Cloud-Ups- und -Downs-Trendstrategie basierend auf Ichimoku Kinko Hyo
Erstellungsdatum:
2024-02-22 13:38:50
zuletzt geändert:
2024-02-22 13:38:50
Kopie:
2
Klicks:
641
ChaoZhang
1
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Anhänger
Überblick
Diese Strategie basiert auf einer Verbesserung der traditionellen Trendliner-Trading-Strategie und verwendet die Gleichgewichtstabellen-Indikatoren, um die Hohlraumrichtung zu bestimmen. Die Strategie kombiniert Preisbruch und Trendliner-Kreuzungssignale, um potenzielle Trendwendepunkte zu identifizieren und Low-Risk-Trading-Gelegenheiten zu erfassen.
Strategieprinzip
Die erste Gleichgewichtstabelle enthält die Umschaltlinie, die Benchmark, die Verzögerungslinie und die Vorreiterlinie. Die Umschaltlinie erzeugt ein Goldfork-Stopp-Signal, wenn sie die Benchmark überschreitet oder durchschreitet. Der Preis durchbricht die Abwärtstrend in der Wolke als Einstiegssignal, die Basislinie und die Vorreiterlinie als Stop-Line in der Wolke.
Konkret bedeutet dies, dass ein mehrköpfiges Eintrittssignal die Referenzlinie überschreitet und die oberste Grenze der Wolke durchbricht. Nach dem Überschreiten wird ein Aussteigen verhindert, wenn der Preis die untere Grenze der Wolke überschreitet.
Analyse der Stärken
Im Vergleich zu traditionellen Moving-Average-Strategien hat diese Strategie folgende Vorteile:
- Die Gleichgewichtstabelle wird mit der Beurteilung der Preisbewegung kombiniert, um falsche Signal aus falschen Durchbrüchen zu vermeiden.
- In der Cloud als mobile Stop-Loss, um Risiken zeitnah zu stoppen und zu kontrollieren
- Anpassung an unterschiedliche Zyklen und Marktumgebungen durch Parameteranpassung
Risikoanalyse
Die Risiken der Strategie sind vor allem:
- Das Risiko einer Trendwende. Nach dem Durchbruch kann der Preis wieder in die Schokkasse zurückkehren und keine Gewinne erzielen.
- Gefahr eines Fehlbruchs. Kurzfristige Preisanpassungen können als Fehlschlag bezeichnet werden.
- Die Risiken der Parameteroptimierung. Die verschiedenen Parameter sind für verschiedene Zyklen geeignet und erfordern Testanpassungen.
Entsprechende Lösungen:
- Die Anlage ist mit einer Bewegungssperre und einer Teilabschaltung ausgestattet.
- In Kombination mit einer höheren Periodizität vermeidet man kurzlebige Geräusche.
- Mehrgruppen-Parameter-Retesting und Parameter-Optimierung
Optimierungsrichtung
Diese Strategie kann in folgenden Bereichen optimiert werden:
- Erhöhung der Wahrscheinlichkeit, dass maschinelle Lerntechnologien Falschsignale durchbrechen
- Anpassung der Stoppdistanz durch Adaptive Mobile Stop
- Find optimal parameters, die sich an die Parameter anpassen
Zusammenfassen
Die Strategie ist insgesamt eine zuverlässige, risikoarme Trend-Tracking-Strategie. Verglichen mit einer einfachen Mittellinien-Strategie, kann sie in Kombination mit einem Gleichgewichtstabellen-Kennzeichen zumindest einen Teil des Geräuschsignals filtern. Die mobile Stop-Loss-Funktion in der Cloud ermöglicht eine bessere Risikobereitschaft. Durch weitere Optimierung wird ein stabilerer Gewinn erwartet.
Strategiequellcode
/*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")