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基于Ichimoku-Kinko-Hyo指标的突破策略Ichimoku-Kinko-Hyo-Breakout-Strategy.md

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Name

基于Ichimoku-Kinko-Hyo指标的突破策略Ichimoku-Kinko-Hyo-Breakout-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

一、策略概述

本策略名称为“基于Ichimoku Kinko Hyo指标的多空双向突破策略”。该策略运用Ichimoku Kinko Hyo指标中的变转线、基准线、先行线以及Kumo云图,判断股票的多空方向和趋势,以实现突破买入和突破卖出。

二、策略详细原理

  1. 计算Ichimoku Kinko Hyo指标的组成要素,包括:

    • Tenkan-Sen(转折线):计算最高价和最低价的中间值
    • Kijun-Sen(基准线):计算最高价和最低价的中间值
    • Senkou Span A(先行线A):计算Tenkan-Sen和Kijun-Sen的中间值
    • Senkou Span B(先行线B):计算最高价和最低价的中间值
    • Chikou Span(延迟线)

  2. 判定买入信号:

    • 当Tenkan-Sen上穿Kijun-Sen时;
    • 且当日收盘价上穿Kumo云图时;
    • 且延迟线上穿Kumo云图时,产生买入信号。

  3. 判定卖出信号:

    • 当Tenkan-Sen下穿Kijun-Sen时;
    • 且当日收盘价下穿Kumo云图时;
    • 且延迟线下穿Kumo云图时,产生卖出信号。

三、策略优势分析

  1. 运用Ichimoku Kinko Hyo指标判断趋势,准确率较高。
  2. 延迟线的加入避免了假突破的发生。
  3. 多空双向交易,可在市场上涨和下跌中都获得收益。
  4. 参数可调整,适应不同周期。

四、策略风险分析

  1. 市场震荡时,可能出现频繁交易亏损。
  2. 需要同时满足多个条件判定信号,可能错过最佳入场点。
  3. 高换手费率,长期交易成本较高。

风险解决方法

  1. 调整参数,避免震荡市频繁交易。
  2. 结合其他指标确认信号,降低错误率。
  3. 适当延长持仓周期,降低换手费率。

五、策略优化方向

  1. 结合移动平均线等指标确认交易信号。
  2. 加入止损逻辑,降低单笔亏损。
  3. 优化参数,使之对不同周期和品种适应性更强。

六、策略总结

本策略通过Ichimoku Kinko Hyo多指标组合判断股票趋势,并以价格和云图的突破为交易信号,实现了多空双向交易。相比单一指标,本策略判断准确度更高,避免了许多假突破。同时也存在一定程度上的滞后,无法抓住最佳买入时点的问题。总体而言,该策略准确判定趋势方向的能力较强,风险也在可控范围,值得进一步优化和验证。

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I. Strategy Overview

The strategy is named "Ichimoku Kinko Hyo Indicator Based Breakout Strategy". It utilizes the Tenkan-Sen, Kijun-Sen lines, Senkou Span lines and Kumo cloud from the Ichimoku Kinko Hyo indicator to determine the trend direction and implement breakout entry and exit signals.

II. Strategy Details

  1. Calculate the components of the Ichimoku Kinko Hyo indicator:

    • Tenkan-Sen: middle of highest and lowest prices
    • Kijun-Sen: middle of highest and lowest prices
    • Senkou Span A: middle of Tenkan-Sen and Kijun-Sen
    • Senkou Span B: middle of highest and lowest prices
    • Chikou Span: lagging span

  2. Determine long signal:

    • When Tenkan-Sen cross above Kijun-Sen;
    • And close price break above the Kumo cloud;
    • And Chikou Span break above the Kumo cloud.

  3. Determine short signal:

    • When Tenkan-Sen cross below Kijun-Sen;
    • And close price break below the Kumo cloud;
    • And Chikou Span break below the Kumo cloud.

III. Advantage Analysis

  1. Ichimoku Kinko Hyo is accurate in determining trends.
  2. Chikou Span avoids false breakouts.
  3. Allow long and short trading in both uptrend and downtrend.
  4. Customizable parameters for different periods.

IV. Risk Analysis

  1. Frequent losing trades during market consolidation.
  2. Missing best entry points due to multiple criteria.
  3. High turnover rate increases transaction costs.

Solutions

  1. Adjust parameters to avoid overtrading.
  2. Combine with other indicators to confirm signals.
  3. Extend holding period to decrease turnover.

V. Optimization Directions

  1. Add moving averages to confirm trading signals.
  2. Implement stop loss to limit downside risk.
  3. Optimize parameters to improve robustness.

VI. Strategy Summary

The strategy determines trend direction accurately using Ichimoku Kinko Hyo indicators and takes breakout signals as entry and exit points, allowing long and short trading. Compared with single indicator strategies, it has higher accuracy and avoids many false signals. There is also some lagging in capturing best entry price. In conclusion, the strategy is quite effective in determining trends and the risks are manageable. Further optimizations and walk-forward testing are recommended.
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Strategy Arguments

Argument Default Description
v_input_int_1 7 Tenkan-Sen Bars
v_input_int_2 14 Kijun-Sen Bars
v_input_int_3 28 Senkou-Span B Bars
v_input_int_4 14 Chikou-Span Offset
v_input_int_5 14 Senkou-Span Offset
v_input_1 true Long Entry
v_input_2 false Short Entry

Source (PineScript)

/*backtest
start: 2023-01-09 00:00:00
end: 2024-01-15 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy('Ichimoku Kinko Hyo: Basic Strategy', overlay=true)

//Inputs
ts_bars = input.int(7, minval=1, title='Tenkan-Sen Bars')
ks_bars = input.int(14, minval=1, title='Kijun-Sen Bars')
ssb_bars = input.int(28, minval=1, title='Senkou-Span B Bars')
cs_offset = input.int(14, minval=1, title='Chikou-Span Offset')
ss_offset = input.int(14, minval=1, title='Senkou-Span Offset')
long_entry = input(true, title='Long Entry')
short_entry = input(false, title='Short Entry')

middle(len) =>
    math.avg(ta.lowest(len), ta.highest(len))

// Ichimoku Components
tenkan = middle(ts_bars)
kijun = middle(ks_bars)
senkouA = math.avg(tenkan, kijun)
senkouB = middle(ssb_bars)

// Plot Ichimoku Kinko Hyo
plot(tenkan, color=color.new(#0496ff, 0), title='Tenkan-Sen')
plot(kijun, color=color.new(#991515, 0), title='Kijun-Sen')
plot(close, offset=-cs_offset + 1, color=color.new(#459915, 0), title='Chikou-Span')
sa = plot(senkouA, offset=ss_offset - 1, color=color.new(color.green, 0), title='Senkou-Span A')
sb = plot(senkouB, offset=ss_offset - 1, color=color.new(color.red, 0), title='Senkou-Span B')
fill(sa, sb, color=senkouA > senkouB ? color.green : color.red, title='Cloud color', transp=90)

ss_high = math.max(senkouA[ss_offset - 1], senkouB[ss_offset - 1])
ss_low = math.min(senkouA[ss_offset - 1], senkouB[ss_offset - 1])

// Entry/Exit Signals
tk_cross_bull = tenkan > kijun
tk_cross_bear = tenkan < kijun
cs_cross_bull = ta.mom(close, cs_offset - 1) > 0
cs_cross_bear = ta.mom(close, cs_offset - 1) < 0
price_above_kumo = close > ss_high
price_below_kumo = close < ss_low

bullish = tk_cross_bull and cs_cross_bull and price_above_kumo
bearish = tk_cross_bear and cs_cross_bear and price_below_kumo

strategy.entry('Long', strategy.long, when=bullish and long_entry)
strategy.entry('Short', strategy.short, when=bearish and short_entry)

strategy.close('Long', when=bearish and not short_entry)
strategy.close('Short', when=bullish and not long_entry)

Detail

https://www.fmz.com/strategy/438972

Last Modified

2024-01-16 17:12:49