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Автор:Чао Чжан, Дата: 2024-01-23 11:14:54
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Обзор

Механизм стратегии

Преимущества

Сочетание сигналов обеспечивает более надежное подтверждение
ADX-фильтр позволяет избежать неправильных сделок в периоды, не характеризующиеся трендом
Хорошие результаты обратных испытаний с высоким уровнем риска и доходности

Анализ рисков

Лучше подходит для акций с тенденцией; менее частые сигналы на рынке с ограниченным диапазоном
Ичимоку имеет врожденную задержку и может пропустить быстрые изменения
Недостаточное определение не трендовой среды ADX

Объем оптимизации

Проверьте различные комбинации параметров, такие как периоды Тенкан, Киджун
Проверить различные логики фильтрации ADX и пороговые значения

Резюме

/*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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