关于自动化多空订单的问题

Question

我一直在编写一个 pine 编辑器脚本，当先前的蜡烛收盘价（和当前价格）高于 Ichimoku Cloud 指标的“Lead Line 1”和“Lead Line 2”时，它应该下一个多头订单，以及当先前的蜡烛收盘价（和当前价格）低于两条线时的空头订单。此外，当下订单时，止损应设置在入场价格之上（对于空头头寸）或低于（对于多头头寸）2 倍的 ATR。这通过蜡烛上方和下方的拖尾线直观地显示。止盈应该是止损和进场价差的 1.5 倍。

正如您从我的屏幕截图中看到的那样，多头和空头条目似乎可以在任何地方进行，我不太确定止损和止盈功能是否正常工作。

这张照片显示了在云内和云下的多头头寸（这两个我都不想要）

这张照片显示了在云层上方的空头头寸，这也不应该发生。

有没有人能解决这个问题？我将附上我的代码，但我将非常感谢您提供的任何帮助或建议。

//@version=4
strategy("Ichimoku Cloud, STC, CMF, and ATR Strategy", shorttitle="Strategy", overlay=true)

// Ichimoku Cloud
conversionPeriods = input(defval=20, minval=1, title="Ichimoku Conversion Line Length", group="Ichimoku Cloud")
basePeriods = input(30, minval=1, title="Ichimoku Base Line Length", group="Ichimoku Cloud")
laggingSpan2Periods = input(120, minval=1, title="Ichimoku Lagging Span 2 Length", group="Ichimoku Cloud")
displacement = input(60, minval=1, title="Ichimoku Displacement", group="Ichimoku Cloud")
donchian(len) => avg(lowest(len), highest(len))
conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)

p1 = plot(leadLine1, offset = displacement - 1, color=color.green,
     title="Lead 1")
p2 = plot(leadLine2, offset = displacement - 1, color=color.red,
     title="Lead 2")
fill(p1, p2, color = leadLine1 > leadLine2 ? color.green : color.red)

// Average True Range (ATR)
ATR = atr(input(defval=14, type=input.integer, title="ATR", group="Averge True Range (ATR)"))[1]
Multip = input(defval=2, type=input.integer, title="Multiplier", group="Averge True Range (ATR)")

// Risk to Reward Ratio (RR)
rr = input(defval=2.0, title="Risk to Reward Ratio", group="Risk to Reward Ratio")

// Stop Loss & Target Price
longStopPrice = low - ATR * Multip
longStopDistance = close - longStopPrice
longTargetPrice = close + (longStopDistance * rr)

shortStopPrice = high + ATR * Multip
shortStopDistance = close + shortStopPrice
shortTargetPrice = close - (shortStopDistance * rr)

plot(longStopPrice,"Long Stop Loss")
plot(shortStopPrice,"Short Stop Loss")

// Long vs. Short Positon
validLong = close[1] > leadLine1 and close[1] > leadLine2
validShort = close[1] < leadLine1 and close[1] < leadLine2

// Enter trades whenever a valid setup is detected
strategy.entry(id="Long", long=strategy.long, when=validLong)
strategy.entry(id="Short", long=strategy.short, when=validShort)

// Exit trades whenever our stop or target is hit
strategy.exit(id="Long Exit", from_entry="Long", limit=longTargetPrice, stop=longStopPrice, when=strategy.position_size > 0)
strategy.exit(id="Short Exit", from_entry="Short", limit=shortTargetPrice, stop=shortStopPrice, when=strategy.position_size < 0)

非常感谢！

Answer 1

尝试绘制没有偏移的引导线。这两条线的情节和实际数据可能会令人困惑。

Answer 2

您必须考虑位移。当领先线偏移到未来时，当前收盘价实际上高于/低于领先线的历史值。例如

validLong = close[1] > leadLine1[displacement - 1] and close[1] > leadLine2[displacement - 1]