The Best Ichimoku Strategy
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I have created this comprehensive strategy based on ichimoku. I optimized this on Germany cash 1 euro a CFD market TF 3H. The parameters to be optimized are both SL and TP but also the same ichimoku parameters based on the TF and the market. The goal is to improve it again and to make it perform well on other tools like forex. Thnaks.
//------------------------------------------------------------------------- // Codice principale : ichi //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Codice principale : Ichimonu_trading //------------------------------------------------------------------------- //DEFPARAM FlatBefore = 080000 //DEFPARAM FlatAfter = 220000 DEFPARAM CumulateOrders = false //parametri calcolo ichimoku...fibonacci (8, 21, 55) e gli altri sono noti. I= 6//7//9//8//8 P = 26//28//26//21//21 U = 146//119//52//55//89 //signal=0 DojiSize = 0.08//0.13 data=(abs(open - close) <= (high - low) * DojiSize) kk= data MM = ExponentialAverage[8](close) MM2 = ExponentialAverage[89](close) //TTlong = close [1] crosses over MM OR close > MM AND MM[3]<MM[2] AND MM[2]<MM[1] AND MM[1] < MM //TTShort= close[1] crosses under MM OR close < MM AND MM[3]>MM[2] AND MM[2]>MM[1] AND MM[1] > MM TTlong= MM - MM[2] >= 1.4 AND CLOSE >MM AND CLOSE > MM2 TTshort= MM[2] - MM >= 1.35 AND CLOSE < MM AND CLOSE < MM2 //controllo direzione chikou per long KK1= chikou > chikou[1] //diffe= ((chikou -chikou[1])/chikou)*100 //kk1= diffe >=a //controllo direzione chikou per short kk2= chikou < chikou[1] //diffe1= ((chikou[1] -chikou)/chikou[1])*100 //kk2= diffe1 >= b //Kijunsen piatta KK3= Kijunsen = Kijunsen[1] and Kijunsen[1] = Kijunsen[2] //Ichimoku Tenkansen = (highest[I](high)+lowest[I](low))/2 Kijunsen = (highest[P](high)+lowest[P](low))/2 SpanA = (tenkansen[P]+kijunsen[P])/2 SpanB = (highest[U](high[P])+lowest[U](low[P]))/2 //FutureSpanA = (tenkansen+kijunsen)/2 //FutureSpanB = (highest[52](high)+lowest[52](low))/2 Chikou = close // le condizioni sono volutamente ripetute per una maggiore visisibilità in fase di ottimizzazione. Una volta ottimizzata occorrerà creare delle condizioni uniche e non ridondanti. // SpanA > SpanB e brekout kumo LONG C1= SpanA > SpanB c2= close[1] crosses over SpanA C3= close > SpanA C4= close > Tenkansen c5= close > Kijunsen c6= chikou > Tenkansen[P] c7= chikou > Kijunsen [P] C8= chikou > Close[P] c9= chikou > SpanA[P] c10= chikou > SpanB[P] //BKUMOLONG= c1 and c2 and c3 and c4 and c5 and c6 and c7 and c8 and c9 and c10 BKUMOLONG= c1 and c2 and c3 and c4 and c5 and c8 and c9 and c10 and c6 and c7 and not kk and kk1 and not kk3 and TTlong // SpanA < SpanB e brekout kumo LONG c11=SpanA < SpanB c12= close[1] crosses over SpanB C13= close > SpanB C14= close > Tenkansen c15= close > Kijunsen c16= chikou > Tenkansen[P] c17= chikou > Kijunsen [P] C18= chikou > Close[P] c19= chikou > SpanB[P] c191= chikou > SpanB[P] //BKUMOLONG1= c11 and c12 and c13 and c14 and c15 and c16 and c17 and c18 and c19 and c191 BKUMOLONG1= c11 and c12 and c13 and c14 and c15 and c18 and c19 and c191 and c16 and c17 and not kk and kk1 and not kk3 and TTlong //SpanA > SpanB e croce d'oro sopra kumo LONG C20= SpanA > SpanB C21= Tenkansen crosses over Kijunsen C22= chikou > Close[P] C23= close > Tenkansen c24= close > kijunsen c25= chikou > Tenkansen[P] c26= chikou > Kijunsen [P] C27= close > SpanA //OROLONG = c20 and c21 and c22 and c23 and c24 and c25 and c26 and c27 OROLONG = c20 and c21 and c22 and c23 and c24 and c27 and c25 and c26 and not kk and kk1 and not kk3 and TTlong //SpanA < SpanB e croce d'oro sotto kumo LONG c28=SpanA < SpanB C29= Tenkansen crosses over Kijunsen C30= chikou > Close[P] C31= close > Tenkansen c34= close > kijunsen c35= chikou > Tenkansen[P] c36= chikou > Kijunsen [P] //c37= close < SpanA //OROLONG1= c28 and c29 and c30 and c31 and c34 and c35 and c36 and c37 OROLONG1= c28 and c29 and c30 and c31 and c34 and c35 and c36 and not kk and kk1 and not kk3 and TTlong // SpanA > SpanB Segnale tre linee sopra kumo LONG C38= SpanA > SpanB c39= Tenkansen > kijunsen c40= kijunsen > SpanA c41= Tenkansen > SpanA C42= close > SpanA C43= close > Tenkansen c44= close > kijunsen C420= close[1] > SpanA C430= close[1] > Tenkansen c440= close[1] > kijunsen c45= chikou > close[P] c46= chikou > SpanA[P] c47= chikou > SpanB[P] TRELINEELONG= c38 and c39 and c40 and c41 and c42 and c43 and c44 and c45 and c46 and c47 and c420 and c430 and c440 and not KK and kk1 and not kk3 and TTlong // SpanA < SpanB e brekout kumo SHORT C48= SpanA < SpanB c49= close[1] crosses under SpanA C50= close < SpanA C51= close < Tenkansen c52= close < Kijunsen c53= chikou < Tenkansen[P] c54= chikou < Kijunsen [P] C55= chikou < Close[P] c56= chikou < SpanA[P] c57= chikou < SpanB[P] BKUMOSHORT= c48 and c49 and c50 and c51 and c52 and c53 and c54 and c55 and c56 and c57 and not kk and kk2 and not kk3 and TTshort // SpanA > SpanB e brekout kumo SHORT C58= SpanA > SpanB c59= close[1] crosses under SpanB C60= close < SpanB C61= close < Tenkansen c62= close < Kijunsen c63= chikou < Tenkansen[P] c64= chikou < Kijunsen [P] C65= chikou < Close[P] c66= chikou < SpanA[P] c67= chikou < SpanB[P] //BKUMOSHORT1= c58 and c59 and c60 and c61 and c62 and c63 and c64 and c65 and c66 and c67 BKUMOSHORT1= c58 and c59 and c60 and c61 and c62 and c65 and c66 and c67 and c63 and c64 and not kk and kk2 and not kk3 and TTshort //SpanA > SpanB e croce morte sopra kumo SHORT C68= SpanA > SpanB C69= Tenkansen crosses under Kijunsen C70= chikou < Close[P] C71= close < Tenkansen c72= close < kijunsen c73= chikou < Tenkansen[P] c74= chikou < Kijunsen [P] //C75= close > SpanA //MORTESHORT= c68 and c69 and c70 and c71 and c72 and c73 and c74 and c75 MORTESHORT= c68 and c69 and c70 and c71 and c72 and c73 and c74 and not kk and kk2 and not kk3 and TTshort //SpanA < SpanB e croce MORTE sotto kumo SHORT C76= SpanA < SpanB c77= Tenkansen crosses under Kijunsen c78= chikou< close[P] C79= close < Tenkansen c80= close < kijunsen c81= chikou < Tenkansen[P] c82= chikou < Kijunsen [P] c83=close < SpanA //MORTESHORT1= c76 and c77 and c78 and c79 and c80 and c81 and c82 and c83 MORTESHORT1= c76 and c77 and c78 and c79 and c80 and c83 and c81 and c82 and not kk and kk2 and not kk3 and TTshort // SpanA < SpanB Segnale tre linee sottokumo SHORT c84=SpanA < SpanB c85= Tenkansen < kijunsen c86= kijunsen < SpanA c87= Tenkansen < SpanA C88= close < SpanA c880= close[1]<SpanA c89= close < SpanB C90= chikou < Close[P] C91= close < Tenkansen c92= close< kijunsen C910= close[1] < Tenkansen c920= close[1]< kijunsen c93= chikou < SpanA[P] c94= chikou < SpanB[P] TREELINEESHORT= c84 and c85 and c86 and c87 and c88 and c89 and c90 and c91 and c92 and c93 and c94 and c880 and c910 and c920 and not KK and kk2 and not kk3 and TTshort IF not onmarket and BKUMOLONG then buy 1 shares at market //signal=1 endif IF not onmarket and BKUMOLONG1 then buy 1 shares at market //signal=2 endif IF not onmarket and OROLONG then buy 1 shares at market //signal=3 endif IF not onmarket and OROLONG1 then buy 1 shares at market //signal=4 endif IF not onmarket and TRELINEELONG then buy 1 shares at market //signal=5 endif IF not onmarket and BKUMOSHORT then sellshort 1 shares at market //signal=-1 endif IF not onmarket and BKUMOSHORT1 then sellshort 1 shares at market //signal=-2 endif IF not onmarket and MORTESHORT then sellshort 1 shares at market //signal=-3 endif IF not onmarket and MORTESHORT1 then sellshort 1 shares at market //signal=-4 endif IF not onmarket and TREELINEESHORT then sellshort 1 shares at market //signal=-5 endif if longonmarket and close crosses under Kijunsen or close crosses under SpanA or close crosses under spanB or close crosses over Kijunsen or close crosses over SpanA or close crosses over spanB then sell at market //signal=0 endif if shortonmarket and close crosses under Kijunsen or close crosses under SpanA or close crosses under spanB or close crosses over Kijunsen or close crosses over SpanA or close crosses over spanB then exitshort at market //signal=0 endif //trailing stop trailingstop = 14 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif //SET STOP ploss b//20 //SET TARGET pPROFIT c//54 //GRAPH signal coloured(255,0,0) as "segnale per capire" SET STOP ploss 105 SET TARGET pPROFIT 135 //SET STOP PTRAILING a //TRAILING STOPThank you for your post proposal into the library. any ideas or codes proposed will do anything that will move the community forward 🙂 Moved it here to discuss about:
1/ Overfit is the first thing that come to mind, did you try at least to validate your optimized variables on an Out Of Sample (OOS) period? To prevent over fitting, develop your idea on a 70% time period and validate it on the last 30% period.
2/ The conditions to exit position (long or short) are exactly the same between lines 273 to 281?
Hi,
I have do the Walk Forward analysis and it seems ok and confirm the parameters optimized. I add some screenshoot. Thanks
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| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 10/31/2017 |
| Status: | Active |
| Attachments: | 5 files |
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