// IchiMoku/EMA Slope trading system ... by Bernard Mentink
// Version 1.0
// If you make improvements. Please Change the version number above and the strategy filename, (So we can keep track)
// I will keep my copies under "git" versioning.
defparam cumulateorders = false
DEFPARAM Preloadbars = 200
// ---------------------------------- Variables ----------------------------------------
BOK = 0
NbrContracts = 1
SlopeThreshold = 3.9 // From back/forward testing optimization
TGL = 32 // also from back/forward testing, note TGL and TGS the same,
TGS= TGL // we don't want to bias for the current market (bull/bear) - because it could change at any time.
ATR = AverageTrueRange[5](close) //Average TRue Range calculated over the last x periods
TP = ATR*9 //Profit Target
SL = ATR*7 //Stoploss
// ---------------------------------- Indicators --------------------------------------
// Ichimoku
Tenkansen = (highest[9](high)+lowest[9](low))/2
Kijunsen = (highest[26](high)+lowest[26](low))/2
SSpanA = (tenkansen[26]+kijunsen[26])/2
SSpanB = (highest[52](high[26])+lowest[52](low[26]))/2
Chikou = close[26]
// This indicator calculates linear regression slope of moving average input, > 0 positive slope, <0 negative
// calculated on last 2 bars
length = 2
SumBars = Length * (Length-1) * 0.5
SumSqrBars = (Length-1) * Length * (2 * Length-1) / 6
if(barindex>Length) then
Sum1 = 0
SumY=0
MA = DEMA(close)
for i=0 to Length-1 do
Sum1 = Sum1+(i*MA[i])
SumY = SumY+(MA[i])
next
Sum2 = SumBars * SumY
Num1 = Length * Sum1 - Sum2
Num2 = SumBars * SumBars - Length * SumSqrBars
endif
RegSlope = Num1/Num2
myslope = RegSlope / close * 10000 // Scale slope to instrument.
// ---------------------------------- The code ---------------------------------------
// This is the meat, The key I think is in the slope. Adding the slope code improved the profitability greatly.
// Looking at the Chikou also helped keep us in the proper trend.
// Note carefully the comparisons are different depending on bull/bear of the Kumo.
// Our Ichimoku conditions broken down:
// Short
cs1 = close < SSpanA and close[1] > SSpanA[1]
cs2 = close < Kijunsen and close < Chikou
cs3 = mySlope > -SlopeThreshold
cs4 = mySlope < -SlopeThreshold
cs5 = close < SSpanB and close[1] > SSpanB[1]
// Long
cl1 = close > SSpanB and close[1] < SSpanB[1]
cl2 = close > Kijunsen and close > Chikou
cl3 = mySlope < SlopeThreshold
cl4 = mySlope > SlopeThreshold
cl5 = close > SSpanA and close[1] < SSpanA[1]
// Ichimoku logic
IF SSpanB > SSpanA THEN
// BREAK OUT KUMO down
if cs1 and cs2 and cs3 then
BOK = -1
else
// BREAK OUT KUMO up
if cl1 and cl2 and cl3 then
BOK = 1
endif
endif
else
// BREAK OUT KUMO up
if cl5 and cl2 and cl4 then
BOK = 1
else
// BREAK OUT KUMO down
if cs5 and cs2 and cs4 then
BOK = -1
endif
endif
ENDIF
// ------------------------------- Additional Criteria -----------------------------------
R = RSI[25](close) //RSI Period to determine momentum
If R > R[26] Then
If close < close[26] Then
BDIV = 1 //Possible Bearish Divergence Present
SDIV = 0
EndIf
EndIf
If R < R[26] Then
If close > close[26] Then
SDIV = 1 //Possible Bullish Divergence Present
BDIV = 0
EndIf
EndIf
AX = ADX[19] > 15
// ---------------------------------- Market Stuff --------------------------------------
if BOK=-1 and BDIV = 0 and AX then
sellshort NbrContracts contract at market
endif
if BOK=1 and SDIV = 0 and AX then
buy NbrContracts contract at market
endif
// ---------------------------------- Stops ----------------------------------------------
//TRAILING STOP
if not onmarket then
MAXPRICE = 0
MINPRICE = close
EXITPRICE = 0
ENDIF
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close)
if MAXPRICE-tradeprice(1)>=TGL*pointsize then
EXITPRICE = MAXPRICE-TGL*pointsize
ENDIF
ENDIF
if shortonmarket then
MINPRICE = MIN(MINPRICE,close)
if tradeprice(1)-MINPRICE>=TGS*pointsize then
EXITPRICE = MINPRICE+TGS*pointsize
ENDIF
ENDIF
if onmarket and EXITPRICE>0 then
EXITSHORT AT EXITPRICE STOP
SELL AT EXITPRICE STOP
ENDIF
// Mostly as a safety stop, although it creats greater profits on a ranging market, good to optimize the "970" for the instrument.
// We still need a better stop if market moves against us shortly after entry and before the trailing stop comes into play.
set stop ploss SL
set target pprofit TP
.
.
