一目均衡表交易策略


创建日期: 2023-09-14 16:13:33 最后修改: 2023-09-14 16:13:33
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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:

  1. 计算转化线、基准线、先导线1、先导线2

  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

  3. 此外,延迟线要高于云层和价格,以确保趋势向上

  4. 当上述条件均满足时,做多入场

  5. 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)