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Ichimoku阴阳烛线突破策略Ichimoku-Yin-Yang-Candlestick-Breakout-Strategy.md

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Name

Ichimoku阴阳烛线突破策略Ichimoku-Yin-Yang-Candlestick-Breakout-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略基于市场技术分析中非常有名的一种指标——Ichimoku Kinko Hyo指标,利用其中的云图形态以及价格与云的关系来判断趋势方向,以发现交易机会。当价格突破云层时产生交易信号。该策略适用于中长线位置式交易。

策略原理

该策略使用Ichimoku Kinko Hyo指标的几个组成部分,包括转换线(Tenkan-Sen)、基准线(Kijun-Sen)、前沿线(Senkou Span A)、先导线(Senkou Span B)以及滞后线(Chikou Span)。这几条线汇聚形成所谓的Ichimoku云。当价格突破云层时,产生买入和卖出信号。

具体来说,策略判断价格是否突破云层主要依据Senkou Span A 和Senkou Span B两条线。这两条线之间的区域构成云层。当价格收盘突破云层上沿时产生买入信号;当价格收盘突破云层下沿时产生卖出信号。

此外,策略还设定了止损和止盈价格。利用syminfo.pointvalue和策略头寸信息计算盈亏点数,再转换为具体价格。

优势分析

该策略具有以下几个优势:

  1. 使用Ichimoku指标判断趋势方向,可以有效过滤市场噪音,识别中长线趋势
  2. 突破云层形成信号,可以避免假突破带来的损失
  3. 结合止损和止盈设置,可以限制单笔损失,锁定盈利
  4. 参数可调整,可以测试不同参数对策略表现的影响
  5. 可视化的云层和其他Ichimoku组成部分,形成直观的图形交易信号

风险分析

该策略也存在一定的风险:

  1. 中长线持仓,可能出现较大的浮亏
  2. 突破信号可能滞后,错过最佳入场点位
  3. 假突破可能造成错误信号和损失
  4. 持仓时间过长,衍生费用较高
  5. 设定的止损和止盈价格可能会被突破

对策:

  1. 适当缩短持仓周期,降低单笔浮亏风险
  2. 结合其他指标判断突破信号效力
  3. 提高止损止盈的有效性,避免被套
  4. 优化持仓期限,降低费用

优化方向

该策略可以从以下几个方面进行优化:

  1. 测试不同的参数组合,寻找最优参数
  2. 结合其他指标进行信号过滤,避免假突破
  3. 动态调整止损止盈水平, trails stop loss
  4. 自定义退出条件:突破云层反向信号、价格回撤幅度触发
  5. 添加仓位管理机制

总结

该Ichimoku阴阳烛线突破策略整体来说是一种典型的使用Ichimoku Kinko Hyo指标判断中长线趋势方向的突破策略。它具有参数可调、直观形态、可视化信号等优点,也存在一定的假突破风险、持仓风险等问题。通过参数优化、信号过滤、止损止盈设定等手段可以降低风险提高策略稳定性。该策略适用于中长期位置式交易,特别是突破云层形成信号时高效率进入趋势方向。总体来说,这是一个具有实战价值的量化策略。

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Overview

This strategy is based on a very famous indicator in technical analysis - the Ichimoku Kinko Hyo, using the cloud shapes and the relationship between price and cloud to determine the trend direction and discover trading opportunities. Trading signals are generated when the price breaks through the cloud layers. This strategy is suitable for medium-long term positional trading.

Strategy Principle

The strategy uses several components of the Ichimoku Kinko Hyo indicator, including the Tenkan-Sen (Conversion Line), Kijun-Sen (Base Line), Senkou Span A (Leading Span A), Senkou Span B (Leading Span B) and Chikou Span (Lagging Span). These lines converge to form the so-called Ichimoku cloud. When the price breaks through the cloud layers, buy and sell signals are generated.

Specifically, the strategy judges whether the price breaks through the cloud layer mainly based on the Senkou Span A and Senkou Span B lines. The area between these two lines constitutes the cloud layer. When the closing price breaks through the upper edge of the cloud layer, a buy signal is generated; when the closing price breaks through the lower edge of the cloud layer, a sell signal is generated.

In addition, the strategy also sets stop loss and take profit prices. It uses syminfo.pointvalue and position information of the strategy to calculate points of profit and loss, and then converts them into specific prices.

Advantage Analysis

The strategy has the following advantages:

  1. Using Ichimoku indicator to determine the trend direction can effectively filter market noise and identify medium-long term trends
  2. Breaking through the cloud layer forms signals which can avoid losses caused by false breakouts
  3. Incorporating stop loss and take profit settings can limit single loss and lock in profits
  4. Adjustable parameters allow testing the impact of different parameters on strategy performance
  5. Visualized cloud layer and other Ichimoku components form intuitive graphical trading signals

Risk Analysis

The strategy also has some risks:

  1. Medium to long term positions may lead to larger floating losses
  2. Breakout signals may lag, missing the best entry point
  3. False breakouts may cause wrong signals and losses
  4. Excessively long holding periods incur higher expenses
  5. The set stop loss and take profit prices may be broken through

Countermeasures:

  1. Appropriately shorten the holding period to reduce the risk of single floating loss
  2. Incorporate other indicators to determine the effectiveness of breakout signals
  3. Improve the effectiveness of stop loss and take profit to avoid being caught in wrong positions
  4. Optimize the holding period to reduce expenses

Optimization Directions

The strategy can be optimized in the following aspects:

  1. Test different parameter combinations to find the optimal parameters
  2. Incorporate other indicators for signal filtering to avoid false breakouts
  3. Dynamically adjust stop loss and take profit levels, trails stop loss
  4. Customize exit criteria: reverse signal breaking cloud layer, price retracement triggers
  5. Add position management mechanisms

Conclusion

In general, the Ichimoku Yin Yang Candlestick Breakout Strategy is a typical strategy that uses the Ichimoku Kinko Hyo indicator to determine the medium-long term trend direction for breakouts. It has advantages like adjustable parameters, intuitive shapes, and visualizable signals. It also has some risks such as false breakouts and holding risks. By parameter optimization, signal filtering, stop loss/take profit setting, etc., risks can be reduced and strategy stability improved. The strategy is suitable for medium-long term positional trading, especially efficiently entering the trend direction when signals are formed by breaking cloud layers. Overall, this is a quant strategy with practical value.

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Strategy Arguments

Argument Default Description
v_input_bool_3 true SL y TP metodo
v_input_float_1 100 Take Profit $$
v_input_float_2 100 Stop Loss $$
v_input_int_1 9 (?Parámetros Ichimoku)Tenkan-Sen
v_input_int_2 26 Kijun-Sen
v_input_int_3 52 Senkou-Span B
v_input_int_4 26 Chikou-Span
v_input_int_5 26 Senkou-Span A
v_input_bool_1 true (?Backtest Operativa)Entradas Largo
v_input_bool_2 true Entradas Corto
v_input_int_6 true (?Backtest rango de fechas)Desde Mes
v_input_int_7 2000 Desde Año
v_input_int_8 true Desde Día
v_input_int_9 true Hasta Día
v_input_int_10 true Hasta Mes
v_input_int_11 2099 Hasta Año

Source (PineScript)

/*backtest
start: 2022-12-14 00:00:00
end: 2023-12-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © moneyofthegame
// Basado en estrategias con el indicador ICHIMOKU KINKO HIYO
// El tiempo es oro colega :)

//@version=5
strategy('Ichimoku Cloud Estrategia Ruptura Nubes SWING TRADER  (By Insert Cheese)', shorttitle='Ichimoku Cloud Estrategia Ruptura Nubes SWING TRADER  (By Insert Cheese)',

         overlay=true,
         initial_capital=500,
         process_orders_on_close=true,
         default_qty_type=strategy.percent_of_equity,
         default_qty_value=100,
         commission_type=strategy.commission.percent,
         commission_value=0.05,
         currency=currency.NONE)
         




// Inputs: Ichimoku parametros
ts_bars =   input.int(9,  minval=1, title='Tenkan-Sen ',          group='Parámetros Ichimoku')
ks_bars =   input.int(26, minval=1, title='Kijun-Sen ',           group='Parámetros Ichimoku')
ssb_bars =  input.int(52, minval=1, title='Senkou-Span B ',       group='Parámetros Ichimoku')
cs_offset = input.int(26, minval=1, title='Chikou-Span',          group='Parámetros Ichimoku')
ss_offset = input.int(26, minval=1, title='Senkou-Span A',        group='Parámetros Ichimoku')

middle(len) => // LONGITITUD Ichimoku (SenkouB)
    math.avg(ta.lowest(len), ta.highest(len))

// Ichimoku Componentes
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.rgb(171, 128, 0),                              title="Tenkan-Sen",    display = display.none)
plot(kijun,                                      color=color.rgb(39, 0, 112),                               title="Kijun-Sen",     display = display.none)
plot(close, offset=-cs_offset+1,                 color=color.rgb(224, 200, 251),                            title="Chikou-Span",   display = display.none)
sa=plot(senkouA, offset=ss_offset-1,             color=color.rgb(68, 128, 0),                               title="Senkou-Span A", display = display.none)
sb=plot(senkouB, offset=ss_offset-1,             color=color.rgb(131, 0, 120),                              title="Senkou-Span B", display = display.none)
fill(sa, sb, color = senkouA > senkouB ?         color.rgb(0, 211, 11, 82) : color.rgb(75, 0, 126, 82),   title="Cloud color")

// Calculating 
ss_high = math.max(senkouA[ss_offset - 1], senkouB[ss_offset - 1])  //parte alta de la nube
ss_low = math.min(senkouA[ss_offset - 1], senkouB[ss_offset - 1])   //parte baja de la nube
ss_medium = ss_low + (ss_high - ss_low) / 2                         //parte intermedia


// Input para seleccionar largos o cortos
long_entry_enable =  input.bool(true, title='Entradas Largo',   group='Backtest Operativa', inline='SP20')
short_entry_enable = input.bool(true, title='Entradas Corto',   group='Backtest Operativa', inline='SP20')

// Input backtest rango de fechas 
fromMonth =  input.int  (defval=1,     title='Desde Mes',  minval=1,     maxval=12,      group='Backtest rango de fechas')
fromYear  =  input.int  (defval=2000,  title='Desde Año',  minval=1970,                  group='Backtest rango de fechas')
fromDay   =  input.int  (defval=1,     title='Desde Día',  minval=1,     maxval=31,      group='Backtest rango de fechas')
thruDay   =  input.int  (defval=1,     title='Hasta Día',  minval=1,     maxval=31,      group='Backtest rango de fechas')
thruMonth =  input.int  (defval=1,     title='Hasta Mes',  minval=1,     maxval=12,      group='Backtest rango de fechas')
thruYear  =  input.int  (defval=2099,  title='Hasta Año',  minval=1970,                  group='Backtest rango de fechas')

inDataRange = time >= timestamp(syminfo.timezone, fromYear, fromMonth, fromDay, 0, 0) and time < timestamp(syminfo.timezone, thruYear, thruMonth, thruDay, 0, 0)


//Estrategia

// Señales de entrada y salida

price_above_kumo = close  > ss_high // precio cierra arriba de la nube
price_below_kumo = close  < ss_low // precio cierra abajo de la nube
price_cross_above_kumo = ta.crossover  (close  , ss_high )   //precio cruza la nube parte alta
price_cross_below_kumo = ta.crossunder (close  , ss_low )     // precio cruza la nube parte baja

bullish = (price_above_kumo and price_cross_above_kumo)
bearish = (price_below_kumo and price_cross_below_kumo)

comprado = strategy.position_size > 0
vendido = strategy.position_size  < 0

sl_long =  price_above_kumo
sl_short = price_below_kumo


if ( not comprado and bullish and inDataRange and long_entry_enable)
//realizar compra
    strategy.entry("Buy", strategy.long)

//realizar salida long
if (comprado and bearish and inDataRange and long_entry_enable)
    strategy.close ("Buy", comment = "cerrado")

if ( not vendido and bearish and inDataRange and short_entry_enable)
//realizar venta
    strategy.entry("Sell", strategy.short)
    
//realizar salida long
if (vendido  and bullish and inDataRange and short_entry_enable)
    strategy.close ("Buy", comment = "cerrado")

// Función Calcular TP y SL

// Inputs para SL y TP


tpenable = input.bool(true, title =  "SL y TP metodo")



moneyToSLPoints(money)  =>
    strategy.position_size !=0 and tpenable ?  (money / syminfo.pointvalue / math.abs (strategy.position_size)) / syminfo.mintick : na

p = moneyToSLPoints(input.float(  100.0, minval=0.1, step=10.0, title = "Take Profit $$"))
l = moneyToSLPoints(input.float(  100.0, minval=0.1, step=10.0, title = "Stop Loss $$"))
strategy.exit("Close", profit = p, loss = l)



// debug plots for visualize SL & TP levels
pointsToPrice(pp) =>
    na(pp) ? na : strategy.position_avg_price + pp * math.sign(strategy.position_size) * syminfo.mintick
    
pp = plot(pointsToPrice(p),color = color.rgb(76, 175, 79, 96), style = plot.style_linebr )
lp = plot(pointsToPrice(-l),color = color.rgb(76, 175, 79, 96), style = plot.style_linebr )
avg = plot( strategy.position_avg_price, color = color.rgb(76, 175, 79, 96), style = plot.style_linebr )
fill(pp, avg, color = color.rgb(76, 175, 79, 96))
fill(avg, lp, color = color.rgb(255, 82, 82, 97))

Detail

https://www.fmz.com/strategy/436091

Last Modified

2023-12-21 10:44:37