263 lines
9.9 KiB
Markdown
263 lines
9.9 KiB
Markdown
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> Name
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Ichimoku-Kinko-Hyo趋势跟踪策略Ichimoku-Kinko-Hyo-indicator-Balancing-Trend-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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一目均衡策略是一个利用Ichimoku Kinko Hyo指标实现的趋势跟踪策略。该策略结合多种指标识别趋势方向,在牛市中做多,在熊市中做空,实现资金的长期增值。
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## 策略原理
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该策略主要基于Ichimoku Kinko Hyo指标。该指标由转向线(Tenkan-Sen)、基准线(Kijun-Sen)、前沿线(Senkou-Span A)、先行线(Senkou-Span B)和延迟线(Chikou-Span)组成。当价格在云图之上时为多头趋势,当价格在云图之下时为空头趋势。
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该策略的交易信号来自以下条件的组合:
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1. 转向线上穿基准线为多头信号
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2. 转向线下穿基准线为空头信号
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3. 延迟线向上穿越为多头确认
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4. 延迟线向下穿越为空头确认
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5. RSI指标高于50为多头指标
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6. RSI指标低于50为空头指标
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7. 价格在云图之上为多头趋势
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8. 价格在云图之下为空头趋势
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当上述多头条件同时满足时,做多入场;当上述空头条件同时满足时,做空入场。
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## 优势分析
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该策略结合趋势跟踪和超买超卖指标,能够有效识别趋势的方向。主要优势如下:
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1. Ichimoku Kinko Hyo指标能够识别中长期趋势,避免被短期市场噪音误导。
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2. 结合RSI指标可以有效判断超买超卖区域,防止错过反转机会。
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3. 考虑了股价波动率条件,只在波动率较高时出手,避免无效交易。
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4. 严格的入场和出场机制,最大程度规避风险。
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## 风险分析
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该策略也存在一些风险需要注意:
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1. Ichimoku Kinko Hyo指标存在滞后,可能导致入场时机偏晚。
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2. 多条件组合交易信号出现的频率较低,容易导致交易次数不足。
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3. 未考虑资金管理和仓位管理,可能存在超量交易的风险。
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对应解决方法:
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1. 适当缩短Ichimoku Kinko Hyo参数,提高指标的灵敏度。
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2. 降低入场条件严格度,增加交易频率。
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3. 加入资金管理和仓位管理模块,控制单笔交易资金占比和仓位。
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## 优化方向
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该策略可以从以下几个方向进行优化:
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1. 更换或组合其他指标,如KDJ、MACD等,丰富信号来源。
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2. 优化Ichimoku Kinko Hyo 参数,提高指标灵敏度。
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3. 加入止损策略,以锁定利润和控制风险。
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4. 增加仓位管理模块,根据资金规模动态调整仓位。
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5. 增加期货套期保值模块,管理多头套期保值风险。
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## 总结
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一目均衡策略整体是一个可靠、稳健的趋势跟踪策略。它解决了趋势交易中的重要问题——识别趋势准确度和 trades 生成频率之间的平衡。通过参数调整和模块扩展仍有优化空间,是可以长期运用的策略之一。
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## Overview
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The Balancing Trend strategy is a trend following strategy that utilizes the Ichimoku Kinko Hyo indicator. It identifies trend directions by combining multiple indicators, goes long in a bull market and goes short in a bear market, to achieve long-term capital appreciation.
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## Strategy Principle
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The core of this strategy is based on the Ichimoku Kinko Hyo indicator, which consists of 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). When price is above the cloud, it signals an upward trend. When price is below the cloud, it signals a downward trend.
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The trading signals are generated based on the combination of the following conditions:
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1. Tenkan-Sen crosses above Kijun-Sen as bullish signal
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2. Tenkan-Sen crosses below Kijun-Sen as bearish signal
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3. Chikou Span crossover upward as bullish confirmation
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4. Chikou Span crossover downward as bearish confirmation
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5. RSI above 50 as bullish indicator
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6. RSI below 50 as bearish indicator
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7. Price above the cloud indicates upward trend
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8. Price below the cloud indicates downward trend
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It goes long when all bullish conditions are met and goes short when all bearish conditions are met.
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## Advantage Analysis
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This strategy combines trend following and overbought-oversold indicators to effectively identify trend directions. The main advantages are:
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1. Ichimoku Kinko Hyo can identify medium- to long-term trends, avoiding being misled by short-term market noises.
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2. Incorporating RSI helps determine overbought and oversold zones, preventing missing reversal opportunities.
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3. Only acts when volatility is high enough, avoiding ineffective trades.
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4. Strict entry and exit rules maximally mitigate risks.
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## Risk Analysis
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Some risks to note for this strategy:
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1. Ichimoku Kinko Hyo has lagging effect, possibly delaying entry timing.
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2. Low frequency of trade signal occurrence with multiple condition combination, leading to insufficient number of trades.
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3. No consideration around position sizing and risk management, risks around over-trading.
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Corresponding solutions:
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1. Shorten Ichimoku parameters to improve sensitivity.
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2. Reduce strictness of entry conditions to increase trade frequency.
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3. Incorporate risk management and position sizing modules to control per trade risk exposure and overall position.
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## Optimization Directions
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The strategy can be improved in the following aspects:
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1. Add or combine additional indicators like KDJ, MACD to diversify signal sources.
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2. Optimize Ichimoku parameters to improve sensitivity.
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3. Add stop loss mechanisms to lock in profits and control risks.
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4. Incorporate dynamic position sizing module based on account size.
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5. Add hedging module to manage risks for long positions.
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## Summary
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Overall this Balancing Trend strategy is a reliable, robust trend following system. It addresses the key challenge in trend trading - balancing trend identification accuracy and trade generation frequency. There is still room for improvement through parameter tuning and module expansion. It is a strategy that can be applied for the long run.
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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|22|Tenkan-Sen Bars|
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|v_input_2|60|Kijun-Sen Bars|
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|v_input_3|120|Senkou-Span B Bars|
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|v_input_4|30|Chikou-Span Offset|
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|v_input_5|30|Senkou-Span Offset|
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|v_input_6|true|Long Entry|
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|v_input_7|true|Short Entry|
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|v_input_8|2|VolLength|
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|v_input_9|0.2|Volatility Target|
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|v_input_10|true|From Day|
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|v_input_11|true|From Month|
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|v_input_12|2019|From Year|
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|v_input_13|31|To Day|
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|v_input_14|12|To Month|
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|v_input_15|2020|To Year|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2023-11-16 00:00:00
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end: 2023-11-20 08:00:00
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period: 3m
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basePeriod: 1m
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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("Ichimoku Kinko Hyo: ETH 3h Strategy by tobuno", overlay=true)
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//Inputs
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ts_bars = input(22, minval=1, title="Tenkan-Sen Bars")
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ks_bars = input(60, minval=1, title="Kijun-Sen Bars")
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ssb_bars = input(120, minval=1, title="Senkou-Span B Bars")
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cs_offset = input(30, minval=1, title="Chikou-Span Offset")
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ss_offset = input(30, minval=1, title="Senkou-Span Offset")
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long_entry = input(true, title="Long Entry")
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short_entry = input(true, title="Short Entry")
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//Volatility
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vollength = input(defval=2, title="VolLength")
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voltarget = input(defval=0.2, type=float, step=0.1, title="Volatility Target")
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Difference = abs((close - open)/((close + open)/2) * 100)
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MovingAverage = sma(Difference, vollength)
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highvolatility = MovingAverage > voltarget
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////////////////////////////////////////////////////////////////////////////////
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// BACKTESTING RANGE
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// From Date Inputs
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fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
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fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
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fromYear = input(defval = 2019, title = "From Year", minval = 1970)
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// To Date Inputs
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toDay = input(defval = 31, title = "To Day", minval = 1, maxval = 31)
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toMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
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toYear = input(defval = 2020, title = "To Year", minval = 1970)
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// Calculate start/end date and time condition
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startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
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finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
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time_cond = true
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////////////////////////////////////////////////////////////////////////////////
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middle(len) => avg(lowest(len), highest(len))
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// Ichimoku Components
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tenkan = middle(ts_bars)
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kijun = middle(ks_bars)
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senkouA = avg(tenkan, kijun)
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senkouB = middle(ssb_bars)
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//RSI
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change = change(close)
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gain = change >= 0 ? change : 0.0
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loss = change < 0 ? (-1) * change : 0.0
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avgGain = rma(gain, 14)
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avgLoss = rma(loss, 14)
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rs = avgGain / avgLoss
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rsi = 100 - (100 / (1 + rs))
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// Plot Ichimoku Kinko Hyo
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plot(tenkan, color=#0496ff, title="Tenkan-Sen")
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plot(kijun, color=#991515, title="Kijun-Sen")
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plot(close, offset=-cs_offset+1, color=#459915, title="Chikou-Span")
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sa=plot(senkouA, offset=ss_offset-1, color=green, title="Senkou-Span A")
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sb=plot(senkouB, offset=ss_offset-1, color=red, title="Senkou-Span B")
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fill(sa, sb, color = senkouA > senkouB ? green : red, title="Cloud color")
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ss_high = max(senkouA[ss_offset-1], senkouB[ss_offset-1])
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ss_low = min(senkouA[ss_offset-1], senkouB[ss_offset-1])
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// Entry/Exit Signals
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tk_cross_bull = tenkan > kijun
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tk_cross_bear = tenkan < kijun
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cs_cross_bull = mom(close, cs_offset-1) > 0
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cs_cross_bear = mom(close, cs_offset-1) < 0
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price_above_kumo = close > ss_high
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price_below_kumo = close < ss_low
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rsi_bullish = rsi > 50
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rsi_bearish = rs < 50
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bullish = tk_cross_bull and cs_cross_bull and price_above_kumo and rsi_bullish and highvolatility
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bearish = tk_cross_bear and cs_cross_bear and price_below_kumo and rsi_bearish and highvolatility
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strategy.entry("Long", strategy.long, when=bullish and long_entry and time_cond)
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strategy.entry("Short", strategy.short, when=bearish and short_entry and time_cond)
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strategy.close("Long", when=bearish and not short_entry and time_cond)
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strategy.close("Short", when=bullish and not long_entry and time_cond)
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```
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> Detail
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https://www.fmz.com/strategy/433104
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> Last Modified
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2023-11-24 14:38:47
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