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Penulis:ChaoZhang, Tarikh: 2024-01-23 11:14:54
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Ringkasan

Strategi ini menggabungkan indikator Ichimoku Cloud dan ADX (Average Directional Index) untuk mengenal pasti trend dan tahap sokongan & rintangan utama untuk isyarat kemasukan dan keluar pasaran.

Mekanisme Strategi

Awan Ichimoku mengandungi 3 purata bergerak dari Garis Tenkan, Garis Kijun dan Garis Chikou. Isyarat beli dihasilkan apabila harga memecahkan di atas Garis Tenkan dan Garis Kijun; Isyarat jual dihasilkan apabila harga memecahkan di bawah dua garis. Tahap sokongan dan rintangan utama dikenal pasti oleh awan.

ADX digunakan untuk menentukan kekuatan trend harga. Bacaan +DI dan -DI yang lebih tinggi menunjukkan pasaran trend; apabila kedua-dua garis konvergen, pasaran terikat julat ditakrifkan. Strategi ini hanya memulakan kedudukan pada bacaan ADX di atas 20 untuk mengelakkan whipsaws semasa pasaran sampingan.

Dengan menggabungkan penentuan trend Ichimoku dan penapisan ADX, strategi ini berkesan dalam mengenal pasti tempoh turun naik harga yang tinggi.

Kelebihan

  • Gabungan isyarat memberikan pengesahan yang lebih boleh dipercayai
  • Penapis ADX mengelakkan dagangan yang salah semasa tempoh bukan trend
  • Prestasi backtest yang baik dengan profil risiko dan pulangan yang tinggi

Analisis Risiko

  • Lebih sesuai untuk saham trend; isyarat kurang kerap di pasaran terikat julat
  • Ichimoku mempunyai kelewatan semula jadi dan mungkin terlepas corak pembalikan yang cepat
  • Penentuan persekitaran bukan trend yang tidak sempurna oleh ADX

  • Uji kombinasi parameter yang berbeza seperti Tenkan, Kijun tempoh
  • Menggabungkan penunjuk lain, contohnya MACD, KD dan lain-lain, untuk peningkatan lanjut

Ringkasan

Strategi ini secara berkesan menggabungkan Ichimoku dan ADX untuk menangkap pasaran trend. Dengan penyesuaian lebih lanjut parameter dan peraturan, prestasi backtest dan langsung yang lebih baik dapat dicapai. Ia sesuai untuk peniaga yang berfokus pada trend.

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-10 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(title="Ichimoku + ADX", shorttitle="Ichimoku & ADX Backtest", overlay=true)

//------------------------------
//------------------------------
// ICHIMOKU
//------------------------------
//------------------------------

conversionPeriods = input(9, minval=1, title="Conversion Line Periods"),
basePeriods = input(26, minval=1, title="Base Line Periods")
laggingSpan2Periods = input(52, minval=1, title="Lagging Span 2 Periods"),
displacement = input(26, minval=1, title="Displacement")

donchian(len) => avg(lowest(len), highest(len))

Tenkan = donchian(conversionPeriods)
Kijun = donchian(basePeriods)
SSA = avg(Tenkan, Kijun)
SSB = donchian(laggingSpan2Periods)

SSAdisp = SSA[displacement]
SSBdisp = SSB[displacement]

// Plot Ichimoku
// --------------------

plot(Tenkan, color=color.red, title="Tenkan")
plot(Kijun, color=color.blue, title="Kijun")
plot(close, offset = -displacement + 1, color=#459915, title="Chikou")


p1 = plot(SSA, offset = displacement - 1, color=color.green,
 title="Senkou A")
p2 = plot(SSB, offset = displacement - 1, color=color.red, 
 title="Senkou B")
fill(p1, p2, color = SSA > SSB ? color.green : color.red)

//------------------------------
//------------------------------
// ADX
//------------------------------
//------------------------------

adxlen = input(14, title="ADX Smoothing")
dilen = input(14, title="DI Length")
keyLevel = input(23, title="key level for ADX")
dirmov(len) =>
	up = change(high)
	down = -change(low)
	truerange = rma(tr, len)
	plus = fixnan(100 * rma(up > down and up > 0 ? up : 0, len) / truerange)
	minus = fixnan(100 * rma(down > up and down > 0 ? down : 0, len) / truerange)
	[plus, minus]

adx(dilen, adxlen) => 
	[plus, minus] = dirmov(dilen)
	sum = plus + minus
	adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
	[adx, plus, minus]

[sig, up, down] = adx(dilen, adxlen)

// Plot ADX
// --------------------

//plot(sig, color=color.black, title="ADX")
//plot(up, color=color.green, title="+DI",linewidth=2, style=plot.style_columns, transp=40)
//plot(down, color=color.red, title="-DI",linewidth=2, style=plot.style_columns, transp=40)
//plot(keyLevel, color=color.white, title="Key Level")



//------------------------------
//------------------------------
// STRATEGY
//------------------------------
//------------------------------

// Buy & Sell Signals
// --------------------

// ADX
ABuy1 = up > keyLevel and up - down >5 and sig > down and sig < keyLevel * 2
ASell1 = down > keyLevel and down - up >5 and sig > up and sig < keyLevel * 2


// ICHIMOKU

Bull = close >= max(SSAdisp, SSBdisp)
Bear = close <= min(SSAdisp, SSBdisp)

//  1. Bull
Buy1 = (close >= max(SSAdisp, SSBdisp)) ? 1 : 0
Buy2 = (Tenkan - Kijun >= 0.001) ? 1 : 0
Buy3 = SSA > SSB ? 1 : 0
Buy4 = sig > 20 ? 1 : 0
Buy4a = close - close[displacement] >=0.001 ? 1:0
Buy5 = Buy1 and Buy2 and Buy3 and Buy4 and Buy4a and not(Buy1[1] and Buy2[1] and Buy3[1])

//  1. Bear
Sell1 = (close <= min(SSAdisp, SSBdisp)) ? 1 : 0
Sell2 = (Kijun - Tenkan >= 0.001) ? 1 : 0
Sell3 = SSA < SSB ? 1 : 0
Sell4 = sig > 20 ? 1 : 0
Sell4a = close <= close[displacement]
Sell5 = Sell1 and Sell2 and Sell3 and Sell4 and Sell4a and not(Sell1[1] and Sell2[1] and Sell3[1])


// CONSOLIDATED

buysignal = Buy5
buyexitsignal = crossunder(close,Kijun)

sellsignal = Sell5 
sellexitsignal = crossover(close,Kijun)    

longCondition = buysignal
shortCondition = sellsignal
    
// Plot Indicators
// --------------------

// ----- Buy & Sell

//plotshape(longCondition, title = "Buy Signal", text ="BUY", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.belowbar, color = #1B8112, transp = 0)
//plotshape(shortCondition, title = "Short Signal", text ="SHORT", textcolor =#FFFFFF , style=shape.labeldown, size = size.tiny, location=location.abovebar, color = #000000, transp = 0)

// ----- Ichimoku Signals

//plotshape(Sell2, title = "Sell Signal", text ="Kumo Twist", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.top, color = color.black, transp = 0)
//plotshape(Sell3, title = "Sell Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.bottom, color = color.black, transp = 0)

//plotshape(Buy4, title = "Buy Signal", text ="Kumo Twist", textcolor =#FFFFFF , style=shape.diamond, size = size.tiny, location=location.belowbar, color = color.blue, transp = 0)
//plotshape(Buy3, title = "Buy Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.circle, size = size.tiny, location=location.abovebar, color = color.green, transp = 0)
//plotshape(Buy4, title = "Buy Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.circle, size = size.tiny, location=location.belowbar, color = color.red, transp = 0)



//plotshape(buyexitsignal, title = "Buy Exit", style=shape.triangledown, size = size.tiny, location=location.abovebar, color = color.green, transp = 0)
//plotshape(sellexitsignal, title = "Buy Exit", style=shape.triangleup, size = size.tiny, location=location.belowbar, color = color.black, transp = 0)

//------------------------------
//------------------------------
// EXECUTION
//------------------------------
//------------------------------


// Test Range
// --------------------

// === INPUT BACKTEST RANGE ===
FromMonth = input(defval = 2, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2015, title = "From Year", minval = 2017)
ToMonth   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear    = input(defval = 9999, title = "To Year", minval = 2017)

// === FUNCTION EXAMPLE ===
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window()  => true // create function "within window of time"

// Orders
// --------------------


if longCondition
    strategy.entry("Buy", strategy.long, when=window())
    
if buyexitsignal 
    strategy.close("Buy")
    
if shortCondition
    strategy.entry("Sell", strategy.short, when=window())

if sellexitsignal
    strategy.close("Sell")
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