Ichimoku Strategies (General Discussion)
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This is my latest Ichimoku strategy, it was optimized for the South African 40 Cash Market and the 1 Hour Timeframe:
123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142143144145146147148149150151152153154155156157158159160161162163164165166167//Stategy: Ichimoku//Author: Juan Jacobs (Jd3gjacobs@gmail.com)//Market: South Africa 40 Cash (ZAR2 Micro)//Timezone: UTC +2//Timeframe: 1Hr//Spread: 20Defparam Cumulateorders = False//MH = (hour >= 9 or (hour = 9 and minute > x)) and (hour <= 16 or (hour = 16 and minute < 55))possize = 2//Standard Ichimoku Variables (Do not optimize)T = 9 //Tenkan-Sen Period (9)I = 26 //Chikou-Span Period (26)K = 52 //Kijun-Sen Period (52)TS = (highest[T](high)+lowest[T](low))/2 //Tenkan-SenKS = (highest[I](high)+lowest[I](low))/2 //Kijun-SenCS = close[I] //Chikou-SpanSA = (TS+KS)/2 //Senkou-Span ASB = (highest[K](high)+lowest[K](low))/2 //Senkou-Span B//Additional Criteria Variables (Can be optimized)DP = DIplus[I](close) > 20//Check strenght of Positive Directional MovementDN = DIminus[I](close) > 20 //Check strenght of Negative Directional MovementAX = ADX[20] > 10 //Check strenght of volitilityRS = RSI[2](close) //RSI Period to determine momentumPeriod = 6Deviations = 1.6PRICE = LOG(customclose)alpha = 2/(PERIOD+1)if barindex < PERIOD thenEWMA = AVERAGE[3](PRICE)elseEWMA = alpha * PRICE + (1-alpha)*EWMAendiferror = PRICE - EWMAdev = SQUARE(error)if barindex < PERIOD+1 thenvar = develsevar = alpha * dev + (1-alpha) * varendifESD = SQRT(var)Ua = EXP(EWMA + (DEVIATIONS*ESD))La = EXP(EWMA - (DEVIATIONS*ESD))Ub = Average[25,1](close)+2.5*std[25](close)Lb = Average[25,1](close)-2.5*std[25](close)BollU = (Ua + Ub)/2BollL = (La + Lb)/2BollM = EXP(EWMA)SlowEMA = Average[20,2](close)FastEMA = Average[5,2](close)MinMA = Average[2,1](close)ATR = AverageTrueRange[2](close) //Average TRue Range calculated over the last x periodsIf close[1] > open[1] ThenHighestCO = close[1]ElsIf close[1] < open[1] ThenHighestCO = open[1]EndIfIf close[1] < open[1] ThenLowestCO = close[1]ElsIf close[1] > open[1] ThenLowestCO = open[1]EndIfMaxRng = abs(open[1]-close[1])For s = 2 to 27If close[s] > open[s] ThenIf close[s] > HighestCO ThenHighestCO = close[s]EndIfElsIf close[s] < open[s] ThenIf open[s] > HighestCO ThenHighestCO = open[s]EndIfEndIfIf close[s] < open[s] ThenIf close[s] < LowestCO ThenLowestCO = close[s]EndIfElsIf close[s] > open[s] ThenIf open[s] < LowestCO ThenLowestCO = open[s]EndIfEndIfIf abs(open[s]-close[s]) > MaxRng ThenMaxRng = abs(open[s]-close[s])EndIFNextIf RSI[20](close) > RSI[20](close[I]) ThenIf close < CS ThenBDIV = 1 //Buy Divergence PresentSDIV = 0EndIfEndIfIf RSI[20](close) < RSI[20](close[I]) ThenIf close > CS ThenBDIV = 0 //Sell Divergence PresentSDIV = 1EndIfEndIf//Check for sufficient thickness of the varios Ichimoku cloud componentsKTRNG = ABS(KS - TS) > ATR*0.08ABRNG = ABS(SA - SB) > ATR*0.2ABIRNG = ABS(SA[I] - SB[I]) > ATR*0.2ABKRNG = ABS(SA[K] - SB[K]) > ATR*0.08//Check that price is not too far away from meanMDC = (ABS(KS-close) < ATR*7)//Criteria to Enter Long PositionIf countofposition = 0 and SDIV = 0 and RS > 50 and AX and DP > DN and TS > KS and SlowEMA > SlowEMA[10] and FastEMA > FastEMA[20] and MDC and KTRNG and ABKRNG and ABIRNG and ABRNG and close > SA[I] and close > SB[I] + ATR and close > CS + ATR ThenBuy possize contracts at marketoptimize = optimize + 1LE = 0EndIf//Criteria to Enter Short PositionIf countofposition = 0 and BDIV = 0 and RS < 50 and AX and DP < DN and TS < KS and SlowEMA < SlowEMA[10] and FastEMA < FastEMA[20] and MDC and KTRNG and ABKRNG and ABIRNG and ABRNG and close < SA[I] and close < SB[I]- ATR and close < CS - ATR ThenSellshort possize contracts at close - ATR stopoptimize = optimize + 1SE = 0EndIf//Exit ConditionsIf Longonmarket and ((close[2] > BollU and close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close[2] > BollM and close[1] < BollM and close < BollM)) ThenLE = 1ElsIf Shortonmarket and ((close[2] < BollL and close[1] < BollL and close > BollL) or (low[1] < BollL and Low > BollL) or (close[2] < BollM and close[1] > BollM and close > BollM)) ThenSE = 1EndIfIf Longonmarket and close[1] < KS and close[1] < FastEMA and close < KS and RS < 50 and (MinMA < MinMA[16] or FastEMA < FastEMA[22] or SlowEMA < SlowEMA[35]) or (open > BollU and close < BollU) or (close[2] > open[2] and close[2] > BollU and close[1] > open[1] and close[1] > BollU and close < open and close < BollU) or (close[1] > BollU and close < open and close < close[1]) or (high[2] > BollU and high[1] > BollU and high[1] > high[2] and high[2] > high and close[2] > open[2] and close < open) or (close[1] < open[1] and close < open and high[1] > BollU and high > BollU) or (close < LowestCO and abs(open-close) > MaxRng) ThenLE = 2ElsIf Shortonmarket and close[1] > KS and close[1] > FastEMA and close > KS and RS > 50 and (MinMA > MinMA[16] or FastEMA > FastEMA[22] or SlowEMA > SlowEMA[35]) or (open < BollL and close > BollL) or (close[2] < open[2] and close[2] < BollL and close[1] < open[1] and close[1] < BollL and close > open and close > BollL) or (close[1] < BollL and close > open and close and close > close[1]) or (low[2] < BollL and low[1] < BollL and low[1] < low[2] and low[2] > low and close[2] < open[2] and close > open) or (close[1] > open[1] and close > open and low[1] < BollL and low < BollL) or (close > HighestCO and abs(open-close) > MaxRng) ThenSE = 2EndIfIf longonmarket and ((LE = 1 and RS >= 95) or LE = 2) ThenSell at marketElsIf shortonmarket and ((SE = 1 and RS <= 5) or SE = 2) ThenExitshort at marketEndIf2 users thanked author for this post.
@victormork short answer to your question yes, I do find it excessive and therefore I do not personally trade this type of strategy live via ProOrder. All the strategies I trade live nowadays via ProOrder are very simplistic and market neutral.
However, the above strategy was designed to mimic the way I trade Ichimoku manually, other versions of the code were even more ‘excessive’ and even included Fibonacci and Pivot Levels as part of the exit criteria. When I trade Ichimoku manually I consider a lot of criteria as I usually aim to only catch the big trends and ignore the minor ones. The above was thus an attempt to automate my decision-making process when it comes to Ichimoku. Although it doesn’t even include Ichimoku Time or Wave theory as I simply do not know how to code such elements into an automated strategy.
Because of all the moving parts of this Ichimoku strategy, it obviously needs to be customized for a specific market. The above example is optimized for my local index and performs respectively.
1 user thanked author for this post.
I was able to trim down and simplify your code significantly. It still does the same but gets rid of about 1 1/2 page of code. You had there this FOR-loop and nested in it several IF-loops. I could trim this down to just 3 lines.
Then I did a little bit tidying up just to make it easier to read for me. Maybe somebody else likes it.
Just to make this sure. I did not change anything. I just sorted a little bit and introduced the loopback variable so you can run WFA on it – doesn’t look that bad.
I also tried to exchange all your exit conditions for a trailing SL + dynamic TP but the result was worse than with your advanced exit conditions, so I left them.
1 user thanked author for this post.
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