基于一目均衡表的云内涨跌趋势策略
Author: ChaoZhang, Date: 2024-02-22 13:38:50Tags:
概述
本策略基于传统均线交易策略改进而来,采用一目均衡表指标辅助判断多空方向。该策略结合价格突破和均线交叉信号,识别潜在趋势反转点,实现低风险交易机会的捕捉。
策略原理
一目均衡表包含转换线、基准线、延迟线和先行线。当转换线上穿或下穿基准线时产生金叉死叉信号。价格突破云内涨跌趋势作为入场信号,基准线和先行线组成的云内作为止损线。
具体来说,多头入场信号为转换线上穿基准线且突破云内上边线。做多后,若价格跌破云内下边线则止损退出。空头入场及止损规则类似。
优势分析
相比 tradition moving average strategies,本策略具有以下优势:
- 一目均衡表结合价格运动态势判断,避免假突破产生错误信号
- 云内作为移动止损,能及时止损控制风险
- 通过参数调整,可适应不同周期及市场环境
风险分析
本策略主要面临以下风险:
- 趋势反转风险。突破入场后价格可能重新进入震荡,无法获利。
- 突破假信号风险。价格出现短期调整回补可能被误判为突破信号。
- 参数优化风险。不同参数适用于不同周期,需要测试调整。
对应解决方法:
- 采用移动止损及部分止盈。
- 结合更高周期判断,避免短线噪音。
- 多组参数回测优选组合 parameter optimization
优化方向
本策略可从以下方面进行优化:
- 增加机器学习判断突破真伪信号的可能性
- 采用自适应移动止损自动调整止损距离
- 参数自适应优化 find optimal parameters
总结
本策略总体来说是一个可靠、低风险的趋势跟踪策略。相比单纯均线策略,结合一目均衡表指标判断能够过滤掉部分噪音信号。云内作为移动止损使其承受风险能力较强。通过进一步优化,可望获得更稳定的超额收益。
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
// -----------------------------------------------------------------------------
// Copyright © 2024 Skyrex, LLC. All rights reserved.
// -----------------------------------------------------------------------------
// Version: v2
// Release: Jan 19, 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)
// Trading Period Settings
lookBackPeriodStart = input(title="Trade Start Date/Time", defval = timestamp('2023-01-01T00:00:00'), group = "Trading Period")
lookBackPeriodStop = input(title="Trade Stop Date/Time", defval = timestamp('2025-01-01T00:00:00'), group = "Trading Period")
// Trading Mode
tradingMode = input.string("Long", "Trading Mode", options = ["Long", "Short"], group = "Position side")
// 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(7, "Take Profit, % (0 - disabled)", minval = 0, step = 0.1, group = "Risk Management")
stopLossPct = input.float(3.5, "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("Enter Long", strategy.long)
if (takeProfitPct > 0 and close >= takeProfitLevelLong) or (stopLossPct > 0 and close <= stopLossLevelLong) or (exitSignalOptionsLong != "None" and isExitSignalLong())
strategy.close("Enter Long", comment="Exit Long")
else if tradingMode == "Short"
takeProfitLevelShort = strategy.position_avg_price * (1 - takeProfitPct / 100)
stopLossLevelShort = strategy.position_avg_price * (1 + stopLossPct / 100)
if isEntrySignalShort()
strategy.entry("Enter Short", strategy.short)
if (takeProfitPct > 0 and close <= takeProfitLevelShort) or (stopLossPct > 0 and close >= stopLossLevelShort) or (exitSignalOptionsShort != "None" and isExitSignalShort())
strategy.close("Enter Short", comment="Exit Short")
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