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Ichimoku云图量化策略Ichimoku-Clouds-Quant-Strategy.md

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Name

Ichimoku云图量化策略Ichimoku-Clouds-Quant-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

本策略基于Ichimoku云图指标,结合Tenkan线、Kijun线、先行线和云图,识别多空信号,实现自动化交易。该策略同时结合了标准Ichimoku模型和TradingView策略测试器的自定义功能,适用于新手和有经验的交易者。

策略原理

该策略使用标准的Ichimoku模型,包括Tenkan线、Kijun线、先行线、云图A线和云图B线。策略通过比较这些线的交叉来判断多空信号。

具体来说,当Tenkan线上穿Kijun线时产生多头信号;当Tenkan线下穿Kijun线时产生空头信号。此外,还会判断交叉时Tenkan线与云图的相对位置,分为强势信号、中性信号和弱势信号三种类型。例如Tenkan线交叉时高于云图两条线,就是强势多头信号。

该策略提供丰富的自定义参数,用户可以自由选择入场和出场信号组合,实现自己的交易策略。

策略优势

  1. 结合了Ichimoku模型的先进技术分析功能和TradingView策略测试器的自定义能力
  2. 提供多种参数设置选择,适合不同风格的交易者
  3. 实时更新和可视化的云图,清晰判断趋势方向
  4. 可通过回测数据优化参数,测试策略效果

策略风险

  1. Ichimoku模型容易产生假信号,需要结合价格实体判断
  2. Parameters选项太多,新手容易把自己绕进去
  3. 云图有滞后性,不适合追涨杀跌
  4. 回测数据不等于实盘表现,实盘时保持谨慎

策略优化方向

  1. 优化参数,找到最佳参数组合
  2. 结合其他指标过滤假信号
  3. 增加止损止盈逻辑,控制单笔交易风险
  4. 考虑交易品种、周期等条件的影响
  5. 实盘验证,根据实盘调整参数

总结

Ichimoku云图模型作为新一代技术分析工具,结合TradingView平台的可视化和策略开发功能,为量化交易者提供了强有力的技术支持。本策略充分利用两者优势,建立自动化交易体系。虽然仍需优化空间,但已显示出巨大应用潜力。随着参数调整和功能扩展的不断完善,本策略有望成为主流量化交易策略之一。

||

Overview

This strategy is based on the Ichimoku Clouds indicator, combining the Tenkan line, Kijun line, leading line and cloud charts to identify trading signals and automate trading. It integrates both the standard Ichimoku model and the customization functionality of the TradingView strategy tester, suitable for both novice and experienced traders.

Strategy Logic

The strategy utilizes the standard Ichimoku model, including the Tenkan line, Kijun line, leading line, Senkou A and Senkou B. It identifies trading signals by comparing crosses between these lines.

Specifically, a bullish signal is generated when the Tenkan line crosses above the Kijun line, and a bearish signal when the Tenkan crosses below. Additionally, the relative position of the crossing Tenkan line to the cloud charts is checked to categorize the signals as strong, neutral or weak. For example, if the Tenkan is above both Senkou lines during the cross, it is a strong bullish signal.

The strategy provides extensive customization parameters for users to freely combine entry and exit signals to build their own trading systems.

Advantages

  1. Combines the advanced technical analysis of Ichimoku with the customizability of TradingView strategy tester
  2. Provides various parameter settings for different trading styles
  3. Real-time visualized cloud charts for clear trend identification
  4. Parameters can be optimized through backtesting for better performance

Risks

  1. Ichimoku models tend to generate false signals, needs confirmation from candlesticks
  2. Too many parameter options, easy to confuse novice traders
  3. Cloud charts have lagging nature, not ideal for chasing surges
  4. Backtest ≠ live performance, remain cautious when live trading

Enhancement Opportunities

  1. Optimize parameters to find best combination
  2. Add filters with other indicators to screen false signals
  3. Incorporate stop loss/profit taking to control risk per trade
  4. Consider impacts of products, timeframes etc.
  5. Real-trade validation and parameter tuning

Conclusion

As a new generation of technical analysis tools, Ichimoku combined with TradingView's visualization and strategy development capabilities provides powerful support for quant trading. This strategy fully utilizes both to build an automated trading system. Despite needing further enhancements, it has already demonstrated great application potential. With continuous improvements in parameter tuning and functionality expansion, it is likely to become one of the mainstream quant strategies.

[/trans]

Strategy Arguments

Argument Default Description
v_input_string_1 yourBotSourceUuid (?Trading Bot Settings)sourceUuid:
v_input_string_2 yourBotSecretToken secretToken:
v_input_1 timestamp(2023-01-01T00:00:00) (?Trading Period Settings)Trade Start Date/Time
v_input_2 timestamp(2025-01-01T00:00:00) Trade Stop Date/Time
v_input_string_3 0 (?Trading Mode Settings)Trading Mode: Long
v_input_string_4 0 (?Long Mode Signals - set up if Trading Mode: Long)Select Entry Signal (Long): Bullish All
v_input_string_5 0 Select Exit Signal (Long): Bearish Weak
v_input_string_6 0 (?Short Mode Signals - set up if Trading Mode: Short)Select Entry Signal (Short): None
v_input_string_7 0 Select Exit Signal (Short): None
v_input_float_1 false (?Risk Management)Take Profit, % (0 - disabled)
v_input_float_2 false Stop Loss, % (0 - disabled)
v_input_int_1 9 (?Indicator Settings)Tenkan
v_input_int_2 26 Kijun
v_input_int_3 52 Chikou
v_input_int_4 26 Offset
v_input_3 false (?Display Settings)Show Tenkan Line
v_input_4 false Show Kijun Line
v_input_5 true Show Senkou A Line
v_input_6 true Show Senkou B Line
v_input_7 false Show Chikou Line

Source (PineScript)

/*backtest
start: 2023-01-25 00:00:00
end: 2024-01-31 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5

//  -----------------------------------------------------------------------------
//  Copyright © 2024 Skyrex, LLC. All rights reserved.
//  -----------------------------------------------------------------------------

//  Version: v2.1
//  Release:  Jan 22, 2024

strategy(title = "Advanced Ichimoku Clouds Strategy Long and Short", 
         shorttitle = "Ichimoku Strategy Long and Short", 
         overlay = true, 
         format = format.inherit, 
         pyramiding = 1, 
         calc_on_order_fills = false, 
         calc_on_every_tick = true, 
         default_qty_type = strategy.percent_of_equity, 
         default_qty_value = 100, 
         initial_capital = 10000, 
         currency = currency.NONE,  
         commission_type = strategy.commission.percent, 
         commission_value = 0.1,
         slippage = 5)

// Trading bot settings
sourceUuid = input.string(title = "sourceUuid:", defval = "yourBotSourceUuid", group = "Trading Bot Settings")
secretToken = input.string(title = "secretToken:", defval = "yourBotSecretToken", group = "Trading Bot Settings")

// Trading Period Settings
lookBackPeriodStart = input(title = "Trade Start Date/Time", defval = timestamp('2023-01-01T00:00:00'), group = "Trading Period Settings")
lookBackPeriodStop = input(title = "Trade Stop Date/Time", defval = timestamp('2025-01-01T00:00:00'), group = "Trading Period Settings")

// Trading Mode settings
tradingMode = input.string("Long", "Trading Mode", options = ["Long", "Short"], group = "Trading Mode Settings")

// Long Mode Signal Options
entrySignalOptionsLong = input.string("Bullish All", "Select Entry Signal (Long)", options = ["None", "Bullish Strong", "Bullish Neutral", "Bullish Weak", "Bullish Strong and Neutral", "Bullish Neutral and Weak", "Bullish Strong and Weak", "Bullish All"], group = "Long Mode Signals - set up if Trading Mode: Long")
exitSignalOptionsLong = input.string("Bearish Weak", "Select Exit Signal (Long)", options = ["None", "Bearish Strong", "Bearish Neutral", "Bearish Weak", "Bearish Strong and Neutral", "Bearish Neutral and Weak", "Bearish Strong and Weak", "Bearish All"], group = "Long Mode Signals - set up if Trading Mode: Long")

// Short Mode Signal Options
entrySignalOptionsShort = input.string("None", "Select Entry Signal (Short)", options = ["None", "Bearish Strong", "Bearish Neutral", "Bearish Weak", "Bearish Strong and Neutral", "Bearish Neutral and Weak", "Bearish Strong and Weak", "Bearish All"], group = "Short Mode Signals - set up if Trading Mode: Short")
exitSignalOptionsShort = input.string("None", "Select Exit Signal (Short)", options = ["None", "Bullish Strong", "Bullish Neutral", "Bullish Weak", "Bullish Strong and Neutral", "Bullish Neutral and Weak", "Bullish Strong and Weak", "Bullish All"], group = "Short Mode Signals - set up if Trading Mode: Short")

// Risk Management Settings
takeProfitPct = input.float(0, "Take Profit, % (0 - disabled)", minval = 0, step = 0.1, group = "Risk Management")
stopLossPct = input.float(0, "Stop Loss, % (0 - disabled)", minval = 0, step = 0.1, group = "Risk Management")

// Indicator Settings
tenkanPeriods = input.int(9, "Tenkan", minval=1, group="Indicator Settings")
kijunPeriods = input.int(26, "Kijun", minval=1, group="Indicator Settings")
chikouPeriods = input.int(52, "Chikou", minval=1, group="Indicator Settings")
displacement = input.int(26, "Offset", minval=1, group="Indicator Settings")

// Display Settings
showTenkan = input(false, "Show Tenkan Line", group = "Display Settings")
showKijun = input(false, "Show Kijun Line", group = "Display Settings")
showSenkouA = input(true, "Show Senkou A Line", group = "Display Settings")
showSenkouB = input(true, "Show Senkou B Line", group = "Display Settings")
showChikou = input(false, "Show Chikou Line", group = "Display Settings")

// Function to convert percentage to price points based on entry price
pctToPoints(pct) => 
    strategy.position_avg_price * pct / 100

// Colors and Transparency Level
transparencyLevel = 90
colorGreen = color.new(#36a336, 23)
colorRed = color.new(#d82727, 47)
colorTenkanViolet = color.new(#9400D3, 0)
colorKijun = color.new(#fdd8a0, 0)
colorLime = color.new(#006400, 0)
colorMaroon = color.new(#8b0000, 0)
colorGreenTransparent = color.new(colorGreen, transparencyLevel)
colorRedTransparent = color.new(colorRed, transparencyLevel)

// Ichimoku Calculations
donchian(len) => math.avg(ta.lowest(len), ta.highest(len))
tenkan = donchian(tenkanPeriods)
kijun = donchian(kijunPeriods)
senkouA = math.avg(tenkan, kijun)
senkouB = donchian(chikouPeriods)
displacedSenkouA = senkouA[displacement - 1]
displacedSenkouB = senkouB[displacement - 1]

// Plot Ichimoku Lines
plot(showTenkan ? tenkan : na, color=colorTenkanViolet, title = "Tenkan", linewidth=2)
plot(showKijun ? kijun : na, color=colorKijun, title = "Kijun", linewidth=2)
plot(showChikou ? close : na, offset=-displacement, color = colorLime, title = "Chikou", linewidth=1)
p1 = plot(showSenkouA ? senkouA : na, offset=displacement - 1, color=colorGreen, title = "Senkou A", linewidth=2)
p2 = plot(showSenkouB ? senkouB : na, offset=displacement - 1, color=colorRed, title = "Senkou B", linewidth=2)
fill(p1, p2, color=senkouA > senkouB ? colorGreenTransparent : colorRedTransparent)

// Signal Calculations
bullishSignal = ta.crossover(tenkan, kijun)
bearishSignal = ta.crossunder(tenkan, kijun)
bullishSignalValues = bullishSignal ? tenkan : na
bearishSignalValues = bearishSignal ? tenkan : na

strongBullishSignal = bullishSignalValues > displacedSenkouA and bullishSignalValues > displacedSenkouB
neutralBullishSignal = ((bullishSignalValues > displacedSenkouA and bullishSignalValues < displacedSenkouB) or (bullishSignalValues < displacedSenkouA and bullishSignalValues > displacedSenkouB))
weakBullishSignal = bullishSignalValues < displacedSenkouA and bullishSignalValues < displacedSenkouB

strongBearishSignal = bearishSignalValues < displacedSenkouA and bearishSignalValues < displacedSenkouB
neutralBearishSignal = ((bearishSignalValues > displacedSenkouA and bearishSignalValues < displacedSenkouB) or (bearishSignalValues < displacedSenkouA and bearishSignalValues > displacedSenkouB))
weakBearishSignal = bearishSignalValues > displacedSenkouA and bearishSignalValues > displacedSenkouB

// Functions to determine entry and exit conditions for Long and Short
isEntrySignalLong() =>
    entryCondition = false
    if entrySignalOptionsLong == "None"
        entryCondition := false
    else if entrySignalOptionsLong == "Bullish Strong"
        entryCondition := strongBullishSignal
    else if entrySignalOptionsLong == "Bullish Neutral"
        entryCondition := neutralBullishSignal
    else if entrySignalOptionsLong == "Bullish Weak"
        entryCondition := weakBullishSignal
    else if entrySignalOptionsLong == "Bullish Strong and Neutral"
        entryCondition := strongBullishSignal or neutralBullishSignal
    else if entrySignalOptionsLong == "Bullish Neutral and Weak"
        entryCondition := neutralBullishSignal or weakBullishSignal
    else if entrySignalOptionsLong == "Bullish Strong and Weak"
        entryCondition := strongBullishSignal or weakBullishSignal
    else if entrySignalOptionsLong == "Bullish All"
        entryCondition := strongBullishSignal or neutralBullishSignal or weakBullishSignal
    entryCondition

isExitSignalLong() =>
    exitCondition = false
    if exitSignalOptionsLong == "None"
        exitCondition := false
    else if exitSignalOptionsLong == "Bearish Strong"
        exitCondition := strongBearishSignal
    else if exitSignalOptionsLong == "Bearish Neutral"
        exitCondition := neutralBearishSignal
    else if exitSignalOptionsLong == "Bearish Weak"
        exitCondition := weakBearishSignal
    else if exitSignalOptionsLong == "Bearish Strong and Neutral"
        exitCondition := strongBearishSignal or neutralBearishSignal
    else if exitSignalOptionsLong == "Bearish Neutral and Weak"
        exitCondition := neutralBearishSignal or weakBearishSignal
    else if exitSignalOptionsLong == "Bearish Strong and Weak"
        exitCondition := strongBearishSignal or weakBearishSignal
    else if exitSignalOptionsLong == "Bearish All"
        exitCondition := strongBearishSignal or neutralBearishSignal or weakBearishSignal
    exitCondition

isEntrySignalShort() =>
    entryCondition = false
    if entrySignalOptionsShort == "None"
        entryCondition := false
    else if entrySignalOptionsShort == "Bearish Strong"
        entryCondition := strongBearishSignal
    else if entrySignalOptionsShort == "Bearish Neutral"
        entryCondition := neutralBearishSignal
    else if entrySignalOptionsShort == "Bearish Weak"
        entryCondition := weakBearishSignal
    else if entrySignalOptionsShort == "Bearish Strong and Neutral"
        entryCondition := strongBearishSignal or neutralBearishSignal
    else if entrySignalOptionsShort == "Bearish Neutral and Weak"
        entryCondition := neutralBearishSignal or weakBearishSignal
    else if entrySignalOptionsShort == "Bearish Strong and Weak"
        entryCondition := strongBearishSignal or weakBearishSignal
    else if entrySignalOptionsShort == "Bearish All"
        entryCondition := strongBearishSignal or neutralBearishSignal or weakBearishSignal
    entryCondition

isExitSignalShort() =>
    exitCondition = false
    if exitSignalOptionsShort == "None"
        exitCondition := false
    else if exitSignalOptionsShort == "Bullish Strong"
        exitCondition := strongBullishSignal
    else if exitSignalOptionsShort == "Bullish Neutral"
        exitCondition := neutralBullishSignal
    else if exitSignalOptionsShort == "Bullish Weak"
        exitCondition := weakBullishSignal
    else if exitSignalOptionsShort == "Bullish Strong and Neutral"
        exitCondition := strongBullishSignal or neutralBullishSignal
    else if exitSignalOptionsShort == "Bullish Neutral and Weak"
        exitCondition := neutralBullishSignal or weakBullishSignal
    else if exitSignalOptionsShort == "Bullish Strong and Weak"
        exitCondition := strongBullishSignal or weakBullishSignal
    else if exitSignalOptionsShort == "Bullish All"
        exitCondition := strongBullishSignal or neutralBullishSignal or weakBullishSignal
    exitCondition

// Strategy logic for entries and exits
if true
    if tradingMode == "Long"
        takeProfitLevelLong = strategy.position_avg_price * (1 + takeProfitPct / 100)
        stopLossLevelLong = strategy.position_avg_price * (1 - stopLossPct / 100)

        if isEntrySignalLong()
            strategy.entry(id = "entry1", direction = strategy.long, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
        if (takeProfitPct > 0 and close >= takeProfitLevelLong) or (stopLossPct > 0 and close <= stopLossLevelLong) or (exitSignalOptionsLong != "None" and isExitSignalLong())
            strategy.close(id = "entry1", alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')

    else if tradingMode == "Short"
        takeProfitLevelShort = strategy.position_avg_price * (1 - takeProfitPct / 100)
        stopLossLevelShort = strategy.position_avg_price * (1 + stopLossPct / 100)

        if isEntrySignalShort()
            strategy.entry(id = "entry1", direction = strategy.short, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
        if (takeProfitPct > 0 and close <= takeProfitLevelShort) or (stopLossPct > 0 and close >= stopLossLevelShort) or (exitSignalOptionsShort != "None" and isExitSignalShort())
            strategy.close(id = "entry1", alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')

Detail

https://www.fmz.com/strategy/440712

Last Modified

2024-02-01 14:25:49