AlphaTrend and Turtle Trading Strategies

This is a composite trading strategy based on the **AlphaTrend indicator** and the **Turtle Trading System**, with the following key features:

## Core Logic

### 1. **Main Trading Signal System**

- **AlphaTrend Indicator**: Constructs dynamic support and resistance lines using MFI/RSI and ATR.

- **Turtle Channels**: Uses 44-period and 20-period breakout channels.

- Generates a buy signal when the AlphaTrend line crosses above its lagging line and a sell signal when it crosses below.

### 2. **Multiple Filtering Conditions**

- **Trend Confirmation**: The ADX indicator ensures sufficient trend strength (>12).

- **Volatility Filtering**: Donchian width + ATR ensures sufficient price volatility.

- **Volume Filtering**: Volume must exceed 1.3 times the moving average.

- **RSI Filtering**: Avoid opening positions in overbought (RSI>70) or oversold (RSI<30) areas.

### 3. **Position Management**

- **Risk Control**: Single trade risk 1%, maximum position 36%

- **Stop-Loss Settings**: 2% percentage stop-loss (ATR stop-loss optional but off by default)

- **Dynamic Position Calculation**: Calculates position size based on stop-loss distance and account funds

### 4. **Averaging Down Mechanism**

- **Signal Consistency Averaging Down**: Averaging down when the Turtle system issues a signal in the same direction during the holding period.

- **Averaging Down Per Trade**: Calculates the averaging down amount using the same risk amount.

### 5. **Stop-Loss Reversal**

- **Turtle Risk Control Stop-Loss**: When the held position breaks through the Turtle exit line in the opposite direction.

- **Double Reversal**: Immediately reverses the position after a stop-loss, doubling the original position size.

## Feature Summary

1. **Trend Following**: Primarily captures medium- to long-term trends.

2. **Multiple Confirmations**: Ensures signal quality.

3. **Strict Risk Control**: Comprehensive stop-loss and position management.

4. **Averaging Down Strategy**: Increases profits when the trend continues.

5. **Reversal Mechanism:** Quickly reverses direction, reducing losses during sideways trading.

6. **Data:** Backtesting on a 4-hour chart, profit factor 4.86, profitable trades 63.64%, annualized return 60%, maximum backtest 23.6%.

This is a relatively complex quantitative strategy, suitable for operation in market environments with clear trends. It reduces false signals through multiple filters, while optimizing the profit/loss ratio through position averaging and reversal mechanisms.