Name
基于市场多空力量的Ichimoku云突破策略Market-Sentiment-Based-Ichimoku-Breakout-Strategy
Author
ChaoZhang
Strategy Description
该策略是一种趋势跟踪策略,同时结合了Ichimoku云指标的配置来判断市场的多空力量,以发现潜在的突破机会。关键部件包括基于Ichimoku云的判断框架、ATR止损、百分比止损以及可选的止盈机制。
策略的核心判断包括两部分,一个是基于Ichimoku云指标判断市场多空力量的趋势信号,一个是基于潜在突破的强势信号。
对于趋势判断,要同时满足Conversion Line上穿Base Line表明多头趋势建立、Lagging Span高于K线实体表示目前多头力量强劲、价格高于云中最高价显示突破上轨等条件。
对于强势信号,要同时满足价格高于云中最低最高价显示超强势力、Conversion Line和Base Line同为多头表示势能充沛等条件。
当两类条件任意一组触发时,就以市价单开仓做多;之后会基于ATR、百分比或Ichimoku云指标的规则来设置止损追踪,进一步锁定利润。
该策略最大的优势在于同时利用了Ichimoku云的趋势判断和多空力量评估功能。相比单一的移动平均线等指标,Ichimoku云更能反映当前行情的势力对比,从而提高信号的准确性。
另外,结合ATR和百分比止损来管理风险,可以很好控制单笔损失。此外,可选的止盈机制也使得策略收益更为稳定。
策略的主要风险在于Ichimoku云本身就有一定的滞后性。此外,强势信号作为追涨的特性,也可能增加策略被套的概率。
为降低滞后问题导致的风险,可以适当缩短Ichimoku云的参数周期;对强势信号引发的风险,则需要加强止损追踪的设置来应对。
可以从以下几个方向来进一步优化该策略:
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测试不同市场的数据,判断策略健壮性和适应性
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优化Ichimoku云的参数,使之更契合特定市场行情
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尝试LSTM等深度学习算法,辅助判断突破信号强度
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加入量能指标,避免追涨杀跌的概率
该策略整合利用Ichimoku云的配置判断市场多空力量,在捕捉潜在趋势的同时,也充分考虑风险管理。有效地平衡了策略收益和可控性。虽然仍有一定的优化空间,但整体而言是一种非常实用的趋势跟踪策略。
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This strategy combines Ichimoku Cloud indicators to gauge market sentiment and identify potential breakout opportunities. It has Ichimoku-based trend filtering, ATR/percentage trailing stops, and an optional profit taking mechanism.
There are two core components - Ichimoku Cloud signals to determine bullish/bearish momentum and strength burst signals to capture potential breakouts.
The trend signal requires Conversion Line to cross above Base Line to signal an uptrend, Lagging Span above price bars indicating strong momentum, and price breaking Ichimoku Cloud's top band.
The strength burst signals for additional entry opportunities require price breaking through Cloud's recent lows and highs for ultra strength and Conversion/Base Line agreeing on bullish sentiment.
Long entries are triggered when either signal fires. Exits will trail stops based on ATR, percentage, or Ichimoku rules to lock in profits.
The biggest edge comes from using Ichimoku Cloud for both trend and momentum analysis, making signals more accurate than lone indicators like moving averages.
The risk management from ATR/percentage trailing stops also keeps loss per trade small. Optional profit taking further enhances reward consistency.
Ichimoku Cloud has some lagging issues. Strength signals also increase chance of chasing momentum.
To address lagging risk, optimize Cloud faster settings. For momentum risk, tighter trailing stops react quicker to reversals.
Possible improvements include:
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Test on more market data for robustness.
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Optimize Cloud parameters for specific instruments.
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Try ML like LSTM for better signal rating.
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Add volume analysis to avoid bull traps.
This Ichimoku system effectively gauges market sentiment for trend trading. The balanced focus on catching momentum and managing risk also makes it practical. There is room for improvement but overall a solid trend following framework.
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Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_string_1 | 0 | (?Strategy settings)Trail Source: Lows/Highs |
| v_input_string_2 | 0 | Trail Method: ATR |
| v_input_float_1 | 10 | Trail Percent |
| v_input_int_1 | 7 | Lookback |
| v_input_int_2 | 14 | ATR Period |
| v_input_float_2 | true | ATR Multiplier |
| v_input_bool_1 | false | Add Ichimoku exit |
| v_input_bool_2 | false | Use Take Profit |
| v_input_float_3 | 5 | Take Profit Percentage |
| v_input_int_3 | 9 | (?Ichimoku settings)Conversion Line Length |
| v_input_int_4 | 26 | Base Line Length |
| v_input_int_5 | 52 | Leading Span B Length |
| v_input_int_6 | 26 | Lagging Span |
| v_input_int_7 | 26 | Delta |
Source (PineScript)
/*backtest
start: 2024-01-04 00:00:00
end: 2024-02-03 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © mikul_se
//@version=5
strategy("mikul's Ichimoku Cloud Strategy v 2.0", shorttitle="mikul's Ichi strat", overlay=true, margin_long=100, margin_short=100, default_qty_type = strategy.percent_of_equity, default_qty_value = 100)
// Strategy settings
strategySettingsGroup = "Strategy settings"
trailSource = input.string(title="Trail Source", defval="Lows/Highs", options=["Lows/Highs", "Close", "Open"], confirm=true, group=strategySettingsGroup)
trailMethod = input.string(title="Trail Method", defval="ATR", options=["ATR", "Percent", "Ichi exit"], confirm=true, tooltip="Ichi rules means it follows the rules of the Ichimoku cloud for exiting the trade.", group=strategySettingsGroup)
trailPercent = input.float(title="Trail Percent", defval=10, minval=0.1, confirm=true, group=strategySettingsGroup)
swingLookback = input.int(title="Lookback", defval=7, confirm=true, group=strategySettingsGroup)
atrPeriod = input.int(title="ATR Period", defval=14, confirm=true, group=strategySettingsGroup)
atrMultiplier = input.float(title="ATR Multiplier", defval=1.0, confirm=true, group=strategySettingsGroup)
addIchiExit = input.bool(false, "Add Ichimoku exit", "You can use this to add Ichimoku cloud exit signals on top of Percent or ATR", group=strategySettingsGroup)
useTakeProfit = input.bool(false, "Use Take Profit", confirm=true, group=strategySettingsGroup)
takeProfitPercent = input.float(title="Take Profit Percentage", defval=5, minval=0.1, confirm=true, group=strategySettingsGroup)
// Ichimoku settings
ichimokuSettingsGroup = "Ichimoku settings"
conversionPeriods = input.int(9, minval=1, title="Conversion Line Length", group=ichimokuSettingsGroup)
basePeriods = input.int(26, minval=1, title="Base Line Length", group=ichimokuSettingsGroup)
laggingSpan2Periods = input.int(52, minval=1, title="Leading Span B Length", group=ichimokuSettingsGroup)
displacement = input.int(26, minval=1, title="Lagging Span", group=ichimokuSettingsGroup)
delta = input.int(26, minval=1, title="Delta", group=ichimokuSettingsGroup)
donchian(len) => math.avg(ta.lowest(len), ta.highest(len))
conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = math.avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)
uppercloud = leadLine1[displacement-1]
bottomcloud = leadLine2[displacement-1]
// Ichi exit variables and calculations
delta2 = delta-3
average(len) => math.avg(ta.lowest(len), ta.highest(len))
conversion_line = average(conversionPeriods)
base_line = average(basePeriods)
lead_line_a = math.avg(conversion_line, base_line)
lead_line_b = average(laggingSpan2Periods)
lagging_span = close
lead_line_a_delta = lead_line_a[delta]
lead_line_b_delta = lead_line_b[delta]
lagging_span_delta = lagging_span[delta]
prisgris = hlc3[delta]
prisgris2 = hlc3[delta2]
// Declare trailing price variable (stores our trail stop value)
var float trailPrice = na
float next_trailPrice = na
// Get required trailing stop variables
atrValue = ta.atr(atrPeriod) * atrMultiplier
swingLow = ta.lowest(low, swingLookback)
swingHigh = ta.highest(high, swingLookback)
// Ichi plotting
plot(conversionLine, color=#2962FF, title="Conversion Line")
plot(baseLine, color=#B71C1C, title="Base Line")
plot(close, offset=-displacement + 1, color=#43A047, title="Lagging Span")
p1 = plot(leadLine1, offset=displacement - 1, color=#A5D6A7, title="Leading Span A")
p2 = plot(leadLine2, offset=displacement - 1, color=#EF9A9A, title="Leading Span B")
fill(p1, p2, color=leadLine1 > leadLine2 ? color.rgb(67, 160, 71, 90) : color.rgb(244, 67, 54, 90))
// Plotting ichi crossover signals
ichiup = ta.crossover(conversionLine, baseLine)
ichidown = ta.crossover(baseLine, conversionLine)
plotshape(ichiup ? conversionLine : na, 'Ichi long 1', style=shape.circle, location=location.absolute, offset=0, color=#00ff00b0, size=size.tiny)
plotshape(ichidown ? conversionLine : na, 'Ichi short 1', style=shape.circle, location=location.absolute, offset=0, color=#ff1100c7, size=size.tiny)
// Pamp signal
signal5 = close > bottomcloud[displacement] and close > uppercloud[displacement] and close > high[displacement]
signal5b = close[1] <= bottomcloud[displacement+1] or close[1] <= uppercloud[displacement+1] or close <= high[displacement+1]
signal6 = close > bottomcloud and close > uppercloud and close > open
signal6b = close[1] <= bottomcloud[1] or close[1] <= uppercloud[1]
signal7 = leadLine1 > leadLine2
signal7b = leadLine1[1] <= leadLine2[1]
signal8 = conversionLine > baseLine
pamp = signal5 and signal6 and signal7 and signal8 and strategy.position_size == 0 and (signal5b or signal6b or signal7b)
// Trend signal
nsignal5 = close > close[displacement]
nsignal6 = close > bottomcloud and close > uppercloud and close > open
nsignal8 = ta.crossover(conversionLine, baseLine) and conversionLine > bottomcloud and conversionLine > uppercloud and baseLine > bottomcloud and baseLine > uppercloud
trend = nsignal5 and nsignal6 and nsignal8 and strategy.position_size == 0
plotshape(trend, style=shape.triangleup, location=location.belowbar, color=color.green)
if (trend or pamp)
trailPrice := na
strategy.entry(trend ? "Trend" : "Pamp", direction = strategy.long)
// Get trailing stop price
if trailMethod == "ATR"
next_trailPrice := switch trailSource
"Close" => strategy.position_size > 0 ? close - atrValue : close + atrValue
"Open" => strategy.position_size > 0 ? open - atrValue : open + atrValue
=> strategy.position_size > 0 ? swingLow - atrValue : swingHigh + atrValue
else if trailMethod == "Percent"
float percentMulti = strategy.position_size > 0 ? (100 - trailPercent) / 100 : (100 + trailPercent) / 100
next_trailPrice := switch trailSource
"Close" => close * percentMulti
"Open" => open * percentMulti
=> strategy.position_size > 0 ? swingLow * percentMulti : swingHigh * percentMulti
else
short_signal = (ta.crossunder(lagging_span, prisgris)) or ta.crossover(base_line, conversion_line) and ((close)) < ((lead_line_a)) or ta.crossunder(lagging_span, prisgris) or (ta.crossover(base_line, conversion_line) and ((lagging_span) < (lead_line_a)) and ((lagging_span) < (lead_line_b)))
if short_signal
strategy.close("Trend", "Ichi trend over")
strategy.close("Pamp", "Ichi pamp over")
alert("Sell")
if (addIchiExit)
short_signal = (ta.crossunder(lagging_span, prisgris)) or ta.crossover(base_line, conversion_line) and ((close)) < ((lead_line_a)) or ta.crossunder(lagging_span, prisgris) or (ta.crossover(base_line, conversion_line) and ((lagging_span) < (lead_line_a)) and ((lagging_span) < (lead_line_b)))
if short_signal
strategy.close("Trend", "Ichi trend over")
strategy.close("Pamp", "Ichi pamp over")
alert("Sell")
// Check for trailing stop update
if strategy.position_size != 0 and barstate.isconfirmed
if (next_trailPrice > trailPrice or na(trailPrice)) and strategy.position_size > 0
trailPrice := next_trailPrice
alert(message="Trailing Stop updated for " + syminfo.tickerid + ": " + str.tostring(trailPrice, "#.#####"), freq=alert.freq_once_per_bar_close)
if (next_trailPrice < trailPrice or na(trailPrice)) and strategy.position_size < 0
trailPrice := next_trailPrice
alert(message="Trailing Stop updated for " + syminfo.tickerid + ": " + str.tostring(trailPrice, "#.#####"), freq=alert.freq_once_per_bar_close)
// Draw data to chart
plot(strategy.position_size != 0 ? trailPrice : na, color=color.red, title="Trailing Stop")
// Take Profit
float profitTarget = strategy.position_avg_price * (1 + takeProfitPercent / 100)
// Exit trade if stop is hit
strategy.exit(id="trend Exit", from_entry="Trend", stop=trailPrice, limit=useTakeProfit ? profitTarget : na)
strategy.exit(id="pamp Exit", from_entry="Pamp", stop=trailPrice, limit=useTakeProfit ? profitTarget : na)
if strategy.position_size == 0
trailPrice = 0
Detail
https://www.fmz.com/strategy/440975
Last Modified
2024-02-04 14:46:22