237 lines
9.4 KiB
Markdown
237 lines
9.4 KiB
Markdown
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> Name
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一目均衡趋势跟踪策略Ichimoku-Balance-Line-Strategy
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> Author
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ChaoZhang
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> Strategy Description
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[trans]
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## 概述
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一目均衡策略是一种趋势跟踪策略,它通过计算均线并结合 Ichimoku Kinko Hyo指标判断趋势方向,实现低风险的趋势跟踪交易。
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## 策略原理
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该策略主要基于 Ichimoku Kinko Hyo 指标判断趋势方向。Ichimoku Kinko Hyo 又称“一目均衡表”,它由转换线(Tenkan-sen)、基准线(Kijun-sen)、先行线(Senkou Span A)和确认线(Senkou Span B)组成,形成前方和后方之间的均衡区域,称为“云带”。当价格在云带上方时为多头趋势,价格下破云带为空头信号。
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此策略结合价格与均线的关系判断趋势方向。当价格上穿基准线和转换线时产生买入信号;当价格下破云带时产生卖出信号。通过这样的组合判断,可以有效过滤假突破,锁定趋势方向。
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## 优势分析
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- 利用 Ichimoku Kinko Hyo 指标判断趋势,避免被震荡市场的假突破误导
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- 均线参数可调,可针对不同周期进行优化
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- 结合均线关系判断,可有效锁定趋势方向
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- 采用云带判断,可实现低风险的趋势跟踪交易
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## 风险分析
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- 震荡行情中容易产生错误信号
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- 参数设置不当可能导致过于频繁或不及时地产生交易信号
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- 需要人工判断趋势方向及参数调整
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## 优化方向
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该策略可以从以下几个方面进行优化:
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1. 优化 Ichimoku 参数,适应更多时间周期
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2. 增加止损策略,控制单笔损失
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3. 结合其他指标判断强弱趋势,避免被震荡行情误导
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4. 增加开仓条件,避免在极端行情中建仓
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## 总结
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整体来说,一目均衡策略通过 Ichimoku Kinko Hyo 指标判断趋势方向,可有效锁定趋势,并配合均线关系判断产生交易信号,实现低风险的趋势跟踪交易。该策略可通过参数调整和优化来适应不同的市场环境,值得投资者进一步研究和使用。
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## Overview
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The Ichimoku Balance Line strategy is a trend following strategy that determines trend direction by calculating moving averages combined with the Ichimoku Kinko Hyo indicator for low-risk trend trading.
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## Strategy Principle
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The strategy mainly uses the Ichimoku Kinko Hyo indicator to determine the trend direction. Ichimoku Kinko Hyo, also known as "Ichimoku Cloud", consists of the Tenkan-sen (Conversion Line), Kijun-sen (Base Line), Senkou Span A (Leading Span A), and Senkou Span B (Leading Span B). It forms an equilibrium zone between the front and back called the "Kumo Cloud". When price is above the cloud, it signals an upward trend. A breach below the cloud signals a downward trend.
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The strategy combines the price relationship with moving averages to determine the trend direction. It generates a buy signal when the price crosses above the Base Line and Conversion Line. A sell signal is generated when the price breaks below the cloud. This combination helps to filter false breakouts and lock in the trend direction.
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## Advantage Analysis
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- Uses Ichimoku Kinko Hyo to determine the trend and avoid false breakouts in ranging markets
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- Customizable moving average parameters for optimization across periods
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- Combination with moving averages helps to effectively lock in trend direction
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- Cloud bands allow low-risk trend trading
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## Risk Analysis
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- Prone to generating false signals in choppy market conditions
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- Improper parameter settings may lead to overly frequent or delayed trade signals
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- Manual judgement of trend direction and parameter adjustment required
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## Optimization Directions
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The strategy can be optimized in several ways:
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1. Optimize Ichimoku parameters to suit more timeframes
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2. Incorporate stop loss to limit losses per trade
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3. Add indicators to gauge strong and weak trends to avoid whipsaws
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4. Add more entry conditions to avoid opening positions in extreme market conditions
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## Conclusion
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In conclusion, the Ichimoku Balance Line Strategy uses the Ichimoku Cloud to determine trend direction, locks in trends effectively, and generates trade signals by combining price relationship with moving averages, allowing low-risk trend trading. The strategy can be adapted to different market environments through parameter tuning and optimizations, making it worthwhile for investors to research and utilize.
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[/trans]
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_1|2016|Backtest Start Year|
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|v_input_2|true|Backtest Start Month|
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|v_input_3|true|Backtest Start Day|
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|v_input_4|2019|Backtest Stop Year|
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|v_input_5|12|Backtest Stop Month|
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|v_input_6|31|Backtest Stop Day|
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|v_input_7|18|Tenkan|
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|v_input_8|60|Kijun|
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|v_input_9|30|Senkou B|
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|v_input_10|52|Senkou A|
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|v_input_11|52|Span Offset|
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|v_input_12|true|Show Tenkan|
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|v_input_13|true|Show Kijun|
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|v_input_14|true|Show Span A|
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|v_input_15|true|Show Span B|
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|v_input_16|true|Show Chikou|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2022-12-19 00:00:00
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end: 2023-12-25 00:00:00
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period: 1d
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basePeriod: 1h
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exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
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*/
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//@version=3
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// Credit for the initial code to nathanhoffer - I simply added the ability to select a time period
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//
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strategy("Cloud Breakout", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.0)
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/////////////// Component Code Start ///////////////
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testStartYear = input(2016, "Backtest Start Year")
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testStartMonth = input(1, "Backtest Start Month")
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testStartDay = input(1, "Backtest Start Day")
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testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay, 0, 0)
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testStopYear = input(2019, "Backtest Stop Year")
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testStopMonth = input(12, "Backtest Stop Month")
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testStopDay = input(31, "Backtest Stop Day")
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testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay, 0, 0)
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testPeriod() => true
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Ten = input(18, minval=1, title="Tenkan")
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Kij = input(60, minval=1, title="Kijun")
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LeadSpan = input(30, minval=1, title="Senkou B")
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Displace = input(52, minval=1, title="Senkou A")
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SpanOffset = input(52, minval=1, title="Span Offset")
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sts = input(true, title="Show Tenkan")
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sks = input(true, title="Show Kijun")
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ssa = input(true, title="Show Span A")
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ssb = input(true, title="Show Span B")
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sc = input(true, title="Show Chikou")
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source = close
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//Script for Ichimoku Indicator
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donchian(len) => avg(lowest(len), highest(len))
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TS = donchian(Ten)
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KS = donchian(Kij)
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SpanA = avg(TS, KS)
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SpanB = donchian(LeadSpan)
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CloudTop = max(TS, KS)
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Chikou = source[Displace]
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SpanAA = avg(TS, KS)[SpanOffset]
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SpanBB = donchian(LeadSpan)[SpanOffset]
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//Kumo Breakout (Long)
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SpanA_Top = SpanAA >= SpanBB ? 1 : 0
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SpanB_Top = SpanBB >= SpanAA ? 1 : 0
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SpanA_Top2 = SpanA >= SpanB ? 1 : 0
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SpanB_Top2 = SpanB >= SpanA ? 1 : 0
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SpanA1 = SpanA_Top2 ? SpanA : na
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SpanA2 = SpanA_Top2 ? SpanB : na
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SpanB1 = SpanB_Top2 ? SpanA : na
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SpanB2 = SpanB_Top2 ? SpanB : na
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//plot for Tenkan and Kijun (Current Timeframe)
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p1= plot(sts and TS ? TS : na, title="Tenkan", linewidth = 2, color = gray)
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p2 = plot(sks and KS ? KS : na, title="Kijun", linewidth = 2, color = black)
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//p5 = plot(sc and KS ? KS : na, title="Chikou", linewidth = 2, color = orange)
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p5 = plot(sc and Displace ? close: na, title="Chikou", linewidth = 2, offset=-Displace, color = orange)
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//Plot for Kumo Cloud (Dynamic Color)
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p3 = plot(ssa and SpanA ? SpanA : na, title="SpanA", linewidth=2, offset=Displace, color=green)
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p4 = plot(ssb and SpanB ? SpanB : na, title="SpanB", linewidth=2, offset=Displace, color=red)
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p8 = plot(ssa and SpanA1 ? SpanA1 : na, title="Span A1 above", style=linebr, linewidth=1, offset=Displace, color=green)
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p9 = plot(ssa and SpanA2 ? SpanA2 : na, title="Span A2 above", style=linebr, linewidth=1, offset=Displace, color=green)
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p10 = plot(ssb and SpanB1 ? SpanB1 : na, title="Span B1 above", style=linebr, linewidth=1, offset=Displace, color=red)
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p11 = plot(ssb and SpanB2 ? SpanB2 : na, title="Span B2 above", style=linebr, linewidth=1, offset=Displace, color=red)
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fill(p8, p9, color = lime, transp=70, title="Kumo Cloud Up")
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fill (p10, p11, color=red, transp=70, title="Kumo Cloud Down")
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LongSpan = (SpanA_Top and source[1] < SpanAA[1] and source > SpanAA) or (SpanB_Top and source[1] < SpanBB[1] and source > SpanBB) ? 1 : 0
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cupSpan = LongSpan == 1 ? LongSpan : 0
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Long_Breakout = (SpanA_Top ==1 and crossover(source, SpanAA)) or (SpanB_Top ==1 and crossover(source, SpanBB))
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ShortSpan = (SpanB_Top and source[1] > SpanAA[1] and source < SpanAA) or (SpanA_Top and source[1] > SpanBB[1] and source < SpanBB) ? 1 : 0
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cdnSpan = ShortSpan == 1 ? ShortSpan : 0
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Short_Breakout = (SpanA_Top ==1 and crossunder(source, SpanBB)) or (SpanB_Top ==1 and crossunder(source, SpanAA))
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//Kumo Twist
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Kumo_Twist_Long = SpanA[1] < SpanB[1] and SpanA > SpanB ? 1 : 0
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Kumo_Twist_Short = SpanA[1] > SpanB[1] and SpanA < SpanB ? 1 : 0
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cupD = Kumo_Twist_Long == 1 ? Kumo_Twist_Long : 0
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cdnD = Kumo_Twist_Short == 1 ? Kumo_Twist_Short : 0
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Chikou_Above = close > Chikou
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Chikou_Below = close < Chikou
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long = (cross(TS, SpanA) or cross(TS, SpanB)) and TS>SpanA and TS>SpanB and TS>=KS
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short = cross(TS, KS) and KS >= TS
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if testPeriod()
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strategy.entry("long", strategy.long, when=Long_Breakout)
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strategy.entry("short", strategy.short, when=Short_Breakout)
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```
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> Detail
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https://www.fmz.com/strategy/436652
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> Last Modified
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2023-12-26 16:13:42
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