Name

基于一目均衡表的趋势追踪策略A-Strict-Trend-Following-Strategy-Based-on-Ichimoku-Kinko-Hyo

Author

ChaoZhang

Strategy Description

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概述

这是一个基于一目均衡表指标设计的趋势追踪策略。该策略利用一目均衡表的转换线、基准线以及云层的形态,设定了非常严格的入场条件,同时使用简单的止损方式来关闭订单。该策略适用于长线趋势交易。

策略原理

该策略使用一目均衡表的转换线、基准线、前沿线A、前沿线B以及价格本身的关系来判断趋势方向和力度。具体判断标准如下:

当前云层展宽且价格在云层之上;
未来云层展宽;
基准线在云层之上;
转换线在基准线之上;
价格在转换线之上;
当前和未来的前沿线A、前沿线B、基准线以及转换线的角度都是向上;

当上述所有条件同时满足时产生买入信号;当所有条件取反时,产生卖出信号。

该策略同时设定了前沿线A作为止损线。当价格跌破止损线后,平掉相关仓位。

优势分析

这是一个条件非常严格的策略,所以可以有效避免虚假信号的干扰,从而锁定大趋势的机会。同时,策略利用多种指标判断趋势,避免单一指标出错的系统性风险。

该策略适合长线持有,可以减少交易频率,有助于降低交易成本和滑点的影响。

风险分析

该策略的止损线比较宽松,未来前沿线A。这可能导致单笔损失比较大的风险。可以考虑收紧止损线,或使用辅助指标进行风险控制。

另外,策略信号较少,可能错过一些短线机会。如果追求更高频率的交易,可以考虑降低部分入场条件的严格性。

优化方向

可以考虑在入场条件上进行松紧平衡,降低进入门槛从而获取更多信号;或者提高标准滤除更多噪音,锁定少而精的信号。

止损方式可以优化,试验自动止损或远程止损等方法,控制单笔损失。

可以测试不同参数对结果的影响,找到最优参数组合。也可以加入其他指标进行评分,实现更精确的订单管理。

总结

这是一个非常严格的趋势追踪策略。它利用一目均衡表的多个指标判断趋势方向和力度,避免假信号。同时采用宽松的止损方式锁定长线大趋势。这是一个优秀的策略思路,通过参数和止损的优化,可以成为一个非常实用的量化交易策略。

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Overview

This is a trend following strategy designed based on the Ichimoku Kinko Hyo indicator. It sets very strict entry rules using multiple metrics from the Ichimoku system, while having simple exits to lock in trends. The strategy is intended for long-term trend trading.

Strategy Logic

The strategy uses the relationship between the conversion line, base line, leading span A, leading span B and price itself from the Ichimoku system to determine trend direction and strength. The specific rules are:

Current cloud expands and price above cloud;
Future cloud expands;
Base line above cloud;
Conversion line above base line;
Price above conversion line;
Current and future leading span A, leading span B, base line and conversion line angles pointing up.

It triggers buy signal when all above conditions are met, and sell signal when all conditions are inverted.

The strategy also sets leading span A as the stop loss line. It flattens positions when price crosses below stop loss.

Advantage Analysis

This is an extremely strict strategy, which effectively avoids false signals and locks in major trends. It also utilizes multiple indicators to determine the trend, preventing systemic failures of single metrics.

The strategy favors long holding periods, thus reducing trading frequency and cost from commissions and slippage.

Risk Analysis

The stop loss of this strategy is relatively wide, set at leading span A, which poses the risk of large losses per trade. Consider tightening stops or adding filters to control risks.

Also, there are fewer signals generated, which may miss some short-term opportunities. Traders seeking higher frequency may consider relaxing some entry rules.

Improvement Opportunities

Fine tune entry rules to strike a balance between getting more signals vs filtering out noise.

Explore more advanced stop loss techniques like automated or remote stops to control single trade loss.

Test impact of different parameter sets to find optimum values. Incorporate other indicators to achieve more accurate position sizing.

Conclusion

This is an exceptionally strict trend following strategy based on Ichimoku Kinko Hyo system. By using multiple Ichimoku metrics to gauge trend, it avoids false signals reliably. The wide stop loss allows it to ride long term trends. With parameter tuning and risk management enhancements, this strategy can evolve into a formidable system for quantitative trading.

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Strategy Arguments

Argument	Default	Description
v_input_1	20	ATR Period
v_input_2	9	Conversion Line Period
v_input_3	26	Base Line Period
v_input_4	52	Span B Period
v_input_5	26	Displacement
v_input_6	true	Min Current Cloud ATR
v_input_7	false	Min Future Cloud ATR
v_input_8	true	Check Base Line above Cloud?
v_input_9	true	Check Conversion Line above Base Line?
v_input_10	true	Check Price above Conversion Line?
v_input_11	false	Check Current Span A is pointing Up?
v_input_12	false	Check Current Span B is pointing Up?
v_input_13	true	Check Future Span A is pointing Up?
v_input_14	true	Check Future Span B is pointing Up?
v_input_15	true	Check Base Line is Pointing Up?
v_input_16	true	Check Conversion Line is Pointing Up?

Source (PineScript)

/*backtest
start: 2024-01-10 00:00:00
end: 2024-01-17 00:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy(title="BadaBing Ichimoku", shorttitle="BadaBing", overlay=true)

atr_period = input(title="ATR Period",  defval=20)
conversion_period = input(title="Conversion Line Period", defval=9, minval=1)
base_period = input(title="Base Line Period", defval=26, minval=1)
span_b_period = input(title="Span B Period", defval=52, minval=1)
displacement = input(title="Displacement", defval=26, minval=1)
min_current_cloud_atr = input(title="Min Current Cloud ATR", type=float, defval=1.0)
min_future_cloud_atr = input(title="Min Future Cloud ATR", type=float, defval=0)
check_base_line_above_cloud = input(title="Check Base Line above Cloud?", type=bool, defval=true)
check_conversion_line_above_base_line = input(title="Check Conversion Line above Base Line?", type=bool, defval=true)
check_price_above_conversion_line = input(title="Check Price above Conversion Line?", type=bool, defval=true)
check_span_a_point_up = input(title="Check Current Span A is pointing Up?", type=bool, defval=false)
check_span_b_point_up = input(title="Check Current Span B is pointing Up?", type=bool, defval=false)
check_future_span_a_point_up = input(title="Check Future Span A is pointing Up?", type=bool, defval=true)
check_future_span_b_point_up = input(title="Check Future Span B is pointing Up?", type=bool, defval=true)
check_base_line_point_up = input(title="Check Base Line is Pointing Up?", type=bool, defval=true)
check_conversion_line_point_up = input(title="Check Conversion Line is Pointing Up?", type=bool, defval=true)

bullish_color = #ccff99
bearish_color = #ff704d
span_a_color = #0000cc
span_b_color = #000066
conversion_color = #ff99ff
base_color = #4da6ff
bull_signal_color = #228b22
bear_signal_color = #990000

donchian(len) => avg(lowest(len), highest(len))
bchange(series) => series and not series[1]

conversion_line = donchian(conversion_period)
base_line = donchian(base_period)
future_span_a = avg(conversion_line, base_line)
future_span_b = donchian(span_b_period)
span_a = future_span_a[displacement]
span_b = future_span_b[displacement]
current_atr = atr(atr_period)

min_cloud_width = min_current_cloud_atr * current_atr
current_cloud_long_flag = span_a > (span_b + min_cloud_width)
current_cloud_short_flag = span_a < (span_b - min_cloud_width)
future_cloud_long_flag = future_span_a > (future_span_b + min_cloud_width)
future_cloud_short_flag = future_span_a < (future_span_b - min_cloud_width)
base_line_long_flag = check_base_line_above_cloud ? (base_line > span_a) : true
base_line_short_flag = check_base_line_above_cloud ? (base_line < span_a) : true
conversion_line_long_flag = check_conversion_line_above_base_line ? (conversion_line > base_line) : true
conversion_line_short_flag = check_conversion_line_above_base_line ? (conversion_line < base_line) : true
price_long_flag = check_price_above_conversion_line ? (close > conversion_line) : true
price_short_flag = check_price_above_conversion_line ? (close < conversion_line) : true
span_a_point_long_flag = check_span_a_point_up ? (span_a > span_a[1]) : true
span_a_point_short_flag = check_span_a_point_up ? (span_a < span_a[1]) : true
span_b_point_long_flag = check_span_b_point_up ? (span_b > span_b[1]) : true
span_b_point_short_flag = check_span_b_point_up ? (span_b < span_b[1]) : true
future_span_a_point_long_flag = check_future_span_a_point_up ? (future_span_a > future_span_a[1]) : true
future_span_a_point_short_flag = check_future_span_a_point_up ? (future_span_a < future_span_a[1]) : true
future_span_b_point_long_flag = check_future_span_b_point_up ? (future_span_b > future_span_b[1]) : true
future_span_b_point_short_flag = check_future_span_b_point_up ? (future_span_b < future_span_b[1]) : true
base_line_point_long_flag = check_base_line_point_up ? (base_line > base_line[1]) : true
base_line_point_short_flag = check_base_line_point_up ? (base_line < base_line[1]) : true
conversion_line_point_long_flag = check_conversion_line_point_up ? (conversion_line > conversion_line[1]) : true
conversion_line_point_short_flag = check_conversion_line_point_up ? (conversion_line < conversion_line[1]) : true


bada_long = bchange(current_cloud_long_flag)
   or bchange(future_cloud_long_flag)
   or bchange(base_line_long_flag)
   or bchange(conversion_line_long_flag)
   or bchange(price_long_flag)
   or bchange(span_a_point_long_flag)
   or bchange(span_b_point_long_flag)
   or bchange(future_span_a_point_long_flag)
   or bchange(future_span_b_point_long_flag)
   or bchange(base_line_point_long_flag)
   or bchange(conversion_line_point_long_flag)
bada_short = bchange(current_cloud_short_flag)
   or bchange(future_cloud_short_flag)
   or bchange(base_line_short_flag)
   or bchange(conversion_line_short_flag)
   or bchange(price_short_flag)
   or bchange(span_a_point_short_flag)
   or bchange(span_b_point_short_flag)
   or bchange(future_span_a_point_short_flag)
   or bchange(future_span_b_point_short_flag)
   or bchange(base_line_point_short_flag)
   or bchange(conversion_line_point_short_flag)
bada_color = bada_long ? bull_signal_color : bear_signal_color
plotshape(bada_long or bada_short, title="bada",
  style=shape.circle,
  location=location.belowbar,
  color=bada_color,
  transp=50)
   
bing_long = current_cloud_long_flag
   and future_cloud_long_flag
   and base_line_long_flag
   and conversion_line_long_flag
   and price_long_flag
   and span_a_point_long_flag
   and span_b_point_long_flag
   and future_span_a_point_long_flag
   and future_span_b_point_long_flag
   and base_line_point_long_flag
   and conversion_line_point_long_flag
bing_short = current_cloud_short_flag
   and future_cloud_short_flag
   and base_line_short_flag
   and conversion_line_short_flag
   and price_short_flag
   and span_a_point_short_flag
   and span_b_point_short_flag
   and future_span_a_point_short_flag
   and future_span_b_point_short_flag
   and base_line_point_short_flag
   and conversion_line_point_short_flag
bing_color = bing_long ? bull_signal_color : bear_signal_color
plotshape(bchange(bing_long or bing_short), title="bing",
   style=shape.diamond,
   location=location.abovebar,
   color=bing_color,
   transp=0)

c = plot(conversion_line, color=conversion_color, title="Conversion Line", linewidth=2)
b = plot(base_line, color=base_color, title="Base Line", linewidth=2)
p1 = plot(future_span_a, offset = displacement, color=span_a_color, title="Span A", linewidth=3)
p2 = plot(future_span_b, offset = displacement, color=red, title="Span B", linewidth=3)
fill(p1, p2, color = future_span_a > future_span_b ? bullish_color : bearish_color, transp = 60)

strategy.entry("long", true, 1, when=bing_long)
strategy.exit("stop", "long", stop=span_a)
strategy.close("long", when=close < base_line)
strategy.entry("short", false, 1, when=bing_short)
strategy.exit("stop", "short", stop=span_a)
strategy.close("short", when=close > base_line)

Detail

https://www.fmz.com/strategy/439226

Last Modified

2024-01-18 15:03:28

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基于一目均衡表的趋势追踪策略A-Strict-Trend-Following-Strategy-Based-on-Ichimoku-Kinko-Hyo.md

基于一目均衡表的趋势追踪策略A-Strict-Trend-Following-Strategy-Based-on-Ichimoku-Kinko-Hyo.md

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Strategy Logic

Advantage Analysis

Risk Analysis

Improvement Opportunities

Conclusion

Files

基于一目均衡表的趋势追踪策略A-Strict-Trend-Following-Strategy-Based-on-Ichimoku-Kinko-Hyo.md

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基于一目均衡表的趋势追踪策略A-Strict-Trend-Following-Strategy-Based-on-Ichimoku-Kinko-Hyo.md

File metadata and controls

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Strategy Logic

Advantage Analysis

Risk Analysis

Improvement Opportunities

Conclusion