Strategy Name: Price high and low - Ichimoku trend strategy
Data cycle: 15M, etc.
Support: Commodity Futures
main chart：
LINE1 index line，formula：LINE1^^(HHV(H,N1)+LLV(L,N1))*0.5;
LINE2 index line，formula：LINE2^^(HHV(H,N2)+LLV(L,N2))*0.5;
(*backtest
start: 2018-07-01 00:00:00
end: 2018-08-16 00:00:00
period: 15m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["N1",90],["N2",150]]
*)
LINE1^^(HHV(H,N1)+LLV(L,N1))*0.5;
LINE2^^(HHV(H,N2)+LLV(L,N2))*0.5;
BKVOL=0 AND BARPOS>N2 AND REF(LINE1,1)<REF(LINE2,1) AND LINE1>=LINE2,BPK;
SKVOL=0 AND BARPOS>N2 AND REF(LINE1,1)>REF(LINE2,1) AND LINE1<=LINE2,SPK;
BKVOL=0 AND H>=HHV(H,N1),BK;
SKVOL=0 AND L<=LLV(L,N1),SK;
C<BKPRICE*(1-SLOSS*0.01),SP(BKVOL);
C>SKPRICE*(1+SLOSS*0.01),BP(SKVOL);
AUTOFILTER;
Backtest on FMZ Quant to know more
Source Code: https://www.fmz.com/strategy/128415
