Ichimoku云图量化策略
Author: ChaoZhang, Date: 2024-02-01 14:25:49Tags:
概述
本策略基于Ichimoku云图指标,结合Tenkan线、Kijun线、先行线和云图,识别多空信号,实现自动化交易。该策略同时结合了标准Ichimoku模型和TradingView策略测试器的自定义功能,适用于新手和有经验的交易者。
策略原理
该策略使用标准的Ichimoku模型,包括Tenkan线、Kijun线、先行线、云图A线和云图B线。策略通过比较这些线的交叉来判断多空信号。
具体来说,当Tenkan线上穿Kijun线时产生多头信号;当Tenkan线下穿Kijun线时产生空头信号。此外,还会判断交叉时Tenkan线与云图的相对位置,分为强势信号、中性信号和弱势信号三种类型。例如Tenkan线交叉时高于云图两条线,就是强势多头信号。
该策略提供丰富的自定义参数,用户可以自由选择入场和出场信号组合,实现自己的交易策略。
策略优势
- 结合了Ichimoku模型的先进技术分析功能和TradingView策略测试器的自定义能力
- 提供多种参数设置选择,适合不同风格的交易者
- 实时更新和可视化的云图,清晰判断趋势方向
- 可通过回测数据优化参数,测试策略效果
策略风险
- Ichimoku模型容易产生假信号,需要结合价格实体判断
- Parameters选项太多,新手容易把自己绕进去
- 云图有滞后性,不适合追涨杀跌
- 回测数据不等于实盘表现,实盘时保持谨慎
策略优化方向
- 优化参数,找到最佳参数组合
- 结合其他指标过滤假信号
- 增加止损止盈逻辑,控制单笔交易风险
- 考虑交易品种、周期等条件的影响
- 实盘验证,根据实盘调整参数
总结
Ichimoku云图模型作为新一代技术分析工具,结合TradingView平台的可视化和策略开发功能,为量化交易者提供了强有力的技术支持。本策略充分利用两者优势,建立自动化交易体系。虽然仍需优化空间,但已显示出巨大应用潜力。随着参数调整和功能扩展的不断完善,本策略有望成为主流量化交易策略之一。
/*backtest
start: 2023-01-25 00:00:00
end: 2024-01-31 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
// -----------------------------------------------------------------------------
// Copyright © 2024 Skyrex, LLC. All rights reserved.
// -----------------------------------------------------------------------------
// Version: v2.1
// Release: Jan 22, 2024
strategy(title = "Advanced Ichimoku Clouds Strategy Long and Short",
shorttitle = "Ichimoku Strategy Long and Short",
overlay = true,
format = format.inherit,
pyramiding = 1,
calc_on_order_fills = false,
calc_on_every_tick = true,
default_qty_type = strategy.percent_of_equity,
default_qty_value = 100,
initial_capital = 10000,
currency = currency.NONE,
commission_type = strategy.commission.percent,
commission_value = 0.1,
slippage = 5)
// Trading bot settings
sourceUuid = input.string(title = "sourceUuid:", defval = "yourBotSourceUuid", group = "Trading Bot Settings")
secretToken = input.string(title = "secretToken:", defval = "yourBotSecretToken", group = "Trading Bot Settings")
// Trading Period Settings
lookBackPeriodStart = input(title = "Trade Start Date/Time", defval = timestamp('2023-01-01T00:00:00'), group = "Trading Period Settings")
lookBackPeriodStop = input(title = "Trade Stop Date/Time", defval = timestamp('2025-01-01T00:00:00'), group = "Trading Period Settings")
// Trading Mode settings
tradingMode = input.string("Long", "Trading Mode", options = ["Long", "Short"], group = "Trading Mode Settings")
// Long Mode Signal Options
entrySignalOptionsLong = input.string("Bullish All", "Select Entry Signal (Long)", options = ["None", "Bullish Strong", "Bullish Neutral", "Bullish Weak", "Bullish Strong and Neutral", "Bullish Neutral and Weak", "Bullish Strong and Weak", "Bullish All"], group = "Long Mode Signals - set up if Trading Mode: Long")
exitSignalOptionsLong = input.string("Bearish Weak", "Select Exit Signal (Long)", options = ["None", "Bearish Strong", "Bearish Neutral", "Bearish Weak", "Bearish Strong and Neutral", "Bearish Neutral and Weak", "Bearish Strong and Weak", "Bearish All"], group = "Long Mode Signals - set up if Trading Mode: Long")
// Short Mode Signal Options
entrySignalOptionsShort = input.string("None", "Select Entry Signal (Short)", options = ["None", "Bearish Strong", "Bearish Neutral", "Bearish Weak", "Bearish Strong and Neutral", "Bearish Neutral and Weak", "Bearish Strong and Weak", "Bearish All"], group = "Short Mode Signals - set up if Trading Mode: Short")
exitSignalOptionsShort = input.string("None", "Select Exit Signal (Short)", options = ["None", "Bullish Strong", "Bullish Neutral", "Bullish Weak", "Bullish Strong and Neutral", "Bullish Neutral and Weak", "Bullish Strong and Weak", "Bullish All"], group = "Short Mode Signals - set up if Trading Mode: Short")
// Risk Management Settings
takeProfitPct = input.float(0, "Take Profit, % (0 - disabled)", minval = 0, step = 0.1, group = "Risk Management")
stopLossPct = input.float(0, "Stop Loss, % (0 - disabled)", minval = 0, step = 0.1, group = "Risk Management")
// Indicator Settings
tenkanPeriods = input.int(9, "Tenkan", minval=1, group="Indicator Settings")
kijunPeriods = input.int(26, "Kijun", minval=1, group="Indicator Settings")
chikouPeriods = input.int(52, "Chikou", minval=1, group="Indicator Settings")
displacement = input.int(26, "Offset", minval=1, group="Indicator Settings")
// Display Settings
showTenkan = input(false, "Show Tenkan Line", group = "Display Settings")
showKijun = input(false, "Show Kijun Line", group = "Display Settings")
showSenkouA = input(true, "Show Senkou A Line", group = "Display Settings")
showSenkouB = input(true, "Show Senkou B Line", group = "Display Settings")
showChikou = input(false, "Show Chikou Line", group = "Display Settings")
// Function to convert percentage to price points based on entry price
pctToPoints(pct) =>
strategy.position_avg_price * pct / 100
// Colors and Transparency Level
transparencyLevel = 90
colorGreen = color.new(#36a336, 23)
colorRed = color.new(#d82727, 47)
colorTenkanViolet = color.new(#9400D3, 0)
colorKijun = color.new(#fdd8a0, 0)
colorLime = color.new(#006400, 0)
colorMaroon = color.new(#8b0000, 0)
colorGreenTransparent = color.new(colorGreen, transparencyLevel)
colorRedTransparent = color.new(colorRed, transparencyLevel)
// Ichimoku Calculations
donchian(len) => math.avg(ta.lowest(len), ta.highest(len))
tenkan = donchian(tenkanPeriods)
kijun = donchian(kijunPeriods)
senkouA = math.avg(tenkan, kijun)
senkouB = donchian(chikouPeriods)
displacedSenkouA = senkouA[displacement - 1]
displacedSenkouB = senkouB[displacement - 1]
// Plot Ichimoku Lines
plot(showTenkan ? tenkan : na, color=colorTenkanViolet, title = "Tenkan", linewidth=2)
plot(showKijun ? kijun : na, color=colorKijun, title = "Kijun", linewidth=2)
plot(showChikou ? close : na, offset=-displacement, color = colorLime, title = "Chikou", linewidth=1)
p1 = plot(showSenkouA ? senkouA : na, offset=displacement - 1, color=colorGreen, title = "Senkou A", linewidth=2)
p2 = plot(showSenkouB ? senkouB : na, offset=displacement - 1, color=colorRed, title = "Senkou B", linewidth=2)
fill(p1, p2, color=senkouA > senkouB ? colorGreenTransparent : colorRedTransparent)
// Signal Calculations
bullishSignal = ta.crossover(tenkan, kijun)
bearishSignal = ta.crossunder(tenkan, kijun)
bullishSignalValues = bullishSignal ? tenkan : na
bearishSignalValues = bearishSignal ? tenkan : na
strongBullishSignal = bullishSignalValues > displacedSenkouA and bullishSignalValues > displacedSenkouB
neutralBullishSignal = ((bullishSignalValues > displacedSenkouA and bullishSignalValues < displacedSenkouB) or (bullishSignalValues < displacedSenkouA and bullishSignalValues > displacedSenkouB))
weakBullishSignal = bullishSignalValues < displacedSenkouA and bullishSignalValues < displacedSenkouB
strongBearishSignal = bearishSignalValues < displacedSenkouA and bearishSignalValues < displacedSenkouB
neutralBearishSignal = ((bearishSignalValues > displacedSenkouA and bearishSignalValues < displacedSenkouB) or (bearishSignalValues < displacedSenkouA and bearishSignalValues > displacedSenkouB))
weakBearishSignal = bearishSignalValues > displacedSenkouA and bearishSignalValues > displacedSenkouB
// Functions to determine entry and exit conditions for Long and Short
isEntrySignalLong() =>
entryCondition = false
if entrySignalOptionsLong == "None"
entryCondition := false
else if entrySignalOptionsLong == "Bullish Strong"
entryCondition := strongBullishSignal
else if entrySignalOptionsLong == "Bullish Neutral"
entryCondition := neutralBullishSignal
else if entrySignalOptionsLong == "Bullish Weak"
entryCondition := weakBullishSignal
else if entrySignalOptionsLong == "Bullish Strong and Neutral"
entryCondition := strongBullishSignal or neutralBullishSignal
else if entrySignalOptionsLong == "Bullish Neutral and Weak"
entryCondition := neutralBullishSignal or weakBullishSignal
else if entrySignalOptionsLong == "Bullish Strong and Weak"
entryCondition := strongBullishSignal or weakBullishSignal
else if entrySignalOptionsLong == "Bullish All"
entryCondition := strongBullishSignal or neutralBullishSignal or weakBullishSignal
entryCondition
isExitSignalLong() =>
exitCondition = false
if exitSignalOptionsLong == "None"
exitCondition := false
else if exitSignalOptionsLong == "Bearish Strong"
exitCondition := strongBearishSignal
else if exitSignalOptionsLong == "Bearish Neutral"
exitCondition := neutralBearishSignal
else if exitSignalOptionsLong == "Bearish Weak"
exitCondition := weakBearishSignal
else if exitSignalOptionsLong == "Bearish Strong and Neutral"
exitCondition := strongBearishSignal or neutralBearishSignal
else if exitSignalOptionsLong == "Bearish Neutral and Weak"
exitCondition := neutralBearishSignal or weakBearishSignal
else if exitSignalOptionsLong == "Bearish Strong and Weak"
exitCondition := strongBearishSignal or weakBearishSignal
else if exitSignalOptionsLong == "Bearish All"
exitCondition := strongBearishSignal or neutralBearishSignal or weakBearishSignal
exitCondition
isEntrySignalShort() =>
entryCondition = false
if entrySignalOptionsShort == "None"
entryCondition := false
else if entrySignalOptionsShort == "Bearish Strong"
entryCondition := strongBearishSignal
else if entrySignalOptionsShort == "Bearish Neutral"
entryCondition := neutralBearishSignal
else if entrySignalOptionsShort == "Bearish Weak"
entryCondition := weakBearishSignal
else if entrySignalOptionsShort == "Bearish Strong and Neutral"
entryCondition := strongBearishSignal or neutralBearishSignal
else if entrySignalOptionsShort == "Bearish Neutral and Weak"
entryCondition := neutralBearishSignal or weakBearishSignal
else if entrySignalOptionsShort == "Bearish Strong and Weak"
entryCondition := strongBearishSignal or weakBearishSignal
else if entrySignalOptionsShort == "Bearish All"
entryCondition := strongBearishSignal or neutralBearishSignal or weakBearishSignal
entryCondition
isExitSignalShort() =>
exitCondition = false
if exitSignalOptionsShort == "None"
exitCondition := false
else if exitSignalOptionsShort == "Bullish Strong"
exitCondition := strongBullishSignal
else if exitSignalOptionsShort == "Bullish Neutral"
exitCondition := neutralBullishSignal
else if exitSignalOptionsShort == "Bullish Weak"
exitCondition := weakBullishSignal
else if exitSignalOptionsShort == "Bullish Strong and Neutral"
exitCondition := strongBullishSignal or neutralBullishSignal
else if exitSignalOptionsShort == "Bullish Neutral and Weak"
exitCondition := neutralBullishSignal or weakBullishSignal
else if exitSignalOptionsShort == "Bullish Strong and Weak"
exitCondition := strongBullishSignal or weakBullishSignal
else if exitSignalOptionsShort == "Bullish All"
exitCondition := strongBullishSignal or neutralBullishSignal or weakBullishSignal
exitCondition
// Strategy logic for entries and exits
if true
if tradingMode == "Long"
takeProfitLevelLong = strategy.position_avg_price * (1 + takeProfitPct / 100)
stopLossLevelLong = strategy.position_avg_price * (1 - stopLossPct / 100)
if isEntrySignalLong()
strategy.entry(id = "entry1", direction = strategy.long, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
if (takeProfitPct > 0 and close >= takeProfitLevelLong) or (stopLossPct > 0 and close <= stopLossLevelLong) or (exitSignalOptionsLong != "None" and isExitSignalLong())
strategy.close(id = "entry1", alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
else if tradingMode == "Short"
takeProfitLevelShort = strategy.position_avg_price * (1 - takeProfitPct / 100)
stopLossLevelShort = strategy.position_avg_price * (1 + stopLossPct / 100)
if isEntrySignalShort()
strategy.entry(id = "entry1", direction = strategy.short, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
if (takeProfitPct > 0 and close <= takeProfitLevelShort) or (stopLossPct > 0 and close >= stopLossLevelShort) or (exitSignalOptionsShort != "None" and isExitSignalShort())
strategy.close(id = "entry1", alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
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