Strategi Kuantitatif Carta Awan Ichimoku


Tarikh penciptaan: 2024-02-01 14:25:49 Akhirnya diubah suai: 2024-02-01 14:25:49
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Strategi Kuantitatif Carta Awan Ichimoku

Gambaran keseluruhan

Strategi ini berdasarkan pada indikator grafik awan Ichimoku, menggabungkan garis Tenkan, garis Kijun, garis pendahuluan dan grafik awan untuk mengenal pasti isyarat kosong dan melakukan perdagangan automatik. Strategi ini menggabungkan fungsi tersuai model Ichimoku standard dan penguji strategi TradingView untuk pedagang pemula dan berpengalaman.

Prinsip Strategi

Strategi ini menggunakan model Ichimoku standard, termasuk garis Tenkan, garis Kijun, garis terdahulu, garis awan A dan garis awan B. Strategi ini menilai isyarat polygonal dengan membandingkan persilangan garis-garis ini.

Khususnya, apabila garis Tenkan melintasi garis Kijun, ia menghasilkan isyarat bermulut; apabila garis Tenkan melintasi garis Kijun, ia menghasilkan isyarat kosong. Di samping itu, kedudukan relatif garis Tenkan terhadap peta awan diukur dengan tiga jenis isyarat kuat, isyarat neutral dan isyarat lemah.

Strategi ini menawarkan banyak parameter tersuai, pengguna bebas memilih gabungan isyarat masuk dan keluar untuk melaksanakan strategi perdagangan mereka sendiri.

Kelebihan Strategik

  1. Menggabungkan fungsi analisis teknikal canggih model Ichimoku dan keupayaan kustomisasi penguji strategi TradingView
  2. Pelbagai pilihan parameter yang sesuai untuk gaya peniaga yang berbeza
  3. Peta awan yang dikemas kini dan dilihat dalam masa nyata untuk menilai arah trend dengan jelas
  4. Parameter pengoptimuman boleh diuji dengan pengesanan semula data

Risiko Strategik

  1. Model Ichimoku mudah menghasilkan isyarat palsu, perlu digabungkan dengan entiti harga
  2. Parameters terlalu banyak pilihan, mudah untuk pemula untuk menyelubungi diri sendiri
  3. Grafik awan terbelakang, tidak sesuai untuk mengejar kejatuhan
  4. Data pengesanan tidak sama dengan persembahan dalam talian, berhati-hati dalam talian

Arah pengoptimuman strategi

  1. Mengoptimumkan parameter, mencari kombinasi parameter yang optimum
  2. Menapis isyarat palsu dalam kombinasi dengan petunjuk lain
  3. Menambah logik stop loss dan mengawal risiko transaksi tunggal
  4. Mengambil kira kesan jenis dan kitaran transaksi
  5. Pengesahan cakera, menyesuaikan parameter berdasarkan cakera

ringkaskan

Ichimoku Cloud Graph Model sebagai alat analisis teknologi generasi baru, menggabungkan fungsi penglihatan dan pembangunan strategi platform TradingView, menyediakan sokongan teknikal yang kuat untuk pedagang kuantitatif. Strategi ini memanfaatkan kelebihan kedua-duanya, membina sistem perdagangan automatik. Walaupun masih memerlukan ruang untuk pengoptimuman, ia telah menunjukkan potensi aplikasi yang besar. Dengan penyesuaian parameter dan pengembangan fungsi yang semakin baik, strategi ini dijangka menjadi salah satu strategi perdagangan kuantitatif utama.

Kod sumber strategi 
/*backtest
start: 2023-01-25 00:00:00
end: 2024-01-31 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5

//  -----------------------------------------------------------------------------
//  Copyright © 2024 Skyrex, LLC. All rights reserved.
//  -----------------------------------------------------------------------------

//  Version: v2.1
//  Release:  Jan 22, 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 = 0.1,
         slippage = 5)

// Trading bot settings
sourceUuid = input.string(title = "sourceUuid:", defval = "yourBotSourceUuid", group = "Trading Bot Settings")
secretToken = input.string(title = "secretToken:", defval = "yourBotSecretToken", group = "Trading Bot Settings")

// Trading Period Settings
lookBackPeriodStart = input(title = "Trade Start Date/Time", defval = timestamp('2023-01-01T00:00:00'), group = "Trading Period Settings")
lookBackPeriodStop = input(title = "Trade Stop Date/Time", defval = timestamp('2025-01-01T00:00:00'), group = "Trading Period Settings")

// Trading Mode settings
tradingMode = input.string("Long", "Trading Mode", options = ["Long", "Short"], group = "Trading Mode Settings")

// 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(0, "Take Profit, % (0 - disabled)", minval = 0, step = 0.1, group = "Risk Management")
stopLossPct = input.float(0, "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(id = "entry1", direction = strategy.long, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
        if (takeProfitPct > 0 and close >= takeProfitLevelLong) or (stopLossPct > 0 and close <= stopLossLevelLong) or (exitSignalOptionsLong != "None" and isExitSignalLong())
            strategy.close(id = "entry1", alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')

    else if tradingMode == "Short"
        takeProfitLevelShort = strategy.position_avg_price * (1 - takeProfitPct / 100)
        stopLossLevelShort = strategy.position_avg_price * (1 + stopLossPct / 100)

        if isEntrySignalShort()
            strategy.entry(id = "entry1", direction = strategy.short, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
        if (takeProfitPct > 0 and close <= takeProfitLevelShort) or (stopLossPct > 0 and close >= stopLossLevelShort) or (exitSignalOptionsShort != "None" and isExitSignalShort())
            strategy.close(id = "entry1", alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
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