ChaoZhang
概述
本策略综合运用Ichimoku Kinko Hyo指标以及多种其它技术指标,实现多种交易信号的结合,以发挥Ichimoku系统的优势,同时通过多信号确认进行入场,能有效过滤假信号,在追求高胜率的同时控制风险。
策略原理
本策略主要分为以下几个部分:
Ichimoku Kinko Hyo指标的计算,包括转向线(Tenkan-sen)、基准线(Kijun-sen)、先行线(Senkou Span A)、滞后线(Senkou Span B)、云叠(Kumo)等的计算公式。
多种过滤器的设定,包括Kumo云叠过滤器、Kijun基准线过滤器、MACD过滤器、RSI过滤器、Bill WilliamsARGUMENTS fractals过滤器、SuperTrend过滤器、Parabolic SAR过滤器和ADX过滤器等。这些过滤器用于确认趋势方向,避免交易受到震荡市的影响。
多种交易信号的设定,包括前期收盘价突破基准线信号、Chikou幅与价格或云叠的关系信号、转向线与基准线或云叠的关系信号等共23种Ichimoku原生交易信号。此外,还加入多种其它技术指标信号,如MACD、RSI、Fractals等。这些交易信号用于寻找潜在的交易机会。
两级过滤器的设定,用于过滤入场信号。分别选择一种过滤器作為第一级和第二级过滤器,可有效避免假信号。
两级过滤器的设定,用于过滤出场信号。类似入场过滤器。
多信号集合作为最终的入场和出场信号。根据用户选择的具体交易信号,同时结合一级和二级入场过滤器以及出场过滤器,形成最终的交易决策。
止盈止损设置。可以选择是否启用以及具体止盈止损点位。
回测周期设置。可以设置回测的起止时间。
策略优势
本策略具有以下优势:
综合运用Ichimoku多种指标和多种交易信号的优势,兼顾趋势跟踪和信号过滤。
通过两级过滤器设定避免入场时被套,有效控制风险。
提供多种交易信号可供选择,可以针对不同市场环境进行优化。
提供多种过滤器可供选择,可以针对个股特点进行优化。
可设置止盈止损点位,有助于锁定盈利和控制风险。
可设置不同的回测周期进行验证,方便针对策略进行优化。
策略风险
本策略也存在一些风险:
Ichimoku系统对买卖信号判定比较慢,可能会错过短线交易机会。可以适当缩短周期优化。
多重过滤可能过于谨慎,导致入场不确定性。可以测试调整过滤参数。
单一止损点位设置不够灵活,无法应对复杂行情。可以考虑动态止损。
回测周期设置不够精确,无法完全模拟实盘环境。需要多次调整验证。
策略优化方向
本策略可以从以下方面进行优化:
调整Ichimoku系统参数,如调短转向线周期适应短线交易。
测试不同的交易信号组合,识别最适合个股的信号选择。
优化过滤器参数,平衡过滤效果与入场确定性。
尝试动态止损方式,使止损更贴近市场变化。
设置更长的回测周期,或使用tick回测数据使模拟更准确。
增加仓位管理模块,通过加仓方式优化资金利用效率。
增加自动参数优化功能,实现更智能的策略调整。
总结
本策略通过Ichimoku系统提供的多种指标与交易信号,并配合使用其它技术指标进行信号过滤和确认,实现了一套融合趋势跟踪和突破信号的量化交易策略。策略充分发挥Ichimoku系统的优势,同时设计了参数化的模块用于调整和优化,可以更好地适应市场的变化。通过不断测试与优化,本策略有望达到较高的稳定盈利能力。
策略源码
/*backtest
start: 2023-10-13 00:00:00
end: 2023-11-12 00:00:00
period: 1h
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/
// © ramsay09
//@version=4
strategy(title="The Strategy - Ichimoku Kinko Hyo and more",shorttitle="Strategy ", overlay=true)
backtest = input(title= "Backtest (no comment-string)", type= input.bool, defval= false)
entry_type = input("Both", title= "Long/Short Entry", options= ["Both", "Long", "Short"])
shared_param = input(false, title= " Shared Filter and Entry Parameters :", type= input.bool)
fr_period = input(2, title= "Fractals Period (Filter/Entry)", minval= 1)
rsi_period = input(14, title= "RSI Period (Filter/Entry)", minval= 1)
mult = input(2, type= input.float, title= "SuperTrend multiplier (Filter/Entry)", minval= 1)
len = input(5, type= input.integer, title= "SuperTrend length (Filter/Entry)", minval= 1)
start = 0.02//input(0.02, title= "PSAR Start (Filter/Entry)", minval= 0)
inc = 0.02//input(0.02, title= "PSAR Increment (Filter/Entry)", minval= 0)
max = 0.2//input(.2, title= "PSAR Maximum (Filter/Entry)", minval= 0)
adx_period = input(10, title= "ADX Period (Filter/Entry)", minval= 1)
adx_tres = input(25, title= "ADX threshold (Filter/Entry)", minval= 1)
X_opt = input("Price X Kumo sig", title="Signal", options= ["---", "Inside Bar sig", "Outside Bar sig", "Sandwich Bar sig", "Bar sig", "SMA50 sig", "RSI50 sig",
"Fractals sig", "Parabolic SAR sig", "SuperTrend sig", "Price X Kijun sig", "Price X Kumo sig", "Kumo flip sig",
"Price filtered Kumo flip sig", "Chikou X Price sig", "Chikou X Kumo sig", "Price X Tenkan sig", "Tenkan X Kumo sig",
"Tenkan X Kijun sig", "Kumo filtered Tenkan X Kijun sig", "CB/CS sig", "IB/IS sig", "B1/S1 sig", "B2/S2 sig"])
entry_f_1 = input("---", title="Entry filter 1", options= ["---", "SMA50 filter", "MACD filter", "RSI50 filter", "Fractals filter",
"SuperTrend filter", "Parabolic SAR filter", "Cloud filter", "Kijun filter", "ADX filter"])
entry_f_2 = input("---", title="Entry filter 2", options= ["---", "SMA50 filter", "MACD filter", "RSI50 filter", "Fractals filter",
"SuperTrend filter", "Parabolic SAR filter", "Cloud filter", "Kijun filter", "ADX filter"])
exit_f_1 = input("---", title="Exit filter 1", options= ["---", "SMA50 filter", "MACD filter", "RSI50 filter", "Fractals filter",
"SuperTrend filter", "Parabolic SAR filter", "Cloud filter", "Kijun filter", "ADX filter"])
exit_f_2 = input("---", title="Exit filter 2", options= ["---", "SMA50 filter", "MACD filter", "RSI50 filter", "Fractals filter",
"SuperTrend filter", "Parabolic SAR filter", "Cloud filter", "Kijun filter", "ADX filter"])
//-------------------- Ichimoku --------------------
TKlength = 9 //input(9, "Tenkan-sen length", minval= 1)
KJlength = 26 //input(26, "Kijun-sen length", minval= 1)
CSHSlength = 26 //input(26, "Chikouspan length/horizontal shift", minval= 1)
SBlength = 52 //input(52, "SenkouspanB length", minval= 1)
SAlength = 26 //input(26, "SenkouspanA length", minval= 1)
// calculation
TK = avg(lowest(TKlength), highest(TKlength))
KJ = avg(lowest(KJlength), highest(KJlength))
CS = close
SB = avg(lowest(SBlength), highest(SBlength))
SA = avg(TK,KJ)
kumo_high = max(SA[CSHSlength-1], SB[CSHSlength-1])
kumo_low = min(SA[CSHSlength-1], SB[CSHSlength-1])
//------------------------------------- Filters and entry signals --------------------------------------
//---------------------- Kumo filter ------------------------
kumo_buy = close > kumo_high
kumo_sell = close < kumo_low
//--------------------- Kijun filter ----------------------
kijun_buy = close > KJ
kijun_sell = close < KJ
//----------------------- macd filter -----------------------
[macdLine_f, signalLine_f, histLine_f] = macd(close, 12, 26, 9)
macd_buy = macdLine_f > signalLine_f
macd_sell = macdLine_f < signalLine_f
//---------------------- rsi filter and entry signal------------------------
rsi_f_buy = rsi(close, rsi_period) > 50
rsi_f_sell = rsi(close, rsi_period) < 50
//---------------- Bill Williams Fractals (filter and entry signal) -----------------
up_fr = pivothigh(fr_period, fr_period)
dn_fr = pivotlow(fr_period, fr_period)
fractal_up_v = valuewhen(up_fr, high[fr_period],0)
fractal_dn_v = valuewhen(dn_fr, low[fr_period],0)
fr_upx = high > fractal_up_v
fr_dnx = low < fractal_dn_v
//-------------------- SuperTrend filter and entry signal ---------------------
[SuperTrend, Dir] = supertrend(mult, len)
sup_buy = close > SuperTrend
sup_sell = close < SuperTrend
//--------------------- Heikin Ashi -----------------------
//heikin_close = security(heikinashi(syminfo.tickerid), timeframe.period, close)
//heikin_open = security(heikinashi(syminfo.tickerid), timeframe.period, open)
//h_buy = heikin_close[1] > heikin_open[1]
//h_sell = heikin_close[1] < heikin_open[1]
//----------------- Parabolic SAR Signal (pb/ps) and filter -------------------
psar_buy = high > sar(start, inc, max)[0]
psar_sell = low < sar(start, inc, max)[0]
//-------------------------- ADX filter ---------------------------
[diplus_f, diminus_f, adx_f] = dmi(adx_period, adx_period)
//-------------------------- SMA50 filter and entry---------------------------
sma50_buy = close[2] > sma(close, 50)
sma50_sell = close[2] < sma(close, 50)
//-------------------------- entry filter -------------------------------
//entry buy filter 1 options
entry_filter_buy_1 =
entry_f_1 == "---" ? true :
entry_f_1 == "MACD filter" ? macd_buy :
entry_f_1 == "RSI50 filter" ? rsi_f_buy :
entry_f_1 == "Fractals filter" ? fr_upx :
entry_f_1 == "SuperTrend filter" ? sup_buy :
entry_f_1 == "Parabolic SAR filter" ? psar_buy :
entry_f_1 == "Cloud filter" ? kumo_buy :
entry_f_1 == "Kijun filter" ? kijun_buy :
entry_f_1 == "SMA50 filter" ? sma50_buy :
entry_f_1 == "ADX filter" ? adx_f > 25 : true
//entry sell filter 1 options
entry_filter_sell_1 =
entry_f_1 == "---" ? true :
entry_f_1 == "MACD filter" ? macd_sell :
entry_f_1 == "RSI50 filter" ? rsi_f_sell :
entry_f_1 == "Fractals filter" ? fr_dnx :
entry_f_1 == "SuperTrend filter" ? sup_sell :
entry_f_1 == "Parabolic SAR filter" ? psar_sell :
entry_f_1 == "Cloud filter" ? kumo_sell :
entry_f_1 == "Kijun filter" ? kijun_sell :
entry_f_1 == "SMA50 filter" ? sma50_sell :
entry_f_1 == "ADX filter" ? adx_f > 25 : true
//entry buy filter 2 options
entry_filter_buy_2 =
entry_f_2 == "---" ? true :
entry_f_2 == "MACD filter" ? macd_buy :
entry_f_2 == "RSI50 filter" ? rsi_f_buy :
entry_f_2 == "Fractals filter" ? fr_upx :
entry_f_2 == "SuperTrend filter" ? sup_buy :
entry_f_2 == "Parabolic SAR filter" ? psar_buy :
entry_f_2 == "Cloud filter" ? kumo_buy :
entry_f_2 == "Kijun filter" ? kijun_buy :
entry_f_2 == "SMA50 filter" ? sma50_buy :
entry_f_2 == "ADX filter" ? adx_f > 25 : true
//entry sell filter 2 options
entry_filter_sell_2 =
entry_f_2 == "---" ? true :
entry_f_2 == "MACD filter" ? macd_sell :
entry_f_2 == "RSI50 filter" ? rsi_f_sell :
entry_f_2 == "Fractals filter" ? fr_dnx :
entry_f_2 == "SuperTrend filter" ? sup_sell :
entry_f_2 == "Parabolic SAR filter" ? psar_sell :
entry_f_2 == "Cloud filter" ? kumo_sell :
entry_f_2 == "Kijun filter" ? kijun_sell :
entry_f_2 == "SMA50 filter" ? sma50_sell :
entry_f_2 == "ADX filter" ? adx_f > 25 : true
//------------------------- exit filter -----------------------
//exit buy filter 1 options
exit_filter_buy_1 =
exit_f_1 == "---" ? false :
exit_f_1 == "MACD filter" ? macd_buy :
exit_f_1 == "RSI50 filter" ? rsi_f_buy :
exit_f_1 == "Fractals filter" ? fr_upx :
exit_f_1 == "SuperTrend filter" ? sup_buy :
exit_f_1 == "Parabolic SAR filter" ? psar_buy :
exit_f_1 == "Cloud filter" ? kumo_buy :
exit_f_1 == "Kijun filter" ? kijun_buy :
exit_f_1 == "SMA50 filter" ? sma50_buy :
exit_f_1 == "ADX filter" ? adx_f > 25 : false
//exit sell filter 1 options
exit_filter_sell_1 =
exit_f_1 == "---" ? false :
exit_f_1 == "MACD filter" ? macd_sell :
exit_f_1 == "RSI50 filter" ? rsi_f_sell :
exit_f_1 == "Fractals filter" ? fr_dnx :
exit_f_1 == "SuperTrend filter" ? sup_sell :
exit_f_1 == "Parabolic SAR filter" ? psar_sell :
exit_f_1 == "Cloud filter" ? kumo_sell :
exit_f_1 == "Kijun filter" ? kijun_sell :
exit_f_1 == "SMA50 filter" ? sma50_sell :
exit_f_1 == "ADX filter" ? adx_f > 25 : false
//exit buy filter 2 options
exit_filter_buy_2 =
exit_f_2 == "---" ? false :
exit_f_2 == "MACD filter" ? macd_buy :
exit_f_2 == "RSI50 filter" ? rsi_f_buy :
exit_f_2 == "Fractals filter" ? fr_upx :
exit_f_2 == "SuperTrend filter" ? sup_buy :
exit_f_2 == "Parabolic SAR filter" ? psar_buy :
exit_f_2 == "Cloud filter" ? kumo_buy :
exit_f_2 == "Kijun filter" ? kijun_buy :
exit_f_2 == "SMA50 filter" ? sma50_buy :
exit_f_2 == "ADX filter" ? adx_f > 25 : false
//exit sell filter 2 options
exit_filter_sell_2 =
exit_f_2 == "---" ? false :
exit_f_2 == "MACD filter" ? macd_sell :
exit_f_2 == "RSI50 filter" ? rsi_f_sell :
exit_f_2 == "Fractals filter" ? fr_dnx :
exit_f_2 == "SuperTrend filter" ? sup_sell :
exit_f_2 == "Parabolic SAR filter" ? psar_sell :
exit_f_2 == "Cloud filter" ? kumo_sell :
exit_f_2 == "Kijun filter" ? kijun_sell :
exit_f_2 == "SMA50 filter" ? sma50_sell :
exit_f_2 == "ADX filter" ? adx_f > 25 : false
//----------------------- i-o-s signals ------------------------
i_bar_buy = high[1] < high[2] and low[1] > low[2] and close > high[1]
i_bar_sell = high[1] < high[2] and low[1] > low[2] and close < low[1]
o_bar_buy = high[1] > high[2] and low[1] < low[2] and high > high[1]
o_bar_sell = high[1] > high[2] and low[1] < low[2] and low < low[1]
s_bar_buy = high[2] < high[3] and low[2] > low[3] and high[1] > high[2] and low[1] < low[2] and high > high[1]
s_bar_sell = high[2] < high[3] and low[2] > low[3] and high[1] > high[2] and low[1] < low[2] and low < low[1]
//----------------- Ichimoku Signal B1/S1 -----------------
buy_strong_B1 = (TK >= KJ) and close > kumo_high and CS > high[(26-1)] and CS > kumo_high[26-1] and SA > SB
sell_strong_S1 = (TK <= KJ) and close < kumo_low and CS < low[(26-1)] and CS < kumo_low[26-1] and SA < SB
var buy_sig = true
var sell_sig = true
B1_a = buy_strong_B1 and buy_sig
S1_a = sell_strong_S1 and sell_sig
if sell_strong_S1
buy_sig := true, sell_sig := false
if buy_strong_B1
sell_sig := true, buy_sig := false
//----------------- Ichimoku Signal B2/S2 -----------------
buy_strong_B2 = (TK >= KJ) and close > kumo_high and CS > high[26-1]
sell_strong_S2 = (TK <= KJ) and close < kumo_low and CS < low[26-1]
var buy_sig_B2 = true
var sell_sig_S2 = true
B2_a = buy_strong_B2 and buy_sig_B2
S2_a = sell_strong_S2 and sell_sig_S2
if sell_strong_S2
buy_sig_B2 := true, sell_sig_S2 := false
if buy_strong_B2
sell_sig_S2 := true, buy_sig_B2 := false
//---------------------------- Confluence Signal ----------------------------
long_short_trig = 7 //input(7, type= input.float, title= "Confluence signal trigger Level", step= 0.1)
trig_gap_cbcs = input(2, type= input.float, title= "CB/CS signal sesitivity", minval= 0, maxval= 6, step= 1)
//Indicators
// ma
sma1 = sma(close, 50)
sma2 = sma(close, 200)
ema1 = ema(close, 50)
ema2 = ema(close, 200)
[macdLine, signalLine, histLine] = macd(close, 12, 26, 9)
rsi = rsi(close, 14)
[diplus, diminus, adx] = dmi(7, 7)
[superTrend, dir] = supertrend(2, 5)
//Klinger Oszillator
sv = change(hlc3) >= 0 ? volume : -volume
kvo = ema(sv, 34) - ema(sv, 55)
sig = ema(kvo, 13)
//Vortex Indicator
VMP = sum( abs( high - low[1]), 14 )
VMM = sum( abs( low - high[1]), 14 )
STR = sum( atr(1), 14 )
VIP = VMP / STR
VIM = VMM / STR
//Signals
var float sma_sig_w = na
var float ema_sig_w = na
var float p_kj_sig_w = na
var float tk_kj_sig_w = na
var float B1_S1_sig_w = na
var float B2_S2_sig_w = na
var float psar_sig_w = na
var float frac_sig_w = na
var float macd_sig_w = na
var float rsi_sig_w = na
var float p_tk_sig_w = na
var float dmi_sig_w = na
var float klin_sig_w = na
var float vort_sig_w = na
var float sup_sig_w = na
if sma1 > sma2
sma_sig_w := 1
else if sma1 < sma2
sma_sig_w := 0
if ema1 > ema2
ema_sig_w := 1
else if ema1 < ema2
ema_sig_w := 0
if close > KJ
p_kj_sig_w := 1
else if close < KJ
p_kj_sig_w := 0
if TK > KJ
tk_kj_sig_w := 1
else if TK < KJ
tk_kj_sig_w := 0
if buy_strong_B1
B1_S1_sig_w := 1
else if sell_strong_S1
B1_S1_sig_w := 0
if buy_strong_B2
B2_S2_sig_w := 1
else if sell_strong_S2
B2_S2_sig_w := 0
if high >= sar(start, inc, max)[0]
psar_sig_w := 1
else if low <= sar(start, inc, max)[0]
psar_sig_w := 0
if high > fractal_up_v
frac_sig_w := 1
else if low < fractal_dn_v
frac_sig_w := 0
if macdLine > signalLine
macd_sig_w := 1
else if macdLine < signalLine
macd_sig_w := 0
if rsi > 50
rsi_sig_w := 1
else if rsi < 50
rsi_sig_w := 0
if close[2] > TK
p_tk_sig_w := 1
else if close[2] < TK
p_tk_sig_w := 0
if diplus > diminus
dmi_sig_w := 1
else if diplus < diminus
dmi_sig_w := 0
if sig > 0
klin_sig_w := 1
else if sig < 0
klin_sig_w := 0
if VIP > VIM
vort_sig_w := 1
else if VIP < VIM
vort_sig_w := 0
if close > superTrend
sup_sig_w := 1
else if close < superTrend
sup_sig_w := 0
bs_conf_sig = sma_sig_w + ema_sig_w + p_kj_sig_w + tk_kj_sig_w + B1_S1_sig_w + B2_S2_sig_w + psar_sig_w + frac_sig_w + macd_sig_w +
rsi_sig_w + dmi_sig_w + klin_sig_w + vort_sig_w + sup_sig_w + p_tk_sig_w
long_c = bs_conf_sig > long_short_trig + trig_gap_cbcs //with +- signal is less fluctuating
short_c = bs_conf_sig < long_short_trig - trig_gap_cbcs
//---------------------------- Pure Ichimoku Confluence Signal ----------------------------
pic_l_s_trig = 4 //input(4, type= input.float, title= "Ichimoku confluence signal trigger Level", step= 0.1)
trig_gap_ibis = input(0, type= input.float, title= "IB/IS signal sesitivity", minval= 0, maxval= 3, step= 1)
//Signals
var float tkkh_sig_w = na
var float csh_sig_w = na
var float cskh_sig_w = na
var float pkj_sig_w = na
var float ptk_sig_w = na
var float tkkj_sig_w = na
var float sasb_sig_w = na
var float ckh_sig_w = na
if TK > kumo_high
tkkh_sig_w := 1
else if TK < kumo_low
tkkh_sig_w := 0
if CS > high[(26-1)]
csh_sig_w := 1
else if CS < low[(26-1)]
csh_sig_w := 0
if CS > kumo_high[26-1]
cskh_sig_w := 1
else if CS < kumo_low[26-1]
cskh_sig_w := 0
if close > TK
ptk_sig_w := 1
else if close < TK
ptk_sig_w := 0
if close > KJ
pkj_sig_w := 1
else if close < KJ
pkj_sig_w := 0
if TK > KJ
tkkj_sig_w := 1
else if TK < KJ
tkkj_sig_w := 0
if SA > SB
sasb_sig_w := 1
else if SA < SB
sasb_sig_w := 0
if close > kumo_high
ckh_sig_w := 1
else if close < kumo_low
ckh_sig_w := 0
bs_pic_sig = tkkh_sig_w + csh_sig_w + cskh_sig_w + ptk_sig_w + pkj_sig_w + tkkj_sig_w + sasb_sig_w + ckh_sig_w
long_pic = bs_pic_sig > pic_l_s_trig + trig_gap_ibis
short_pic = bs_pic_sig < pic_l_s_trig - trig_gap_ibis
//--------------------------- Entry Signal Options ---------------------------
var buy_sig_opt = true
var sell_sig_opt = true
// cross conditions for "Strong" bg's
var bool sasb_x = true
if crossover(SA, SB) and low > kumo_high
sasb_x := true
if crossunder(SA, SB) and high < kumo_low
sasb_x := false
var bool tkkj_x = true
if crossover(TK, KJ) and TK > kumo_high and KJ > kumo_high
tkkj_x := true
if crossunder(TK, KJ) and TK < kumo_low and KJ < kumo_low
tkkj_x := false
// buy signal options
opt_sig_buy =
X_opt == "---" ? na :
X_opt == "Inside Bar sig" ? i_bar_buy :
X_opt == "Outside Bar sig" ? o_bar_buy :
X_opt == "Sandwich Bar sig" ? s_bar_buy :
X_opt == "Bar sig" ? close > high[1] :
X_opt == "SMA50 sig" ? close[2] > sma(close, 50) :
X_opt == "Fractals sig" ? fr_upx :
X_opt == "RSI50 sig" ? rsi_f_buy :
X_opt == "Parabolic SAR sig" ? psar_buy :
X_opt == "SuperTrend sig" ? sup_buy :
X_opt == "Price X Kijun sig" ? close > KJ :
X_opt == "Price X Kumo sig" ? close > kumo_high :
X_opt == "Kumo flip sig" ? SA > SB :
X_opt == "Price filtered Kumo flip sig" ? sasb_x and low > kumo_high :
X_opt == "Chikou X price sig" ? CS > high[(26-1)] :
X_opt == "Chikou X Kumo sig" ? CS > kumo_high[26-1] :
X_opt == "Price X Tenkan sig" ? close > TK :
X_opt == "Tenkan X Kumo sig" ? TK > kumo_high :
X_opt == "Tenkan X Kijun sig" ? TK > KJ :
X_opt == "Kumo filtered Tenkan X Kijun sig" ? tkkj_x and TK > kumo_high and KJ > kumo_high and TK > KJ :
X_opt == "CB/CS sig" ? long_c :
X_opt == "IB/IS sig" ? long_pic :
X_opt == "B1/S1 sig" ? buy_strong_B1 :
X_opt == "B2/S2 sig" ? buy_strong_B2 : na
// sell signal options
opt_sig_sell =
X_opt == "---" ? na :
X_opt == "Inside Bar sig" ? i_bar_sell :
X_opt == "Outside Bar sig" ? o_bar_sell :
X_opt == "Sandwich Bar sig" ? s_bar_sell :
X_opt == "Bar sig" ? close < low[1] :
X_opt == "SMA50 sig" ? close[2] < sma(close, 50) :
X_opt == "Fractals sig" ? fr_dnx :
X_opt == "RSI50 sig" ? rsi_f_sell :
X_opt == "Parabolic SAR sig" ? psar_sell :
X_opt == "SuperTrend sig" ? sup_sell :
X_opt == "Price X Kijun sig" ? close < KJ :
X_opt == "Price X Kumo sig" ? close < kumo_low :
X_opt == "Kumo flip sig" ? SA < SB :
X_opt == "Price filtered Kumo flip sig" ? not sasb_x and high < kumo_low :
X_opt == "Chikou X price sig" ? CS < low[(26-1)] :
X_opt == "Chikou X Kumo sig" ? CS < kumo_high[26-1] :
X_opt == "Price X Tenkan sig" ? close < TK :
X_opt == "Tenkan X Kumo sig" ? TK < kumo_low :
X_opt == "Tenkan X Kijun sig" ? TK < KJ :
X_opt == "Kumo filtered Tenkan X Kijun sig" ? not tkkj_x and TK < kumo_low and KJ < kumo_low and TK < KJ :
X_opt == "CB/CS sig" ? short_c :
X_opt == "IB/IS sig" ? short_pic :
X_opt == "B1/S1 sig" ? sell_strong_S1 :
X_opt == "B2/S2 sig" ? sell_strong_S2 : na
if opt_sig_sell
buy_sig := true, sell_sig_opt := false
if opt_sig_buy
sell_sig := true, buy_sig_opt := false
//---------------------------- Take profit and stop loss ------------------------------
tp_en = input(title= "Enable take profit", type= input.bool, defval= false)
qty_tp = input(50, title= "Take profit - quantity of position (percent)", type= input.float, minval= 1, maxval= 100, step= 5)
tp_ticks = input(1000, title= "Take profit - ticks", type= input.integer, minval= 0, step= 10)
sl_en = input(title= "Enable stop loss", type= input.bool, defval= false)
sl_ticks = input(1000, title= "Stop loss - ticks", type= input.integer, minval= 0, step= 10)
//----------------------- Backtest periode --------------------------------
start_year = input(2018, "Start year")
start_month = input(1, "Start month", minval= 1, maxval= 12)
start_day = input(1, "Start day", minval= 1, maxval= 31)
period_start = timestamp(start_year, start_month, start_day, 0, 0)
stop_year = input(2021, "Stop year")
stop_month = input(12, "Stop month", minval= 1, maxval= 12)
stop_day = input(31, "Stop day", minval= 1, maxval= 31)
period_stop = timestamp(stop_year, stop_month, stop_day, 0, 0)
backtest_period() => time >= period_start and time <= period_stop ? true : false
//--------------------- strategy entry ---------------------
long = entry_type != "Short"
short = entry_type != "Long"
not_both = entry_type != "Both"
if not backtest
if long
strategy.entry("os_buy", strategy.long, when = opt_sig_buy and entry_filter_buy_1 and entry_filter_buy_2,
comment= "")
strategy.close("os_buy", when = exit_filter_sell_1 or exit_filter_sell_2 or not_both ? opt_sig_sell : na
, comment= "")
strategy.exit("tpl", "os_buy", qty_percent= tp_en ? qty_tp : na, profit= tp_en ? tp_ticks : na, loss= sl_en ? sl_ticks : na)
if short
strategy.entry("os_sell",strategy.short, when = opt_sig_sell and entry_filter_sell_1 and entry_filter_sell_2,
comment= "")
strategy.close("os_sell", when = exit_filter_buy_1 or exit_filter_buy_2 or not_both ? opt_sig_buy : na
, comment= "")
strategy.exit("tps", "os_sell", qty_percent= tp_en ? qty_tp : na, profit= tp_en ? tp_ticks : na, loss= sl_en ? sl_ticks : na)
if backtest_period() and backtest
if long
strategy.entry("os_buy", strategy.long, when = opt_sig_buy and entry_filter_buy_1 and entry_filter_buy_2)
strategy.close("os_buy", when = exit_filter_sell_1 or exit_filter_sell_2 or not_both ? opt_sig_sell : na)
strategy.exit("tpl", "os_buy", qty_percent= tp_en ? qty_tp : na, profit= tp_en ? tp_ticks : na, loss= sl_en ? sl_ticks : na)
if short
strategy.entry("os_sell",strategy.short, when = opt_sig_sell and entry_filter_sell_1 and entry_filter_sell_2)
strategy.close("os_sell", when = exit_filter_buy_1 or exit_filter_buy_2 or not_both ? opt_sig_buy : na)
strategy.exit("tps", "os_sell", qty_percent= tp_en ? qty_tp : na, profit= tp_en ? tp_ticks : na, loss= sl_en ? sl_ticks : na)