ChaoZhang
概述
这是一个基于Ichimoku Kinko Hyo指标的只做多头的股票交易策略。该策略利用一目均衡的基本原理来判断入市和出市时机。
策略原理
该策略首先计算一目均衡的组成元素,包括天玑线(Tenkan-Sen)、基准线(Kijun-Sen)、先行线(Senkou Span A)和延迟线(Senkou Span B)。
当满足以下条件时,做多入市: - 天玑线上穿基准线,表明短期均线上穿长期均线,属于金叉信号 - 价格上穿云图,表明股价取得支持,开始上涨 - 未来的云图呈红色,表明未来趋势向上 - 价格距离天玑线小于2倍ATR,表明价格不虚高,符合追涨策略 - 价格距离基准线小于3倍ATR,表明价格不虚高,符合追涨策略 - 天玑线和基准线都在云图之上,表明一目均衡趋势向上
当满足以下条件时,平仓出场: - 天玑线下穿基准线,表明短期均线下穿长期均线,属于死叉信号 - 价格跌破云图,表明股价失去支持 - 或者盈利超过30%,遵循止盈策略 - 或者亏损超过3%,遵循止损策略
优势分析
- 利用一目均衡指标判断股价趋势,准确率较高
- 结合ATR来控制追涨止跌,避免超买超卖
- 同时判断多种信号,避免假信号
- 补仓策略可以加速盈利
风险分析
- 一目均衡信号可能滞后,需要结合其他指标判断
- 错误的ATR参数设置可能导致超买超卖
- 补仓策略可能加大亏损风险
- 需要人工确定参数,不同股票参数不同
优化方向
- 可以结合MACD、KDJ等其他指标来确认信号
- 可以加大止盈幅度,缩小止损幅度
- 可以根据历史数据自动优化ATR参数
- 可以研究不同行业股票的参数区别,建立参数池
总结
这是一个非常实用的股票交易策略,利用一目均衡判断趋势,ATR控制风险,以追涨止跌的方法来获利。该策略优势明显,经过参数优化和组合指标优化后,效果会更好,适合用于实盘交易。
策略源码
/*backtest
start: 2022-12-05 00:00:00
end: 2023-12-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// Author Obarut
//@version=5
strategy("İchimoku Strategy With Money Management",overlay=true)
//Inputs
ts_period = input.int(9, minval=1, title="Tenkan-Sen Period")
ks_period = input.int(26, minval=1, title="Kijun-Sen Period")
ssb_period = input.int(52, minval=1, title="Senkou-Span B Period")
cs_offset = input.int(26, minval=1, title="Chikou-Span Offset")
ss_offset = input.int(26, minval=1, title="Senkou-Span Offset")
// Back Testing Period
fromday = input.int(defval=1,title="Start Date",minval=1,maxval=31)
frommonth = input.int(defval=1,title="Start Month",minval=1,maxval=12)
fromyear = input.int(defval=1980,title="Start Year",minval=1800, maxval=2100)
today = input.int(defval=1,title="En Date",minval=1,maxval=31)
tomonth = input.int(defval=1,title="End Month",minval=1,maxval=12)
toyear =input.int(defval=2100,title="End Year",minval=1800,maxval=2200)
start=timestamp(fromyear,frommonth,fromday,00,00)
finish=timestamp(toyear,tomonth,today,00,00)
timewindow= time>=start and time<=finish
middle(len) => math.avg(ta.lowest(len), ta.highest(len))
// Ichimoku Components
tenkan = middle(ts_period)
kijun = middle(ks_period)
senkouA = math.avg(tenkan, kijun)
senkouB = middle(ssb_period)
atr = ta.atr(14)
ss_above = math.max(senkouA[ss_offset-1], senkouB[ss_offset-1])
ss_below = math.min(senkouA[ss_offset-1], senkouB[ss_offset-1])
// Price Distance From Tenkan
distance = close - tenkan
// Price Distance from Kijun
distancek = close - kijun
// Entry/Exit Signals
tk_cross_kijun_bull = tenkan >= kijun
tk_cross_kijun_bear = tenkan <= kijun
cs_cross_bull = ta.mom(close, cs_offset-1) > 0
cs_cross_bear = ta.mom(close, cs_offset-1) < 0
price_above_kumo = close > ss_above
pbsenkA = close < ss_above
pasenkB = close > ss_below
price_below_kumo = close < ss_above
future_kumo_bull = senkouA > senkouB
future_kumo_bear = senkouA < senkouB
// Price Distance From Tenken
disbull = distance < 2*atr
//Price Distance From Kijun
disbullk = distancek < 3*atr
//Price Above Tenkan Condition
patk = close > tenkan
// Kijun Above Senkou Span Condition
kjasenkA = kijun > ss_above
// Price Below Kijun Condition
pbkijun = close < kijun
//Bullish Condition
bullish= tk_cross_kijun_bull and cs_cross_bull and price_above_kumo and future_kumo_bull and patk and disbull and disbullk
and (tenkan>ss_above) and (kijun>ss_above)
if(bullish and timewindow )
strategy.entry("Long Entry", strategy.long)
// Bearish Condition
bearish=tk_cross_kijun_bear and pbsenkA and cs_cross_bear
or pbkijun or price_below_kumo
lastentryprice = strategy.opentrades.entry_price(strategy.opentrades - 1)
// Take Profit or Stop Loss in Bearish
if(bearish and timewindow or (close>1.30*lastentryprice and close<kijun ) or (close< 0.93*lastentryprice))
strategy.close("Long Entry")
if(time>finish)
strategy.close_all("time up")
plot(tenkan, color=#0496ff, title="Tenkan-Sen")
plot(kijun, color=#991515, title="Kijun-Sen")
plot(close, offset=-cs_offset+1, color=#2e640e, title="Chikou-Span")
sa=plot(senkouA, offset=ss_offset-1, color=color.rgb(17, 122, 21), title="Senkou-Span A")
sb=plot(senkouB, offset=ss_offset-1, color=color.rgb(88, 8, 8), title="Senkou-Span B")
fill(sa, sb, color = senkouA > senkouB ? color.rgb(198, 234, 198) : color.rgb(208, 153, 153), title="Cloud color")