ChaoZhang
概述
本策略名称为“Ichimoku Kinko Hyo Strategy”,即一目均线系统策略。它是一个以一目均线为基础,结合其他技术指标的BTC交易策略。
策略原理
该策略主要基于一目均线系统,这是一套综合多种技术指标的趋势交易策略体系。主要包含以下指标:
基准线(Kijun Sen):代表市场趋势方向,是过去26天高点和低点的中点,可作为支持和阻力线。当收盘价突破基准线时,产生买入和卖出信号。
转换线(Tenkan Sen):代表股价的动量,是过去9天高点和低点的中点,可用来判断买入卖出的时机。
未来SPAN A:代表一目均线的中期线,是基准线和转换线的平均值,可作为一目均线的警戒线。
未来SPAN B:代表长期趋势线,是过去52天的中点,可构成云图,判断长短期趋势。
除此之外,该策略还结合RSI指标,在超买超卖区域发出交易信号。
当收盘价突破基准线,并且位于云图之上时产生买入信号;而当收盘价跌破基准线,并且位于云图之下时产生卖出信号。
策略优势
一目均线系统判断趋势准确,胜率较高
结合多种指标,避免错失机会
RSI指标可有效判断反转点
云图直观显示长短期趋势
风险分析
一目均线系统较为滞后,需要配合其他指标判断
趋势市场效果好,但震荡市场表现一般
RSI参数设置需要根据市场调整
云图构造较复杂,需熟练运用
可以通过调整一目均线参数,或结合更多技术指标优化。
优化方向
优化一目均线的参数,使其能更快判断趋势
增加移动平均线等指标,提高信号准确性
根据不同市场调整RSI的参数设置
可以考虑加入止损机制,控制风险
总结
该策略综合运用一目均线、RSI等多个指标judgment趋势,在判断上升趋势准确性较高。但一目均线系统较为滞后,无法判断震荡,这是该策略的主要风险。通过优化参数设置,或增加其他指标可以很好弥补这一缺陷,使策略更加稳定可靠。
策略源码
/*backtest
start: 2022-12-13 00:00:00
end: 2023-12-19 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy("My Ichimoku Strat v2", overlay=true,default_qty_type=strategy.fixed, default_qty_value=1, initial_capital=1000, currency=currency.EUR,commission_type=strategy.commission.percent,commission_value=0.05)
// === BACKTEST RANGE ===
FromMonth = input(defval = 3, title = "From Month", minval = 1)
FromDay = input(defval = 1, title = "From Day", minval = 1)
FromYear = input(defval = 2018, title = "From Year", minval = 2014)
ToMonth = input(defval = 1, title = "To Month", minval = 1)
ToDay = input(defval = 1, title = "To Day", minval = 1)
ToYear = input(defval = 9999, title = "To Year", minval = 2014)
// === SERIES SETUP ===
//**** Inputs *******
KijunSenLag = input(6,title="KijunSen Lag",minval=1)
//Kijun-sen
//Support resistance line, buy signal when price crosses it
KijunSen = sma((high+low)/2,26)
buy2 = crossover(close,KijunSen) and (rising(KijunSen,KijunSenLag) or falling(KijunSen,KijunSenLag))
sell2= crossunder(close,KijunSen) and (rising(KijunSen,KijunSenLag) or falling(KijunSen,KijunSenLag))
//Tenkan-Sen
TenkanSen = sma((high+low)/2,9)
//Senkou Span A
SenkouSpanA = (KijunSen + TenkanSen)/2
//Senkou Span B
SenkouSpanB = sma((high+low)/2,52)
//Cloud conditions : ignore buy if price is under the cloud
// Huge cloud means safe support and resistance. Little cloud means danger.
buy3 = close > SenkouSpanA and close > SenkouSpanB
sell3 = close < SenkouSpanA and close < SenkouSpanB
//Chikou Span
//Buy signal : crossover(ChikouSpan,close)
//Sell Signal : crossunder(ChikouSpan,close)
ChikouSpan = close
buy1=crossover(ChikouSpan,close[26])
sell1=crossunder(ChikouSpan,close[26])
plotshape(buy1,style=shape.diamond,color=lime,size=size.small)
plotshape(sell1,style=shape.diamond,color=orange,size=size.small)
//Alerts
buyCompteur = -1
buyCompteur := nz(buyCompteur[1],-1)
buyCompteur := buy2 or buy3 ? 1 : buyCompteur
buyCompteur := buyCompteur > 0 ? buyCompteur + 1 : buyCompteur
buyCompteur := sell2 or sell3 ? -1 : buyCompteur
sellCompteur = -1
sellCompteur := nz(sellCompteur[1],-1)
sellCompteur := sell2 or sell3 ? 1 : sellCompteur
sellCompteur := sellCompteur > 0 ? sellCompteur + 1 : sellCompteur
sellCompteur := buy2 or buy3 ? -1 : sellCompteur
//RSI
src = close, len = input(14, minval=1, title="RSI Length")
up = rma(max(change(src), 0), len)
down = rma(-min(change(src), 0), len)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
buyRSI = crossover(rsi,40) and close > TenkanSen and rsi[5]<30 and (rsi-rsi[1])>5
sellRSI = crossunder(rsi,60) and close < TenkanSen and rsi[5]>70 and (rsi[1]-rsi)>5
plotshape(buyRSI,style=shape.triangleup,color=lime,transp=0,location=location.belowbar,size=size.small)
sell= sell2 and sell3 or (sell1 and buyCompteur <= 8) or sellRSI
buy=buy2 and buy3 or (buy1 and sellCompteur <=8) or buyRSI
plotchar(buy,char='B',size=size.small,color=lime)
plotchar(sell,char='S',size=size.small,color=orange)
//plots
plot(KijunSen,title="Kijun-Sen",color=blue,linewidth=4)
plot(TenkanSen,title="Tenkan-Sen",color=red,linewidth=2)
cloudA = plot(SenkouSpanA,title="cloud A", color=lime,offset=26,linewidth=2)
cloudB = plot(SenkouSpanB,title="cloud B", color=orange,offset=26,linewidth=2)
plot(ChikouSpan,title="lag span",color=fuchsia, linewidth=2,offset=-26)
//plot()
fill(cloudA,cloudB,color=SenkouSpanA>SenkouSpanB?lime:orange)
//plot(close,color=silver,linewidth=4)
// === ALERTS ===
strategy.entry("L", strategy.long, when=(buy and (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))))
strategy.close("L", when=(sell and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))))