Price high and low - Ichimoku trend strategy

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

Add a Comment

Your email address will not be published. Required fields are marked *