ICHIMOKU BREAKOUT strategy on EURUSD 3 hours

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  • #40248 quote
    volpiemanuele
    Participant
    Veteran

    Hello,

    I have created a strategy with the idea of kumo break of Rafa (https://www.prorealcode.com/prorealtime-market-screeners/kumo-break/) with some integration. I have optimized the variables of Ichimoku and SL e TP on EurUsd_mini Time Frame 3h. In my opinion the basic idea is good especially in relation to the high percentage of positive trade (71.98%). I expect further improvement with your help also in other instruments. Thanks

    //****************************************************************
    //*  Estrategia Rotura de Kumo Completa
    //*  Autor: Rafa Barreto: Ayuda Nicolás
    //****************************************************************
    DEFPARAM CumulateOrders = false
    // ===== VALORES MODIFICABLES =====
     
    // -- Construyendo la graficación Ichimoku --
    // -- Valores NO Standar: Fibonacci: 8; 21; 55 --
    // -- Valores NO Standar: Actuales : 7;22;44
    // -- Valores Standar: 9; 26; 52
     
    PeriodoCorto = 8
    PeriodoMedio = 21
    PeriodoLargo = 55
     
    Tenkan = (highest[PeriodoCorto](High) + lowest[PeriodoCorto](Low)) / 2
    Kijun = (highest[PeriodoMedio](High) + lowest[PeriodoMedio](Low)) / 2
    SpanA = (TenKan[PeriodoMedio] + Kijun[PeriodoMedio]) / 2
    SpanB = (highest[PeriodoLargo](High[PeriodoMedio]) + lowest[PeriodoLargo](Low[PeriodoMedio])) / 2
    Chikou = Close
     
    // ===== A partir de aquí no se toca el código =====
     
    // --- Condiciones de Posiciones Largas ---
     
    Condicion1Larga = (close  > SpanA) AND (close  > SpanB)
    //Condicion2Larga = (Tenkan > SpanA) AND (Tenkan > SpanB)
    //Condicion3Larga = (Kijun  > SpanA) AND (Kijun  > SpanB)
    //Condicion4Larga = (Chikou > SpanA) AND (Chikou > SpanB)
    Condicion5Larga   = (SpanA[PeriodoMedio] > SpanB[PeriodoMedio])
    Condicion6Larga   = (SpanA[PeriodoMedio] < SpanB[PeriodoMedio])
    Condicion7Larga = chikou > close[PeriodoMedio]
    
    
    if not onmarket and (Chikou CROSSES OVER SpanA[PeriodoMedio] AND (Condicion1Larga AND Condicion5Larga and Condicion7Larga )) or (Chikou CROSSES OVER SpanB[PeriodoMedio] AND (Condicion1Larga AND Condicion6Larga and Condicion7Larga))   then
    buy 1 shares at market
    endif
    
     
    // -- Condiciones de Posiciones Cortas ---
     
    Condicion1Corta = (close  < SpanA) AND (close  < SpanB)
    //Condicion2Corta = (Tenkan < SpanA) AND (Tenkan < SpanB)
    //Condicion3Corta = (Kijun  < SpanA) AND (Kijun  < SpanB)
    //Condicion4Corta = (Chikou < SpanA) AND (Chikou < SpanB)
    Condicion5Corta   = (SpanA[PeriodoMedio] < SpanB[PeriodoMedio])
    Condicion6Corta   = (SpanA[PeriodoMedio] > SpanB[PeriodoMedio])
    Condicion8Larga = chikou < close[PeriodoMedio]
     
    
    if not onmarket and (Chikou CROSSES UNDER SpanA[PeriodoMedio] AND (Condicion1Corta AND Condicion5Corta and Condicion8Larga )) or (Chikou CROSSES UNDER SpanB[PeriodoMedio] AND (Condicion1Corta AND Condicion6Corta and Condicion8Larga))   then
    sellshort 1  shares at market
    endif
    
    
    set stop ploss 50
    SET TARGET PPROFIT 30

    and TF. Thank you

    strat11.png strat11.png strat-1499493788pc48l1.png strat-1499493788pc48l1.png
    #40253 quote
    Nicolas
    Keymaster
    Master

    Hi manuele, thanks for this idea about a new ichimoku trading strategy and built upon a screener from another member 🙂 I think there is effectively a good idea behind this setup. I replaced the optimized value you add for the ichimoku indicator with the default one and the strategy is performing also good, even if we don’t have a steady equity curve (picture attached).

    In tick-by-tick mode we can’t go further back than the 1st August 2010. A serie of stoploss occurred during February 2015 and it happened that we could expect from a strategy with a risk/reward ratio < 1, a lot of profit is wiped away! 🙁 The first thing to do here (IMO) is to set a RR>1 and see what happen with a lot of losses in the same row .. Good luck 😉

    ichimoku-strategy-automatic-trading-3-hours.png ichimoku-strategy-automatic-trading-3-hours.png
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ICHIMOKU BREAKOUT strategy on EURUSD 3 hours


ProOrder: Automated Strategies & Backtesting

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has 2 voices, and was last updated by Nicolas
8 years, 8 months ago.

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Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 07/10/2017
Status: Active
Attachments: 3 files
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