293 lines
14 KiB
Markdown
293 lines
14 KiB
Markdown
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> Name
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基于市场多空力量的Ichimoku云突破策略Market-Sentiment-Based-Ichimoku-Breakout-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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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。
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## 策略原理
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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。
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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。
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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。
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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。
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## 优势分析
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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。
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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。
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## 风险分析
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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。
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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。
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## 优化方向
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可以从以下几个方向来进一步优化该策略:
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1. 测试不同市场的数据,判断策略健壮性和适应性
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2. 优化Ichimoku云的参数,使之更契合特定市场行情
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3. 尝试LSTM等深度学习算法,辅助判断突破信号强度
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4. 加入量能指标,避免追涨杀跌的概率
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## 总结
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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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## Overview
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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.
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## Strategy Logic
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There are two core components - Ichimoku Cloud signals to determine bullish/bearish momentum and strength burst signals to capture potential breakouts.
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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.
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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.
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Long entries are triggered when either signal fires. Exits will trail stops based on ATR, percentage, or Ichimoku rules to lock in profits.
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## Advantage Analysis
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The biggest edge comes from using Ichimoku Cloud for both trend and momentum analysis, making signals more accurate than lone indicators like moving averages.
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The risk management from ATR/percentage trailing stops also keeps loss per trade small. Optional profit taking further enhances reward consistency.
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## Risk Analysis
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Ichimoku Cloud has some lagging issues. Strength signals also increase chance of chasing momentum.
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To address lagging risk, optimize Cloud faster settings. For momentum risk, tighter trailing stops react quicker to reversals.
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## Optimization Directions
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Possible improvements include:
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1. Test on more market data for robustness.
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2. Optimize Cloud parameters for specific instruments.
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3. Try ML like LSTM for better signal rating.
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4. Add volume analysis to avoid bull traps.
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## Conclusion
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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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[/trans]
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_string_1|0|(?Strategy settings)Trail Source: Lows/Highs|Close|Open|
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|v_input_string_2|0|Trail Method: ATR|Percent|Ichi exit|
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|v_input_float_1|10|Trail Percent|
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|v_input_int_1|7|Lookback|
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|v_input_int_2|14|ATR Period|
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|v_input_float_2|true|ATR Multiplier|
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|v_input_bool_1|false|Add Ichimoku exit|
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|v_input_bool_2|false|Use Take Profit|
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|v_input_float_3|5|Take Profit Percentage|
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|v_input_int_3|9|(?Ichimoku settings)Conversion Line Length|
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|v_input_int_4|26|Base Line Length|
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|v_input_int_5|52|Leading Span B Length|
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|v_input_int_6|26|Lagging Span|
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|v_input_int_7|26|Delta|
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> Source (PineScript)
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``` javascript
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/*backtest
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start: 2024-01-04 00:00:00
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end: 2024-02-03 00:00:00
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period: 3h
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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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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
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// © mikul_se
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//@version=5
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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)
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// Strategy settings
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strategySettingsGroup = "Strategy settings"
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trailSource = input.string(title="Trail Source", defval="Lows/Highs", options=["Lows/Highs", "Close", "Open"], confirm=true, group=strategySettingsGroup)
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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)
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trailPercent = input.float(title="Trail Percent", defval=10, minval=0.1, confirm=true, group=strategySettingsGroup)
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swingLookback = input.int(title="Lookback", defval=7, confirm=true, group=strategySettingsGroup)
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atrPeriod = input.int(title="ATR Period", defval=14, confirm=true, group=strategySettingsGroup)
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atrMultiplier = input.float(title="ATR Multiplier", defval=1.0, confirm=true, group=strategySettingsGroup)
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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)
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useTakeProfit = input.bool(false, "Use Take Profit", confirm=true, group=strategySettingsGroup)
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takeProfitPercent = input.float(title="Take Profit Percentage", defval=5, minval=0.1, confirm=true, group=strategySettingsGroup)
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// Ichimoku settings
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ichimokuSettingsGroup = "Ichimoku settings"
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conversionPeriods = input.int(9, minval=1, title="Conversion Line Length", group=ichimokuSettingsGroup)
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basePeriods = input.int(26, minval=1, title="Base Line Length", group=ichimokuSettingsGroup)
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laggingSpan2Periods = input.int(52, minval=1, title="Leading Span B Length", group=ichimokuSettingsGroup)
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displacement = input.int(26, minval=1, title="Lagging Span", group=ichimokuSettingsGroup)
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delta = input.int(26, minval=1, title="Delta", group=ichimokuSettingsGroup)
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donchian(len) => math.avg(ta.lowest(len), ta.highest(len))
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conversionLine = donchian(conversionPeriods)
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baseLine = donchian(basePeriods)
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leadLine1 = math.avg(conversionLine, baseLine)
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leadLine2 = donchian(laggingSpan2Periods)
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uppercloud = leadLine1[displacement-1]
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bottomcloud = leadLine2[displacement-1]
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// Ichi exit variables and calculations
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delta2 = delta-3
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average(len) => math.avg(ta.lowest(len), ta.highest(len))
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conversion_line = average(conversionPeriods)
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base_line = average(basePeriods)
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lead_line_a = math.avg(conversion_line, base_line)
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lead_line_b = average(laggingSpan2Periods)
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lagging_span = close
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lead_line_a_delta = lead_line_a[delta]
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lead_line_b_delta = lead_line_b[delta]
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lagging_span_delta = lagging_span[delta]
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prisgris = hlc3[delta]
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prisgris2 = hlc3[delta2]
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// Declare trailing price variable (stores our trail stop value)
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var float trailPrice = na
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float next_trailPrice = na
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// Get required trailing stop variables
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atrValue = ta.atr(atrPeriod) * atrMultiplier
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swingLow = ta.lowest(low, swingLookback)
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swingHigh = ta.highest(high, swingLookback)
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// Ichi plotting
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plot(conversionLine, color=#2962FF, title="Conversion Line")
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plot(baseLine, color=#B71C1C, title="Base Line")
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plot(close, offset=-displacement + 1, color=#43A047, title="Lagging Span")
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p1 = plot(leadLine1, offset=displacement - 1, color=#A5D6A7, title="Leading Span A")
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p2 = plot(leadLine2, offset=displacement - 1, color=#EF9A9A, title="Leading Span B")
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fill(p1, p2, color=leadLine1 > leadLine2 ? color.rgb(67, 160, 71, 90) : color.rgb(244, 67, 54, 90))
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// Plotting ichi crossover signals
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ichiup = ta.crossover(conversionLine, baseLine)
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ichidown = ta.crossover(baseLine, conversionLine)
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plotshape(ichiup ? conversionLine : na, 'Ichi long 1', style=shape.circle, location=location.absolute, offset=0, color=#00ff00b0, size=size.tiny)
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plotshape(ichidown ? conversionLine : na, 'Ichi short 1', style=shape.circle, location=location.absolute, offset=0, color=#ff1100c7, size=size.tiny)
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// Pamp signal
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signal5 = close > bottomcloud[displacement] and close > uppercloud[displacement] and close > high[displacement]
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signal5b = close[1] <= bottomcloud[displacement+1] or close[1] <= uppercloud[displacement+1] or close <= high[displacement+1]
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signal6 = close > bottomcloud and close > uppercloud and close > open
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signal6b = close[1] <= bottomcloud[1] or close[1] <= uppercloud[1]
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signal7 = leadLine1 > leadLine2
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signal7b = leadLine1[1] <= leadLine2[1]
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signal8 = conversionLine > baseLine
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pamp = signal5 and signal6 and signal7 and signal8 and strategy.position_size == 0 and (signal5b or signal6b or signal7b)
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// Trend signal
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nsignal5 = close > close[displacement]
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nsignal6 = close > bottomcloud and close > uppercloud and close > open
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nsignal8 = ta.crossover(conversionLine, baseLine) and conversionLine > bottomcloud and conversionLine > uppercloud and baseLine > bottomcloud and baseLine > uppercloud
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trend = nsignal5 and nsignal6 and nsignal8 and strategy.position_size == 0
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plotshape(trend, style=shape.triangleup, location=location.belowbar, color=color.green)
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if (trend or pamp)
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trailPrice := na
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strategy.entry(trend ? "Trend" : "Pamp", direction = strategy.long)
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// Get trailing stop price
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if trailMethod == "ATR"
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next_trailPrice := switch trailSource
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"Close" => strategy.position_size > 0 ? close - atrValue : close + atrValue
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"Open" => strategy.position_size > 0 ? open - atrValue : open + atrValue
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=> strategy.position_size > 0 ? swingLow - atrValue : swingHigh + atrValue
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else if trailMethod == "Percent"
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float percentMulti = strategy.position_size > 0 ? (100 - trailPercent) / 100 : (100 + trailPercent) / 100
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next_trailPrice := switch trailSource
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"Close" => close * percentMulti
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"Open" => open * percentMulti
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=> strategy.position_size > 0 ? swingLow * percentMulti : swingHigh * percentMulti
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else
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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)))
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if short_signal
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strategy.close("Trend", "Ichi trend over")
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strategy.close("Pamp", "Ichi pamp over")
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alert("Sell")
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if (addIchiExit)
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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)))
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if short_signal
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strategy.close("Trend", "Ichi trend over")
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strategy.close("Pamp", "Ichi pamp over")
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alert("Sell")
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// Check for trailing stop update
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if strategy.position_size != 0 and barstate.isconfirmed
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if (next_trailPrice > trailPrice or na(trailPrice)) and strategy.position_size > 0
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trailPrice := next_trailPrice
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alert(message="Trailing Stop updated for " + syminfo.tickerid + ": " + str.tostring(trailPrice, "#.#####"), freq=alert.freq_once_per_bar_close)
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if (next_trailPrice < trailPrice or na(trailPrice)) and strategy.position_size < 0
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trailPrice := next_trailPrice
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alert(message="Trailing Stop updated for " + syminfo.tickerid + ": " + str.tostring(trailPrice, "#.#####"), freq=alert.freq_once_per_bar_close)
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// Draw data to chart
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plot(strategy.position_size != 0 ? trailPrice : na, color=color.red, title="Trailing Stop")
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// Take Profit
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float profitTarget = strategy.position_avg_price * (1 + takeProfitPercent / 100)
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// Exit trade if stop is hit
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strategy.exit(id="trend Exit", from_entry="Trend", stop=trailPrice, limit=useTakeProfit ? profitTarget : na)
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strategy.exit(id="pamp Exit", from_entry="Pamp", stop=trailPrice, limit=useTakeProfit ? profitTarget : na)
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if strategy.position_size == 0
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trailPrice = 0
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```
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> Detail
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https://www.fmz.com/strategy/440975
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> Last Modified
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2024-02-04 14:46:22
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