ChaoZhang
策略原理
该策略运用一目均衡表(Ichimoku Kinko Hyo)进行做多交易。它综合考虑均衡表的多个因素,在符合条件时做多。
具体交易逻辑是:
计算转化线、基准线、先导线1、先导线2
当收盘价高于云层,且云层向上,转化线高于基准线时,考虑做多
此外,延迟线要高于云层和价格,以确保趋势向上
当上述条件均满足时,做多入场
如果延迟线回落到价格以下或云层以下,平仓
该策略充分利用一目均衡表的多种指标来确认趋势,并以云层作为动态止损位,可有效控制风险。
策略优势
一目均衡表综合多种因素判断趋势
动态止损,最大程度锁定利润
规则简单清晰,容易实施
策略风险
一目均衡表较慢,可能错过机会
需要谨慎设定参数周期
仅做多,可能错过好的空头机会
总结
该策略利用一目均衡表的多指标特性确定趋势方向。在优化参数的基础上,它提供了一套简单的做多规则。但其滞后性以及仅做多的局限仍需注意。
策略源码
/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title="Ichimoku Cloud", shorttitle="Doubled Ichimoku", overlay=true, initial_capital=1000, default_qty_value=100, default_qty_type=strategy.percent_of_equity)
conversionPeriods = input(20, minval=1, title="Conversion Line Length")
basePeriods = input(60, minval=1, title="Base Line Length")
laggingSpan2Periods = input(120, minval=1, title="Leading Span B Length")
displacement = input(30, minval=1, title="Displacement")
Stoploss = input(1, minval=0.1, title="Stoploss (% below cloud)")
donchian(len) => avg(lowest(len), highest(len))
conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)
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))
bool TKcross = conversionLine > baseLine
bool aboveCloud = close > leadLine1 and close > leadLine2
bool greenCloud = leadLine1 > leadLine2
bool lagLong = close > leadLine1[2*displacement+1] and close > leadLine2[2*displacement+1] and close > close[displacement]
bool longCondition = false
bool close_trade = crossover(leadLine1[displacement], close) or crossover (leadLine2[displacement], close) or close < close[displacement] or crossover(baseLine, close)
var position_count = 0
if (TKcross and aboveCloud and greenCloud and lagLong and position_count==0)
position_count = 1
strategy.entry(id="buy", long=true)
if (close_trade)
strategy.close_all()
// strategy.entry(id="sell", long=false)
position_count = 0
//if (longCondition)
// strategy.close("long", when=exit_trade)
// strategy.exit("exit","long",stop=stop_level,limit=profit_level)