{====================================================================
 黄金二段式·ETF版 BTS-etf V21
 参数: GATE=3.5, HHUP=0.5, VT自适应(C2的40分位数, 最低0.8)
 适用: ETF(沪深主板ETF/创业板ETF/科创板ETF)
 优化依据: 5只ETF×真实K线回测, 低波ETF也能出信号
 核心差异: VT门槛从固定2.5→自适应, 让低波ETF(如沪深300/红利)也能触发买点
=====================================================================}

{===== 参数 =====}
GATE:=3.5;
HHUP:=0.5;
HHDN:=0.0;

{===== 1. 当日波动率 C2 =====}
B1:=IF(CLOSE<=OPEN,CLOSE,OPEN);
B2:=(B1-LOW)/LOW*100;
B3:=(CLOSE-REF(CLOSE,1))/REF(CLOSE,1)*100;
B4:=(OPEN-REF(CLOSE,1))/REF(CLOSE,1)*100;
B5:=(CLOSE-OPEN)/OPEN*100;
B6:=IF(CLOSE>=OPEN,CLOSE,OPEN);
B7:=(HIGH-B6)/B6*100;
B8:=B5+B7;
B9:=B5+B2;
C1:=B7+B2;
C2:=MAX(MAX(MAX(MAX(B3,B4),B5),MAX(B7,B2)),MAX(C1,MAX(B8,B9)))*1.2;
AvgVol:=MA(C2,20);

{===== 2. 档位: 非对称迟滞 =====}
UP:=AvgVol>GATE+HHUP;
DN:=AvgVol<GATE-HHDN;
BU:=BARSLAST(UP);
BD:=BARSLAST(DN);
低波档:=BU>BD OR (BU=0 AND BD=0);
高波档:=NOT(低波档);

{===== 3. 吸货线(ETF固定参数: 低波26/高波21) =====}
A1:=REF(LOW,1);
A2:=SMA(ABS(A1-LOW),3,1);
A3:=SMA(MAX(LOW-A1,0),3,1);
A4:=IF(A3>0.000001,A2/A3*100,100);
A5:=EMA(A4*10,3);
A6:=IF(低波档,LLV(LOW,26),LLV(LOW,21));
A7:=IF(低波档,HHV(A5,26),HHV(A5,21));
A8:=IF(LOW<=A6,(A5+A7*2)/2,0);
吸货线:MIN(EMA(A8,3)/618,25),COLORRED;

{===== 4. 波动线/趋势均线(ETF固定参数: 低波34/13, 高波21/11) =====}
C5:=(2*CLOSE+HIGH+LOW)/4;
C6:=IF(低波档,HHV(HIGH,34)-LLV(LOW,34),HHV(HIGH,21)-LLV(LOW,21));
RSV1:=IF(C6>0.000001,(C5-IF(低波档,LLV(LOW,34),LLV(LOW,21)))/IF(C6<=0,1,C6)*100,50);
C7:=EMA(RSV1,IF(低波档,13,11));
C8:=REF(C7,1);
C9:=EMA(0.667*C8+0.333*C7,2);
波动线:C7,COLORYELLOW,LINETHICK1;
趋势均线:C9,COLORGRAY,LINETHICK1;

{===== 5. 黄金止盈位 =====}
D1:=LLV(LOW,20);
D2:=HHV(HIGH,20);
D3:=IF(D2>D1,(CLOSE-D1)/(D2-D1),0);
黄金止盈位:=D3>=IF(低波档,0.618,0.5);

{===== 6. 买点(ETF自适应门槛) =====}
吸货确认:=吸货线>0.001 OR REF(吸货线,1)>0.001 OR REF(吸货线,2)>0.001;
趋势拐头:=CROSS(C7,C9);
{ETF自适应VT: 取C2的20日序列的40百分位, 最低0.8, 让低波ETF也能触发}
VT_RAW:=PERCENTILE(C2,20,40);
VT:=MAX(0.8,VT_RAW);
波动达标:=C2>=VT;
买点:=吸货确认 AND 趋势拐头 AND 波动达标;

{===== 7. 止盈预警T / 终卖S =====}
价新高:=HIGH=HHV(HIGH,IF(低波档,13,11)) AND REF(HIGH,1)<REF(HHV(HIGH,IF(低波档,13,11)),1);
指未新高:=C7<REF(HHV(C7,IF(低波档,13,11)),1);
顶背离:=价新高 AND 指未新高 AND C7>65;
止盈预警:=(黄金止盈位 AND 顶背离) OR (C7>IF(低波档,75,78) AND REF(C7,1)>C7);
终卖:=CROSS(C9,C7) AND C7>IF(低波档,55,50);

{===== 8. 信号标记 =====}
STICKLINE(买点,C7-2,C7+2,1.2,0),COLORGREEN;
STICKLINE(止盈预警,C7-2,C7+2,1.2,0),COLORYELLOW;
STICKLINE(终卖,C7-2,C7+2,1.2,0),COLORRED;
DRAWTEXT(买点,C7+8,'B'),COLORGREEN;
DRAWTEXT(止盈预警,C7+8,'T'),COLORYELLOW;
DRAWTEXT(终卖,C7+8,'S'),COLORRED;

{===== 9. 档位提示 =====}
DRAWTEXT_FIX(高波档 AND NOT(REF(高波档,1)),0.01,0.05,0,'切高波'),COLORWHITE;
DRAWTEXT_FIX(低波档 AND NOT(REF(低波档,1)),0.01,0.05,0,'切低波'),COLORYELLOW;