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均衡尺云图趋势跟踪策略

Author: ChaoZhang, Date: 2024-02-01 11:34:23
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/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("Ichimoku trendfollowing", overlay=true, initial_capital=1000, commission_type=strategy.commission.cash_per_order, commission_value=0.04, slippage=2)

//***************************
//  INPUT BACKTEST RANGE    *
//***************************
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2010, title = "From Year", minval = 2000) 
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 = 2000)

start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window()  => true

//***************
//*  ICHIMOKU   *
//***************
//inizializzazione parametri,,
tenkanPeriods = input(9, minval=1, title="Tenkan-Sen")
kinjunPeriods = input(26, minval=1, title="Kinjun-Sen")
senkouSpanBPeriods = input(52, minval=1, title="Senkou Span B")
displacement = input(26, minval=1, title="-ChinkouSpan/+SenkouSpan A")

//definizione Tenkan-Sen (9 Period), Kinjun-Sen (26 Period), Chinkou Span (Lagging Line)
averageHighLow(period) => avg(lowest(period), highest(period))
tenkan= averageHighLow(tenkanPeriods)
kinjun = averageHighLow(kinjunPeriods)
senkouSpanA = avg(tenkan, kinjun)
senkouSpanB = averageHighLow(senkouSpanBPeriods)

//definisco il colore della kumo in base al trend.
senkouSpan1Above = senkouSpanA >= senkouSpanB ? 1 : na
senkouSpan2Below = senkouSpanA <= senkouSpanB ? 1 : na

span1plotU = senkouSpan1Above ? senkouSpanA : na
span2plotU = senkouSpan1Above ? senkouSpanB : na
span1plotD = senkouSpan2Below ? senkouSpanA : na
span2plotD = senkouSpan2Below ? senkouSpanB : na

col = senkouSpanA >= senkouSpanB ? lime : red

//plots Ichimoku
plot(tenkan, title = 'Tenkan-Sen', linewidth=1, color=blue)
plot(kinjun, title = 'Kinjun-Sen', linewidth=1, color=red)
plot(close, title = 'Chinkou Span', linewidth=1, offset = -displacement, color=aqua)
plot( senkouSpanA, title = 'Senkou Span A', style=line, linewidth=1, offset = displacement, color=lime)
plot(senkouSpanB, title = 'Senkou Span B', style=line, linewidth=1, offset = displacement, color=red)

//Cloud Lines Plot 
p1 = plot(span1plotU ? span1plotU  : na, title = 'Senkou Span A Above Senkou Span B', style=linebr, linewidth=1, offset = displacement, color=col)
p2 = plot(span2plotU ? span2plotU  : na, title = 'Senkou Span B (52 Period) Below Span A Cloud', style=linebr, linewidth=1, offset = displacement, color=col)
p3 = plot(span1plotD ? span1plotD  : na, title = 'Senkou Span A (26 Period) Below Span B Cloud', style=linebr, linewidth=1, offset = displacement, color=col)
p4 = plot(span2plotD ? span2plotD  : na, title = 'Senkou Span B (52 Period) Above Span A Cloud', style=linebr, linewidth=1, offset = displacement, color=col)
//Fills that color cloud based on Trend.
fill(p1, p2, color=lime, transp=70, title='Kumo (Cloud)')
fill(p3, p4, color=red, transp=70, title='Kumo (Cloud)')

//***********************************************
//*     condizioni ingresso ed uscita mercato   *
//***********************************************
isKumoRialzista = senkouSpanA >= senkouSpanB ? true : false
isSopraKumo = (close > max(senkouSpanA[displacement], senkouSpanB[displacement]))
isSottoKumo = (close < min(senkouSpanA[displacement], senkouSpanB[displacement]))
isChinkouSpanSopra = high[displacement]<close
isChinkouSpanSotto = low[displacement]>close

filtroLong=isSopraKumo and isChinkouSpanSopra
filtroShort=isSottoKumo and isChinkouSpanSotto

//rimbalzato su kijun quando i prezzi stavano ritracciando e il trend era già in atto(tenkan >kijun x entrare long
isPullBackLijunEntryLong = kinjun<tenkan and low<kinjun and (close>kinjun) 
isPullBackLijunEntryShort =kinjun>tenkan and high>kinjun and  (close<kinjun) 

//Breackout Kumo
isBreackoutKumoEntryLong =  crossover(close, max(senkouSpanA[displacement], senkouSpanB[displacement])) and (close>tenkan) and (close>kinjun) 
isBreackoutKumoEntryShort =  crossunder(close, min(senkouSpanA[displacement], senkouSpanB[displacement])) and (close<tenkan) and (close<kinjun)

ConditionEntryLong = (isPullBackLijunEntryLong or isBreackoutKumoEntryLong ) and filtroLong
ConditionEntryShort = (isPullBackLijunEntryShort or isBreackoutKumoEntryLong ) and filtroShort

isExitLong = close<kinjun
isExitShort = close>kinjun

//ingressi ed uscite Mercato
strategy.entry ("Long",long=true, when = window() and ConditionEntryLong)
strategy.entry ("Short",long=false, when = window() and ConditionEntryShort)

strategy.close(id="Long", when=isExitLong)
strategy.close(id="Short", when=isExitShort)
strategy.close_all(when=not window())

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