309 lines
11 KiB
Markdown
309 lines
11 KiB
Markdown
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> Name
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基于一目均衡表和平均方向性指数的量化交易策略Quantitative-Trading-Strategy-Based-on-Ichimoku-and-ADX-Indicators
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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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本策略通过结合使用一目均衡表和平均方向性指数(ADX)这两种技术指标来识别股票价格的趋势和关键支持阻力位,以发出买入和卖出信号。该策略旨在在趋势行情中捕捉较大的价格波动。
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### 策略原理
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一目均衡表包含前转换线、基准线和延迟线三条移动平均线。当价格上穿前转换线和基准线时,发出买入信号;当价格下穿这两条线时,发出卖出信号。此外,一目均衡表还通过云图识别关键的支持阻力区域。
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ADX用于判断价格趋势的力度。当+DI和-DI明显分离时,表示趋势行情;当+DI和-DI接近时,表示盘整行情。本策略在ADX大于20时才发出交易信号,以避免在盘整期捕捉假突破。
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综合使用一目均衡表的趋势判断和ADX对趋势力度的过滤,可以有效识别价格波动较大的趋势行情段。
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### 策略优势
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- 使用两种指标的组合,使得交易信号更加可靠
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- ADX的使用避免了在盘整行情的错误交易
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- 回测表现较好,收益风险比高
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### 风险分析
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- 该策略更适合趋势股票,对于盘整的股票,信号可能不多
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- 一目均衡表本身存在响应滞后的问题,可能错过快速反转的机会
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- ADX对盘整行情的判断并不完美,仍存在误判的可能
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### 优化方向
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- 可以测试不同参数组合,如转换线、基准线周期的调整
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- 可以结合其他指标,如MACD、KD等进一步优化
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- 可以研究不同的ADX过滤规则或条件
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### 总结
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本策略通过一目均衡表和ADX的有效结合,实现了对趋势行情的有效捕捉。在进一步参数和规则优化的基础上,该策略可以获得更好的回测和实盘表现。本策略适合对趋势股进行交易的策略投资者。
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### Overview
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This strategy combines the Ichimoku Cloud and ADX (Average Directional Index) indicators to identify trend and key support & resistance levels for market entry and exit signals. It aims to capture large price waves during trending markets.
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### Strategy Mechanism
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The Ichimoku Cloud contains 3 moving averages of Tenkan Line, Kijun Line and Chikou line. A buy signal is generated when price breaks above the Tenkan Line and Kijun Line; A sell signalis generated when price breaks below the two lines. The key support & resistance levels are identified by the cloud.
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The ADX is used to determine the strength of price trend. A higher reading of +DI and -DI suggests a trending market; when the two lines converge, a range-bound market is defined. The strategy only initiates position on an ADX reading above 20 to avoid whipsaws during sideways market.
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By combining Ichimoku trend determination and ADX filtering, the strategy is effective in identifying periods of high price volatility.
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### Advantages
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- Combination of signals provides more reliable confirmation
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- ADX filter avoids incorrect trades during non-trending periods
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- Good backtest performance with high risk-return profile
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### Risk Analysis
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- Better suited for trending stocks; less frequent signals in range bound market
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- Ichimoku has inherent lag and may miss quick reversal patterns
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- Imperfect determination of non-trending environment by ADX
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### Optimization Scope
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- Test different parameter combinations like Tenkan, Kijun periods
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- Combine other indicators, e.g. MACD, KD etc., for further enhancement
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- Examine different ADX filtering logics and threshold values
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### Summary
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The strategy effectively combines Ichimoku and ADX to capture trending markets. With further fine-tuning of parameters and rules, better backtest and live performance can be achieved. It is suitable for trend-focused traders.
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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|9|Conversion Line Periods|
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|v_input_2|26|Base Line Periods|
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|v_input_3|52|Lagging Span 2 Periods|
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|v_input_4|26|Displacement|
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|v_input_5|14|ADX Smoothing|
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|v_input_6|14|DI Length|
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|v_input_7|23|key level for ADX|
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|v_input_8|2|From Month|
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|v_input_9|true|From Day|
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|v_input_10|2015|From Year|
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|v_input_11|true|To Month|
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|v_input_12|true|To Day|
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|v_input_13|9999|To Year|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2023-12-01 00:00:00
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end: 2023-12-10 23:59:59
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period: 1h
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basePeriod: 15m
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exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
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*/
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//@version=4
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strategy(title="Ichimoku + ADX", shorttitle="Ichimoku & ADX Backtest", overlay=true)
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//------------------------------
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//------------------------------
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// ICHIMOKU
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//------------------------------
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//------------------------------
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conversionPeriods = input(9, minval=1, title="Conversion Line Periods"),
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basePeriods = input(26, minval=1, title="Base Line Periods")
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laggingSpan2Periods = input(52, minval=1, title="Lagging Span 2 Periods"),
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displacement = input(26, minval=1, title="Displacement")
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donchian(len) => avg(lowest(len), highest(len))
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Tenkan = donchian(conversionPeriods)
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Kijun = donchian(basePeriods)
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SSA = avg(Tenkan, Kijun)
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SSB = donchian(laggingSpan2Periods)
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SSAdisp = SSA[displacement]
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SSBdisp = SSB[displacement]
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// Plot Ichimoku
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// --------------------
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plot(Tenkan, color=color.red, title="Tenkan")
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plot(Kijun, color=color.blue, title="Kijun")
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plot(close, offset = -displacement + 1, color=#459915, title="Chikou")
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p1 = plot(SSA, offset = displacement - 1, color=color.green,
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title="Senkou A")
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p2 = plot(SSB, offset = displacement - 1, color=color.red,
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title="Senkou B")
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fill(p1, p2, color = SSA > SSB ? color.green : color.red)
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//------------------------------
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//------------------------------
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// ADX
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//------------------------------
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//------------------------------
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adxlen = input(14, title="ADX Smoothing")
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dilen = input(14, title="DI Length")
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keyLevel = input(23, title="key level for ADX")
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dirmov(len) =>
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up = change(high)
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down = -change(low)
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truerange = rma(tr, len)
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plus = fixnan(100 * rma(up > down and up > 0 ? up : 0, len) / truerange)
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minus = fixnan(100 * rma(down > up and down > 0 ? down : 0, len) / truerange)
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[plus, minus]
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adx(dilen, adxlen) =>
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[plus, minus] = dirmov(dilen)
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sum = plus + minus
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adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
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[adx, plus, minus]
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[sig, up, down] = adx(dilen, adxlen)
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// Plot ADX
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// --------------------
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//plot(sig, color=color.black, title="ADX")
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//plot(up, color=color.green, title="+DI",linewidth=2, style=plot.style_columns, transp=40)
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//plot(down, color=color.red, title="-DI",linewidth=2, style=plot.style_columns, transp=40)
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//plot(keyLevel, color=color.white, title="Key Level")
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//------------------------------
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//------------------------------
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// STRATEGY
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//------------------------------
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//------------------------------
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// Buy & Sell Signals
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// --------------------
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// ADX
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ABuy1 = up > keyLevel and up - down >5 and sig > down and sig < keyLevel * 2
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ASell1 = down > keyLevel and down - up >5 and sig > up and sig < keyLevel * 2
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// ICHIMOKU
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Bull = close >= max(SSAdisp, SSBdisp)
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Bear = close <= min(SSAdisp, SSBdisp)
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// 1. Bull
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Buy1 = (close >= max(SSAdisp, SSBdisp)) ? 1 : 0
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Buy2 = (Tenkan - Kijun >= 0.001) ? 1 : 0
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Buy3 = SSA > SSB ? 1 : 0
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Buy4 = sig > 20 ? 1 : 0
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Buy4a = close - close[displacement] >=0.001 ? 1:0
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Buy5 = Buy1 and Buy2 and Buy3 and Buy4 and Buy4a and not(Buy1[1] and Buy2[1] and Buy3[1])
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// 1. Bear
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Sell1 = (close <= min(SSAdisp, SSBdisp)) ? 1 : 0
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Sell2 = (Kijun - Tenkan >= 0.001) ? 1 : 0
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Sell3 = SSA < SSB ? 1 : 0
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Sell4 = sig > 20 ? 1 : 0
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Sell4a = close <= close[displacement]
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Sell5 = Sell1 and Sell2 and Sell3 and Sell4 and Sell4a and not(Sell1[1] and Sell2[1] and Sell3[1])
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// CONSOLIDATED
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buysignal = Buy5
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buyexitsignal = crossunder(close,Kijun)
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sellsignal = Sell5
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sellexitsignal = crossover(close,Kijun)
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longCondition = buysignal
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shortCondition = sellsignal
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// Plot Indicators
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// --------------------
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// ----- Buy & Sell
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//plotshape(longCondition, title = "Buy Signal", text ="BUY", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.belowbar, color = #1B8112, transp = 0)
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//plotshape(shortCondition, title = "Short Signal", text ="SHORT", textcolor =#FFFFFF , style=shape.labeldown, size = size.tiny, location=location.abovebar, color = #000000, transp = 0)
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// ----- Ichimoku Signals
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//plotshape(Sell2, title = "Sell Signal", text ="Kumo Twist", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.top, color = color.black, transp = 0)
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//plotshape(Sell3, title = "Sell Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.labelup, size = size.tiny, location=location.bottom, color = color.black, transp = 0)
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//plotshape(Buy4, title = "Buy Signal", text ="Kumo Twist", textcolor =#FFFFFF , style=shape.diamond, size = size.tiny, location=location.belowbar, color = color.blue, transp = 0)
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//plotshape(Buy3, title = "Buy Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.circle, size = size.tiny, location=location.abovebar, color = color.green, transp = 0)
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//plotshape(Buy4, title = "Buy Signal", text ="TK/KJ", textcolor =#FFFFFF , style=shape.circle, size = size.tiny, location=location.belowbar, color = color.red, transp = 0)
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//plotshape(buyexitsignal, title = "Buy Exit", style=shape.triangledown, size = size.tiny, location=location.abovebar, color = color.green, transp = 0)
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//plotshape(sellexitsignal, title = "Buy Exit", style=shape.triangleup, size = size.tiny, location=location.belowbar, color = color.black, transp = 0)
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//------------------------------
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//------------------------------
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// EXECUTION
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//------------------------------
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//------------------------------
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// Test Range
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// --------------------
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// === INPUT BACKTEST RANGE ===
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FromMonth = input(defval = 2, title = "From Month", minval = 1, maxval = 12)
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FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
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FromYear = input(defval = 2015, title = "From Year", minval = 2017)
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ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
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ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
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ToYear = input(defval = 9999, title = "To Year", minval = 2017)
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// === FUNCTION EXAMPLE ===
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start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
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finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
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window() => true // create function "within window of time"
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// Orders
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// --------------------
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if longCondition
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strategy.entry("Buy", strategy.long, when=window())
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if buyexitsignal
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strategy.close("Buy")
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if shortCondition
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strategy.entry("Sell", strategy.short, when=window())
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if sellexitsignal
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strategy.close("Sell")
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```
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> Detail
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https://www.fmz.com/strategy/439705
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> Last Modified
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2024-01-23 11:14:54
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