Estrategia de tendencia de subidas y bajadas de la nube basada en Ichimoku Kinko Hyo
Fecha de creación:
2024-02-22 13:38:50
Última modificación:
2024-02-22 13:38:50
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Descripción general
Esta estrategia se basa en la mejora de la estrategia tradicional de negociación de la línea media y utiliza indicadores de la tabla de equilibrio a primera vista para ayudar a determinar la dirección de la franja. La estrategia combina brechas de precios y señales de cruce de la línea media para identificar posibles puntos de reversión de tendencias y capturar oportunidades de negociación de bajo riesgo.
Principio de estrategia
La tabla de equilibrio a primera vista incluye la línea de conversión, la línea de referencia, la línea de retardo y la línea de prioridad. Cuando la línea de conversión atraviesa o desciende la línea de referencia, se produce una señal de horquilla de oro. El precio rompe la tendencia de caída dentro de la nube como una señal de entrada, la línea de referencia y la línea de prioridad como una línea de parada.
En concreto, la entrada de múltiples cabezas de señales para la conversión de la línea de cruzar la línea de referencia y la ruptura de la línea superior de la nube. Después de hacer más, si el precio cae por debajo de la línea inferior de la nube, se detiene la salida de pérdidas. La entrada de cabeza vacía y las reglas de parada de pérdidas son similares.
Análisis de las ventajas
En comparación con las estrategias tradicionales de promedio móvil, esta estrategia tiene las siguientes ventajas:
- La tabla de equilibrio a primera vista, combinada con el movimiento de los precios, evita que las brechas falsas generen señales erróneas
- La nube actúa como un bloqueo móvil para detener y controlar el riesgo a tiempo
- Adaptabilidad a diferentes ciclos y condiciones de mercado mediante ajustes de parámetros
Análisis de riesgos
Los principales riesgos de esta estrategia son los siguientes:
- Riesgo de reversión de la tendencia. El precio puede volver a entrar en la oscilación después de la entrada de la ruptura y no puede obtener ganancias.
- Riesgo de falsas señales de ruptura. Si el precio se recupera en un corto plazo, puede ser mal interpretado como una señal de ruptura.
- Optimización de parámetros de riesgo. Diferentes parámetros se aplican a diferentes ciclos y requieren ajustes de prueba.
Resolución de las mismas:
- El uso de la suspensión móvil y la suspensión parcial.
- En combinación con un mayor juicio de ciclo, evita el ruido de la línea corta.
- Optimización de parámetros de combinación preferida
Dirección de optimización
Esta estrategia puede ser optimizada en los siguientes aspectos:
- Aumentar la capacidad de aprendizaje automático para detectar señales falsas
- Adaptación de la parada móvil para ajustar automáticamente la distancia de parada
- Los parámetros se adaptan a la optimización
Resumir
En general, esta estrategia es una estrategia de seguimiento de tendencias fiable y de bajo riesgo. En comparación con la estrategia de línea media simple, la combinación de un criterio de tabla de equilibrio a primera vista puede filtrar parte de la señal de ruido.
Código Fuente de la Estrategia
/*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")