Strategi perdagangan kuantitatif berdasarkan indikator Ichimoku dan ADX
Penulis:ChaoZhang, Tanggal: 2024-01-23 11:14:54Tag:
Gambaran umum
Strategi ini menggabungkan indikator Ichimoku Cloud dan ADX (Average Directional Index) untuk mengidentifikasi tren dan level support & resistance utama untuk sinyal masuk dan keluar pasar.
Mekanisme Strategi
Awan Ichimoku berisi 3 rata-rata bergerak dari Garis Tenkan, Garis Kijun dan Garis Chikou. Sinyal beli dihasilkan ketika harga pecah di atas Garis Tenkan dan Garis Kijun; Sinyal jual dihasilkan ketika harga pecah di bawah dua garis.
ADX digunakan untuk menentukan kekuatan tren harga. Pembacaan +DI dan -DI yang lebih tinggi menunjukkan pasar yang sedang tren; ketika dua garis konvergen, pasar yang terikat rentang didefinisikan. Strategi hanya memulai posisi pada pembacaan ADX di atas 20 untuk menghindari whipsaws selama pasar sampingan.
Dengan menggabungkan penentuan tren Ichimoku dan penyaringan ADX, strategi ini efektif dalam mengidentifikasi periode volatilitas harga yang tinggi.
Keuntungan
- Kombinasi sinyal memberikan konfirmasi yang lebih andal
- Filter ADX menghindari perdagangan yang salah selama periode non-trending
- Kinerja backtest yang baik dengan profil risiko dan pengembalian yang tinggi
Analisis Risiko
- Lebih cocok untuk saham tren; sinyal yang kurang sering di pasar range bound
- Ichimoku memiliki lag bawaan dan mungkin melewatkan pola pembalikan cepat
- Determinasi lingkungan non-trend yang tidak sempurna oleh ADX
Ruang Lingkup Optimalisasi
- Uji kombinasi parameter yang berbeda seperti periode Tenkan, Kijun
- Menggabungkan indikator lain, misalnya MACD, KD dll, untuk peningkatan lebih lanjut
- Memeriksa logika penyaringan ADX yang berbeda dan nilai ambang
Ringkasan
Strategi ini secara efektif menggabungkan Ichimoku dan ADX untuk menangkap pasar tren. Dengan penyetelan lebih lanjut dari parameter dan aturan, kinerja backtest dan live yang lebih baik dapat dicapai.
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-10 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title="Ichimoku + ADX", shorttitle="Ichimoku & ADX Backtest", overlay=true)
//------------------------------
//------------------------------
// ICHIMOKU
//------------------------------
//------------------------------
conversionPeriods = input(9, minval=1, title="Conversion Line Periods"),
basePeriods = input(26, minval=1, title="Base Line Periods")
laggingSpan2Periods = input(52, minval=1, title="Lagging Span 2 Periods"),
displacement = input(26, minval=1, title="Displacement")
donchian(len) => avg(lowest(len), highest(len))
Tenkan = donchian(conversionPeriods)
Kijun = donchian(basePeriods)
SSA = avg(Tenkan, Kijun)
SSB = donchian(laggingSpan2Periods)
SSAdisp = SSA[displacement]
SSBdisp = SSB[displacement]
// Plot Ichimoku
// --------------------
plot(Tenkan, color=color.red, title="Tenkan")
plot(Kijun, color=color.blue, title="Kijun")
plot(close, offset = -displacement + 1, color=#459915, title="Chikou")
p1 = plot(SSA, offset = displacement - 1, color=color.green,
title="Senkou A")
p2 = plot(SSB, offset = displacement - 1, color=color.red,
title="Senkou B")
fill(p1, p2, color = SSA > SSB ? color.green : color.red)
//------------------------------
//------------------------------
// ADX
//------------------------------
//------------------------------
adxlen = input(14, title="ADX Smoothing")
dilen = input(14, title="DI Length")
keyLevel = input(23, title="key level for ADX")
dirmov(len) =>
up = change(high)
down = -change(low)
truerange = rma(tr, len)
plus = fixnan(100 * rma(up > down and up > 0 ? up : 0, len) / truerange)
minus = fixnan(100 * rma(down > up and down > 0 ? down : 0, len) / truerange)
[plus, minus]
adx(dilen, adxlen) =>
[plus, minus] = dirmov(dilen)
sum = plus + minus
adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
[adx, plus, minus]
[sig, up, down] = adx(dilen, adxlen)
// Plot ADX
// --------------------
//plot(sig, color=color.black, title="ADX")
//plot(up, color=color.green, title="+DI",linewidth=2, style=plot.style_columns, transp=40)
//plot(down, color=color.red, title="-DI",linewidth=2, style=plot.style_columns, transp=40)
//plot(keyLevel, color=color.white, title="Key Level")
//------------------------------
//------------------------------
// STRATEGY
//------------------------------
//------------------------------
// Buy & Sell Signals
// --------------------
// ADX
ABuy1 = up > keyLevel and up - down >5 and sig > down and sig < keyLevel * 2
ASell1 = down > keyLevel and down - up >5 and sig > up and sig < keyLevel * 2
// ICHIMOKU
Bull = close >= max(SSAdisp, SSBdisp)
Bear = close <= min(SSAdisp, SSBdisp)
// 1. Bull
Buy1 = (close >= max(SSAdisp, SSBdisp)) ? 1 : 0
Buy2 = (Tenkan - Kijun >= 0.001) ? 1 : 0
Buy3 = SSA > SSB ? 1 : 0
Buy4 = sig > 20 ? 1 : 0
Buy4a = close - close[displacement] >=0.001 ? 1:0
Buy5 = Buy1 and Buy2 and Buy3 and Buy4 and Buy4a and not(Buy1[1] and Buy2[1] and Buy3[1])
// 1. Bear
Sell1 = (close <= min(SSAdisp, SSBdisp)) ? 1 : 0
Sell2 = (Kijun - Tenkan >= 0.001) ? 1 : 0
Sell3 = SSA < SSB ? 1 : 0
Sell4 = sig > 20 ? 1 : 0
Sell4a = close <= close[displacement]
Sell5 = Sell1 and Sell2 and Sell3 and Sell4 and Sell4a and not(Sell1[1] and Sell2[1] and Sell3[1])
// CONSOLIDATED
buysignal = Buy5
buyexitsignal = crossunder(close,Kijun)
sellsignal = Sell5
sellexitsignal = crossover(close,Kijun)
longCondition = buysignal
shortCondition = sellsignal
// Plot Indicators
// --------------------
// ----- Buy & Sell
//plotshape(longCondition, title = "Buy Signal", text ="BUY", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.belowbar, color = #1B8112, transp = 0)
//plotshape(shortCondition, title = "Short Signal", text ="SHORT", textcolor =#FFFFFF , style=shape.labeldown, size = size.tiny, location=location.abovebar, color = #000000, transp = 0)
// ----- Ichimoku Signals
//plotshape(Sell2, title = "Sell Signal", text ="Kumo Twist", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.top, color = color.black, transp = 0)
//plotshape(Sell3, title = "Sell Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.bottom, color = color.black, transp = 0)
//plotshape(Buy4, title = "Buy Signal", text ="Kumo Twist", textcolor =#FFFFFF , style=shape.diamond, size = size.tiny, location=location.belowbar, color = color.blue, transp = 0)
//plotshape(Buy3, title = "Buy Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.circle, size = size.tiny, location=location.abovebar, color = color.green, transp = 0)
//plotshape(Buy4, title = "Buy Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.circle, size = size.tiny, location=location.belowbar, color = color.red, transp = 0)
//plotshape(buyexitsignal, title = "Buy Exit", style=shape.triangledown, size = size.tiny, location=location.abovebar, color = color.green, transp = 0)
//plotshape(sellexitsignal, title = "Buy Exit", style=shape.triangleup, size = size.tiny, location=location.belowbar, color = color.black, transp = 0)
//------------------------------
//------------------------------
// EXECUTION
//------------------------------
//------------------------------
// Test Range
// --------------------
// === INPUT BACKTEST RANGE ===
FromMonth = input(defval = 2, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear = input(defval = 2015, title = "From Year", minval = 2017)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear = input(defval = 9999, title = "To Year", minval = 2017)
// === FUNCTION EXAMPLE ===
start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
window() => true // create function "within window of time"
// Orders
// --------------------
if longCondition
strategy.entry("Buy", strategy.long, when=window())
if buyexitsignal
strategy.close("Buy")
if shortCondition
strategy.entry("Sell", strategy.short, when=window())
if sellexitsignal
strategy.close("Sell")
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