Trend following swing

Strategy: Trend-Following Swing (波段)

This strategy is designed to identify and capitalize on potential swing movements within a prevailing trend. It combines multiple technical indicators to generate entry signals with an emphasis on momentum, trend strength, and a defined trading window.

Core Logic:

Momentum Identification (RMI): A custom Relative Momentum Index (RMI) is calculated by averaging a standard RSI and the Money Flow Index (MFI). This hybrid oscillator aims to gauge momentum strength more robustly.

A Long (Buy) signal is generated when the RMI crosses above a user-defined upper threshold (e.g., 66) while also being above a lower threshold and accompanied by a rising short-term EMA.

A Short (Sell) signal is generated when the RMI is below a user-defined lower threshold (e.g., 30) accompanied by a declining short-term EMA.

Trend Strength Filter (ADX): To ensure entries align with stronger trends, signals are only executed if the Average Directional Index (ADX) is above a specified level (e.g., 25), indicating a non-range-bound market.

Time Filter: Trading is restricted to a specific session window each day (e.g., 09:30 to 16:00) to focus on the most active or favorable market hours and potentially avoid off-hours volatility.

Dynamic Position Sizing & Visualization: The strategy incorporates a unique volatility-based band (Band) calculated from the Average True Range (ATR). This band, along with a Range-Weighted Moving Average (RWMA), is plotted on the chart. The visual fills and candle colors change (e.g., Bullish: Cyan, Bearish: Red) based on the active signal, providing a clear graphical representation of the current market bias and expected price range.

Risk Management - Auto-Exit: All open positions are automatically closed at a specified time each day (e.g., 16:10), enforcing a disciplined exit and preventing overnight risk.

In summary, this is a systematic trend-following swing trading strategy that uses momentum confirmation (RMI), trend strength filtering (ADX), time-based execution, and automated session-end risk closure. 本策略是一个旨在捕捉市场趋势中的波段机会的自动化交易系统。它通过结合动量指标、趋势强度过滤器和时间窗口管理，来识别高概率的交易入场点，并辅以独特的可视化工具和严格的日内风险控制。

核心逻辑与组成部分：

动量信号生成 (核心)：

使用一个自定义的相对动量指数 (RMI)，该指数由标准RSI和资金流量指数 (MFI) 平均计算而成，能更全面地衡量市场动量。

做多信号 (Buy)： 当RMI从下方穿越用户设定的上限（默认66）且高于下限，同时短期EMA均线开始上扬时产生。

做空信号 (Sell)： 当RMI低于用户设定的下限（默认30）且短期EMA均线开始下降时产生。

趋势强度过滤 (ADX过滤器)：

引入了平均方向指数 (ADX) 作为趋势强度的过滤器。

只有当ADX值高于预设水平（默认25）时，产生的交易信号才会被执行。这确保了策略只在市场趋势明确、有足够力度的环境中开仓，有效避免在震荡市中频繁交易。

交易时间窗口：

策略可以限定在每天的特定时间段内进行交易（例如默认：09:30 - 16:00）。这有助于聚焦于市场流动性最强、趋势最明显的时段，规避开盘初期和盘后的异常波动。

动态波段与可视化：

策略基于平均真实波幅 (ATR) 计算出一个动态的波动率带宽 (Band)。

结合范围加权移动平均线 (RWMA)，在主图上绘制出可视化的通道区域。该通道会根据当前信号方向（多头/空头）改变颜色（默认多头为青色，空头为红色），直观地展示当前的趋势方向、预期波动范围以及持仓状态。

风险管理与自动离场：

策略内置严格的定时平仓机制。所有持仓会在每个交易日的指定时间（例如16:10）被自动平仓，强制实现日内了结，有效规避隔夜跳空风险，符合波段交易的纪律性要求。

策略总结：

该“趋势跟随波段策略”是一个集信号生成、趋势过滤、时间管理和可视化于一体的综合性交易系统。它通过多条件确认来提高信号质量，并强调严格的日内风险控制，旨在通过跟随市场主流趋势进行波段操作，实现稳健的收益。