ICHIMOKU BREAKOUT strategy on EURUSD 3 hours

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07/10/2017 at 2:02 PM #40248 quote

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

strat-1499493788pc48l1.png

07/10/2017 at 2:10 PM #40253 quote

Nicolas

Keymaster

Legend

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 😉