid, 5)) < slope_threshold:
    trend_state = "RANGE"
else:
    trend_state = "TREND"


# === 3. 入场确认逻辑 ===
# 做多确认：触及下轨后出现反转
long_reversal_confirm =
    (low <= bb_lower) and
    (close > open) and
    (lower_shadow > body_size)

# 做空确认：触及上轨后出现反转
short_reversal_confirm =
    (high >= bb_upper) and
    (close < open) and
    (upper_shadow > body_size)


# === 4. 交易频率控制 ===
can_trade =
    (position == NONE) and
    (current_bar - last_exit_bar >= cooldown_bars) and
    (atr >= atr_min_threshold) and
    (allow_trade_regime == True) and
    (trend_state == "RANGE")


# === 5. 入场逻辑 ===
if can_trade:

    # 做多：下轨附近 + 反转确认
    if long_reversal_confirm:
        entry_price = close
        stop_loss   = low - 0.5 * atr

        # 分批止盈：提高单笔收益
        take_profit_1 = bb_mid
        take_profit_2 = entry_price + tp_percentile_long

        open_long()

    # 做空：上轨附近 + 反转确认
    elif short_reversal_confirm:
        entry_price = close
        stop_loss   = high + 0.5 * atr

        take_profit_1 = bb_mid
        take_profit_2 = entry_price - tp_percentile_short

        open_short()


# === 6. 持仓管理 ===
if position == LONG:

    # 第一目标：中轨，先止盈一部分
    if close >= take_profit_1 and not tp1_hit:
        close_partial(50%)
        tp1_hit = True

    # 第二目标：百分位止盈
    if close >= take_profit_2:
        close_all()
        last_exit_bar = current_bar

    # 止损
    if close <= stop_loss:
        close_all()
        last_exit_bar = current_bar


if position == SHORT:

    if close <= take_profit_1 and not tp1_hit:
        close_partial(50%)
        tp1_hit = True

    if close <= take_profit_2:
        close_all()
        last_exit_bar = current_bar

    if close >= stop_loss:
        close_all()
        last_exit_bar = current_bar


# === 7. 风险控制 ===
# 连续亏损后暂停交易，避免噪音环境连续打脸
if consecutive_losses >= 3:
    suspend_trading_for(20 bars)
```

```
# =========================================
# 新增优化1：提升盈亏比（分批止盈 + 扩展利润）
# =========================================

# 原有中轨止盈基础上，增加远端止盈
take_profit_2 = bb_upper        # 做多：看向上轨
take_profit_2 = bb_lower        # 做空：看向下轨

take_profit_3 = entry_price + 1.5 * atr   # 做多延伸利润
take_profit_3 = entry_price - 1.5 * atr   # 做空延伸利润

# 分批止盈结构
if position == LONG:
    if close >= bb_mid and not tp1_hit:
        close_partial(30%)
        tp1_hit = True

    if close >= take_profit_2 and not tp2_hit:
        close_partial(40%)
        tp2_hit = True

    if close >= take_profit_3:
        close_all()

if position == SHORT:
    if close <= bb_mid and not tp1_hit:
        close_partial(30%)
        tp1_hit = True

    if close <= take_profit_2 and not tp2_hit:
        close_partial(40%)
        tp2_hit = True

    if close <= take_profit_3:
        close_all()


# =========================================
# 新增优化2：限制单笔最大亏损（尾部风险控制）
# =========================================

max_loss_threshold = 1.5 * atr

if position == LONG:
    if (entry_price - close) > max_loss_threshold:
        close_all()     # 强制止损

if position == SHORT:
    if (close - entry_price) > max_loss_threshold:
        close_all()


# =========================================
# 新增优化3：带宽区间过滤（只做最优区间）
# =========================================

# 带宽分段
bandwidth_low  = bandwidth_percentile(10)
bandwidth_high = bandwidth_percentile(60)

# 只允许在中等带宽交易
if bandwidth < bandwidth_low:
    allow_trade = False    # 太窄，不做

elif bandwidth > bandwidth_high:
    allow_trade = False    # 太宽，减少噪音

else:
    allow_trade = True     # 最优区间

# 在主逻辑中加入
can_trade = can_trade and allow_trade


# =========================================
# 新增优化4：过滤低收益交易（避免手续费白做）
# =========================================

min_expected_profit = fee * 3

expected_profit_long  = bb_mid - entry_price
expected_profit_short = entry_price - bb_mid

if position_signal == LONG and expected_profit_long < min_expected_profit:
    skip_trade()

if position_signal == SHORT and expected_profit_short < min_expected_profit:
    skip_trade()
```

```
先过滤掉：
- Profit Factor <= 1
- Max Drawdown > 20%
- Total Trades < 10

剩下的组合里，再按：
score = Sharpe * 0.4 + ProfitFactor * 0.3 + TotalReturn * 0.2 - MaxDrawdown * 0.1
选最优
```