市場情緒に基づくイチモク・ブレークアウト戦略

作者: リン・ハーンチャオチャン,日付: 2024-02-04 14:46:22
タグ:

概要

この戦略は,市場情勢を計測し,潜在的なブレイクアウト機会を特定するためにIchimoku Cloud指標を組み合わせています. イチモクベースのトレンドフィルタリング,ATR/パーセントトラッキングストップ,およびオプションの利益採取メカニズムがあります.

戦略の論理

イチモク・クラウドの信号は,上昇/下落の勢いを決定し,強度ブレイク信号は,潜在的ブレイクを捕捉します.

トレンドシグナルには,上昇傾向を示すためにコンバーションラインがベースラインの上を横断し,強い勢いを示す価格バーの上のLagging Spanと, Ichimoku Cloudのトップバンドを破る値が必要です.

追加的なエントリー機会の強度爆発信号は,CLOUDの最近の低点と高点を突破し,超強度と変換/ベースラインが上昇傾向に一致することを要求します.

ロングエントリは,信号が発射されると起動し,出口はATR,パーセント,またはイチモクルールに基づいて停止し,利益をロックします.

利点分析

最大の利点はイチモク・クラウドを利用して動向分析とインパクト分析の両方をすることでシグナルが移動平均値のような単一の指標よりも精度が高くなります

ATR/百分比後続停止によるリスク管理により,取引あたりの損失も小さく保たれます.オプションの利益は報酬の一貫性をさらに高めます.

リスク分析

イチモク雲には遅滞がある強い信号も勢いを追う可能性を高める

遅延リスクに対処するために,Cloudの設定をより速く最適化します.モメントリスクでは,より緊密な遅延ストップが逆転により早く反応します.

オプティマイゼーションの方向性

改善する可能性は以下の通りです.

市場データにより安定性を検証する
特定の機器のためのクラウドパラメータを最適化します.
LSTMのような MLを試して信号の評価が良くなる
ボリューム分析を加えれば罠にはまりません

結論

このイチモクシステムは,トレンド取引に対する市場情勢を効果的に測定する.モメントを把握し,リスクを管理することにバランスのとれた焦点を当てることも,それを実践的にします.改善の余地がありますが,全体的には,堅固なトレンドフォローフレームワークです.

/*backtest
start: 2024-01-04 00:00:00
end: 2024-02-03 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © mikul_se
//@version=5
strategy("mikul's Ichimoku Cloud Strategy v 2.0", shorttitle="mikul's Ichi strat", overlay=true, margin_long=100, margin_short=100, default_qty_type = strategy.percent_of_equity, default_qty_value = 100)

// Strategy settings
strategySettingsGroup = "Strategy settings"
trailSource         = input.string(title="Trail Source", defval="Lows/Highs", options=["Lows/Highs", "Close", "Open"], confirm=true, group=strategySettingsGroup)
trailMethod         = input.string(title="Trail Method", defval="ATR", options=["ATR", "Percent", "Ichi exit"], confirm=true, tooltip="Ichi rules means it follows the rules of the Ichimoku cloud for exiting the trade.", group=strategySettingsGroup)
trailPercent        = input.float(title="Trail Percent", defval=10, minval=0.1, confirm=true, group=strategySettingsGroup)
swingLookback       = input.int(title="Lookback", defval=7, confirm=true, group=strategySettingsGroup)
atrPeriod           = input.int(title="ATR Period", defval=14, confirm=true, group=strategySettingsGroup)
atrMultiplier       = input.float(title="ATR Multiplier", defval=1.0, confirm=true, group=strategySettingsGroup)
addIchiExit         = input.bool(false, "Add Ichimoku exit", "You can use this to add Ichimoku cloud exit signals on top of Percent or ATR", group=strategySettingsGroup)
useTakeProfit       = input.bool(false, "Use Take Profit", confirm=true, group=strategySettingsGroup)
takeProfitPercent   = input.float(title="Take Profit Percentage", defval=5, minval=0.1, confirm=true, group=strategySettingsGroup)

// Ichimoku settings
ichimokuSettingsGroup = "Ichimoku settings"
conversionPeriods       = input.int(9, minval=1, title="Conversion Line Length", group=ichimokuSettingsGroup)
basePeriods             = input.int(26, minval=1, title="Base Line Length", group=ichimokuSettingsGroup)
laggingSpan2Periods     = input.int(52, minval=1, title="Leading Span B Length", group=ichimokuSettingsGroup)
displacement            = input.int(26, minval=1, title="Lagging Span", group=ichimokuSettingsGroup)
delta                   = input.int(26, minval=1, title="Delta", group=ichimokuSettingsGroup)

donchian(len) => math.avg(ta.lowest(len), ta.highest(len))
conversionLine = donchian(conversionPeriods)
baseLine       = donchian(basePeriods)
leadLine1      = math.avg(conversionLine, baseLine)
leadLine2      = donchian(laggingSpan2Periods)

uppercloud     = leadLine1[displacement-1]
bottomcloud    = leadLine2[displacement-1]

// Ichi exit variables and calculations 
delta2 = delta-3
average(len) => math.avg(ta.lowest(len), ta.highest(len))

conversion_line = average(conversionPeriods)
base_line       = average(basePeriods)
lead_line_a     = math.avg(conversion_line, base_line)
lead_line_b     = average(laggingSpan2Periods)
lagging_span    = close
lead_line_a_delta = lead_line_a[delta]
lead_line_b_delta = lead_line_b[delta]
lagging_span_delta = lagging_span[delta]
prisgris = hlc3[delta]
prisgris2 = hlc3[delta2]

// Declare trailing price variable (stores our trail stop value)
var float trailPrice    = na
float next_trailPrice   = na

// Get required trailing stop variables
atrValue       = ta.atr(atrPeriod) * atrMultiplier
swingLow       = ta.lowest(low, swingLookback)
swingHigh      = ta.highest(high, swingLookback)

// Ichi plotting
plot(conversionLine, color=#2962FF, title="Conversion Line")
plot(baseLine, color=#B71C1C, title="Base Line")
plot(close, offset=-displacement + 1, color=#43A047, title="Lagging Span")
p1 = plot(leadLine1, offset=displacement - 1, color=#A5D6A7, title="Leading Span A")
p2 = plot(leadLine2, offset=displacement - 1, color=#EF9A9A, title="Leading Span B")
fill(p1, p2, color=leadLine1 > leadLine2 ? color.rgb(67, 160, 71, 90) : color.rgb(244, 67, 54, 90))

// Plotting ichi crossover signals
ichiup = ta.crossover(conversionLine, baseLine)
ichidown = ta.crossover(baseLine, conversionLine)

plotshape(ichiup ? conversionLine : na, 'Ichi long 1', style=shape.circle, location=location.absolute, offset=0, color=#00ff00b0, size=size.tiny)
plotshape(ichidown ? conversionLine : na, 'Ichi short 1', style=shape.circle, location=location.absolute, offset=0, color=#ff1100c7, size=size.tiny)

// Pamp signal
signal5 = close > bottomcloud[displacement] and close > uppercloud[displacement] and close > high[displacement]
signal5b = close[1] <= bottomcloud[displacement+1] or close[1] <= uppercloud[displacement+1] or close <= high[displacement+1]
signal6 = close > bottomcloud and close > uppercloud and close > open
signal6b = close[1] <= bottomcloud[1] or close[1] <= uppercloud[1]
signal7 = leadLine1 > leadLine2
signal7b = leadLine1[1] <= leadLine2[1]
signal8 = conversionLine > baseLine

pamp = signal5 and signal6 and signal7 and signal8 and strategy.position_size == 0 and (signal5b or signal6b or signal7b)

// Trend signal
nsignal5 = close > close[displacement]
nsignal6 = close > bottomcloud and close > uppercloud and close > open
nsignal8 = ta.crossover(conversionLine, baseLine) and conversionLine > bottomcloud and conversionLine > uppercloud and baseLine > bottomcloud and baseLine > uppercloud

trend = nsignal5 and nsignal6 and nsignal8 and strategy.position_size == 0

plotshape(trend, style=shape.triangleup, location=location.belowbar, color=color.green)

if (trend or pamp)
    trailPrice := na
    strategy.entry(trend ? "Trend" : "Pamp", direction = strategy.long)

// Get trailing stop price
if trailMethod == "ATR"
    next_trailPrice := switch trailSource
        "Close" => strategy.position_size > 0 ? close - atrValue : close + atrValue
        "Open" => strategy.position_size > 0 ? open - atrValue : open + atrValue
        => strategy.position_size > 0 ? swingLow - atrValue : swingHigh + atrValue
else if trailMethod == "Percent"
    float percentMulti = strategy.position_size > 0 ? (100 - trailPercent) / 100 : (100 + trailPercent) / 100
    next_trailPrice := switch trailSource
        "Close" => close * percentMulti
        "Open" => open * percentMulti
        => strategy.position_size > 0 ? swingLow * percentMulti : swingHigh * percentMulti
else
    short_signal = (ta.crossunder(lagging_span, prisgris)) or ta.crossover(base_line, conversion_line) and ((close)) < ((lead_line_a)) or ta.crossunder(lagging_span, prisgris) or (ta.crossover(base_line, conversion_line) and ((lagging_span) < (lead_line_a)) and ((lagging_span) < (lead_line_b)))

    if short_signal
        strategy.close("Trend", "Ichi trend over")
        strategy.close("Pamp", "Ichi pamp over")
        alert("Sell")

if (addIchiExit)
    short_signal = (ta.crossunder(lagging_span, prisgris)) or ta.crossover(base_line, conversion_line) and ((close)) < ((lead_line_a)) or ta.crossunder(lagging_span, prisgris) or (ta.crossover(base_line, conversion_line) and ((lagging_span) < (lead_line_a)) and ((lagging_span) < (lead_line_b)))

    if short_signal
        strategy.close("Trend", "Ichi trend over")
        strategy.close("Pamp", "Ichi pamp over")
        alert("Sell")

// Check for trailing stop update
if strategy.position_size != 0 and barstate.isconfirmed
    if (next_trailPrice > trailPrice or na(trailPrice)) and strategy.position_size > 0
        trailPrice := next_trailPrice
        alert(message="Trailing Stop updated for " + syminfo.tickerid + ": " + str.tostring(trailPrice, "#.#####"), freq=alert.freq_once_per_bar_close)

    if (next_trailPrice < trailPrice or na(trailPrice)) and strategy.position_size < 0
        trailPrice := next_trailPrice
        alert(message="Trailing Stop updated for " + syminfo.tickerid + ": " + str.tostring(trailPrice, "#.#####"), freq=alert.freq_once_per_bar_close)

// Draw data to chart
plot(strategy.position_size != 0 ? trailPrice : na, color=color.red, title="Trailing Stop")

// Take Profit
float profitTarget = strategy.position_avg_price * (1 + takeProfitPercent / 100)

// Exit trade if stop is hit
strategy.exit(id="trend Exit", from_entry="Trend", stop=trailPrice, limit=useTakeProfit ? profitTarget : na)
strategy.exit(id="pamp Exit", from_entry="Pamp", stop=trailPrice, limit=useTakeProfit ? profitTarget : na)

if strategy.position_size == 0
    trailPrice = 0

もっと

2019 FMZ - すべての権利は保護されています.

市場情緒に基づく イチモク・ブレークアウト戦略

概要

戦略の論理

利点分析

リスク分析

オプティマイゼーションの方向性

結論

市場情緒に基づくイチモク・ブレークアウト戦略