Name
Ichimoku均线交叉策略Ichimoku-Moving-Average-Crossover-Strategy
Author
ChaoZhang
Strategy Description
Ichimoku均线交叉策略通过计算一系列均线,识别股价交叉信号,进行长短做多做空操作。该策略结合多种技术指标,扎实可靠,适用于中长线操作。
Ichimoku均线交叉策略使用一份由5条均线组成的专门指标体系。具体来说,包含换手线、基准线、先行1、先行2和延迟线5条均线。其中,换手线是近期价格动量的均线,基准线反映中长期价格趋势,先行线组合换手线和基准线,反映未来走势,延迟线显示过去价格的参考。当价格突破基准线时产生交易信号。该策略同时结合实体线滤波器和K线色彩判断,避免假突破。
Ichimoku均线交叉策略集多种技术指标优点于一体。它融合了移动平均线、价格通道、量价确认等多个策略思想,形成系统性的方法论体系。这保证了交易信号的 accurateness和方向性。与单一指标策略相比,该策略可以大大降低假信号的概率,提高盈利因子。
Ichimoku均线交叉策略作为趋势跟随策略,其交易Interval较长。这意味着策略无法捕捉短期价格震荡。此外,股价剧烈波动时,均线指标会失效。这些情况下,会产生错误信号和亏损交易。建议采用止损来控制风险。
Ichimoku均线交叉策略可以从以下方向进行优化:1)调整均线参数,适应不同周期和品种;2)结合量能指标,确认价格和交易量关系;3)引入机器学习模型,改进信号判断;4)加入更多条件和过滤器,降低错误交易发生概率。
Ichimoku均线交叉策略稳定可靠,适合作为核心策略,与其他算法组合使用。它提供清晰的趋势交易方向,而参数调整和多指标优化又使策略更加智能和灵活。该策略值得量化交易者重点研究和长期应用。
||
The Ichimoku moving average crossover strategy identifies long and short signals by calculating a set of moving averages and detecting price crosses. This strategy combines multiple technical indicators and provides solid and reliable trading for middle-to-long term operations.
The Ichimoku strategy utilizes a specialized system consisting of 5 moving average lines, namely the conversion line, base line, leading span 1, leading span 2, and lagging span. Specifically, the conversion line depicts recent price momentum, the base line shows the medium-to-long term trend, the leading lines combine the conversion and base to predict future moves, and the lagging span displays past prices for reference. Trading signals are generated when the price breaks through the base line. The strategy also incorporates body filters and candlestick colors to avoid false breaks.
The Ichimoku strategy amalgamates the strengths of various technical indicators into one system. It fuses concepts of moving averages, price channels, volume confirmation etc., forming a systematic methodology. This ensures accuracy and directionality of the trading signals. Compared to single-indicator strategies, it greatly reduces false signals and increases profit factors.
As a trend following system, the Ichimoku strategy has relatively long trading intervals. This means short-term price oscillations cannot be captured. Also, moving averages fail when prices fluctuate violently. Such situations can lead to wrong signals and losing trades. It is advisable to use stops to control risks.
The Ichimoku strategy can be improved in areas like: 1) Adjusting average parameters for different periods and products; 2) Incorporating volume indicators to confirm price-volume relations; 3) Introducing machine learning models to refine signal determination; 4) Adding more filters to lower incorrect trade probability.
The stable and reliable Ichimoku moving average crossover strategy is suitable as a core strategy combined with other algorithms. Its clear trend guidance and flexibility owing to parameter tuning and multi-indicator optimization make it worthwhile for in-depth research and long-term application by quant traders.
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Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_1 | true | Long |
| v_input_2 | true | Short |
| v_input_3 | 9 | Conversion Periods |
| v_input_4 | 26 | Base Periods |
| v_input_5 | 52 | Lagging Span |
| v_input_6 | true | Use body filter |
| v_input_7 | true | Use color filter |
| v_input_8 | 1900 | From Year |
| v_input_9 | 2100 | To Year |
| v_input_10 | true | From Month |
| v_input_11 | 12 | To Month |
| v_input_12 | true | From day |
| v_input_13 | 31 | To day |
Source (PineScript)
/*backtest
start: 2023-11-18 00:00:00
end: 2023-12-18 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2018
//@version=3
strategy(title = "Noro's Ichimoku Strategy v1.0", shorttitle = "Ichimoku str 1.0", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
conversionPeriods = input(9, minval = 1, title = "Conversion Periods")
basePeriods = input(26, minval = 1, title = "Base Periods")
laggingSpan2Periods = input(52, minval = 1, title = "Lagging Span")
usebf = input(true, defval = true, title = "Use body filter")
usecf = input(true, defval = true, title = "Use color filter")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//Ichimoku
donchian(len) => avg(lowest(len), highest(len))
conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)
//Lines
plot(conversionLine, color=red, title="Conversion Line")
plot(baseLine, color=blue, title="Base Line")
plot(close, offset = -basePeriods, color=green, title="Lagging Span")
p1 = plot(leadLine1, offset = basePeriods, color=green, title="Lead 1")
p2 = plot(leadLine2, offset = basePeriods, color=red, title="Lead 2")
fill(p1, p2)
//Body Filter
nbody = abs(close - open)
abody = sma(nbody, 10)
body = nbody > abody / 3 or usebf == false
//Color Filter
bar = close > open ? 1 : close < open ? -1 : 0
gb = bar == 1 or usecf == false
rb = bar == -1 or usecf == false
//Signals
up = low > baseLine and rb and body
dn = high < baseLine and gb and body
//Trading
if up
//if strategy.position_size < 0
// strategy.close_all()
strategy.entry("Long", strategy.long, needlong == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if dn
//if strategy.position_size > 0
// strategy.close_all()
strategy.entry("Short", strategy.short, needshort == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if time > timestamp(toyear, tomonth, today, 23, 59)
strategy.close_all()
Detail
https://www.fmz.com/strategy/435895
Last Modified
2023-12-19 15:40:53