Long US 500 Ichimoku

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  • #142111 quote
    Ichimoku Reading
    Participant
    Master

    Today, I would like to share with you a strategy developed for the US 500 index
    This one relies on Ichimoku to validate the trend and give the signals to enter

    Its objective is to follow the evolution of the price rise or fall in order to benefit from it.
    It also aims to exit the position at the most favorable time to cash out regularly.

    However, the objective remains a long-term one for annual performance.

    The success of the backtest is based on the optimisation of the stop loss and the clear upward trend in the price.

    Also, money management is in place to ensure that a crack addict does not destroy the entire portfolio.

    //
    //============================== Basic setting
    
    defparam cumulateorders = false
    
    //============================== Money Management
    
    Capital = 10000
    
    Lotss = Capital / 1000  // Value of risk on capital (attention)
    
    //============================== setting Management
    
    if Lotss < 1 then
    Lotss = 1
    endif
    
    set stop loss (Capital*45)/100
    set stop %loss 9
    
    //============================== Indicator
    
    SpanA = (Tenkan[26]+Kijun[26])/2
    Tenkan = (highest[9](high)+lowest[9](low))/2
    Kijun = (highest[26](high)+lowest[26](low))/2
    SpanB = (highest[52](high[26])+lowest[52](low[26]))/2
    
    timeframe(1hours)
    XSpanA = (XTenkan[26]+XKijun[26])/2
    XTenkan = (highest[9](high)+lowest[9](low))/2
    XKijun = (highest[26](high)+lowest[26](low))/2
    XSpanB = (highest[52](high[26])+lowest[52](low[26]))/2
    timeframe(default)
    
    timeframe(4hours)
    XXSpanA = (XXTenkan[26]+XXKijun[26])/2
    XXTenkan = (highest[9](high)+lowest[9](low))/2
    XXKijun = (highest[26](high)+lowest[26](low))/2
    XXSpanB = (highest[52](high[26])+lowest[52](low[26]))/2
    timeframe(default)
    
    //============================== setting trend Bullish
    
    T1 = close > Kijun
    T2 = close > SpanA and close > SpanB
    TrendBullish1 = T1 and T2
    
    timeframe(1hours)
    T3 = close > XKijun
    T4 = close > XSpanA and close > XSpanB
    TrendBullish2 = T4 and T3
    timeframe(default)
    
    timeframe(4hours)
    T5 = close > XXKijun
    T6 = close > XXSpanA and close > XXSpanB
    TrendBullish3 = T5 and T6
    timeframe(default)
    
    TrendBullish = TrendBullish1 and TrendBullish2 and TrendBullish3
    
    //============================== setting Signal
    
    S1 = low =< Kijun
    S2 = low =< SpanA
    S3 = low =< SpanB
    S = S1 or S2 or S3
    Signal = TrendBullish and S
    
    //============================== setting Buy
    
    if Signal then
    buy lotss contract at market
    endif
    
    if close < kijun and close > positionprice then
    sell at market
    endif

     

    capture-15979182954l8cp.png capture-15979182954l8cp.png US-500.itf capture-15979182954l8cp1.png capture-15979182954l8cp1.png US-5001.itf
    #142587 quote
    Nicolas
    Keymaster
    Master

    Thanks for the strategy, however I think like for this other strategy: Long US Tech 100 Ichimoku strategy that there might be something wrong in the stoploss calculation at line 18?

    #142611 quote
    Roger
    Participant
    Veteran

    Thanks for sharing.

    I have some doubt about the interest of it because the index curve and the equity curve are very similar, and it is a long only strategy on a bull market index… so why not just buy and hold ?

    And the algo often exits a position and enters a new position a few time after, so the exit orders are useless most of the time.

    #142635 quote
    Ichimoku Reading
    Participant
    Master

    Hello Nicolas, indeed, it is not conventional…

    However, it is a method I use to use a %Stop
    In limited risk CFD account, this kind of stop are not accessible, surprisingly, if I place a normal stop then a %stop it works…

    It’s adapting to the limited risk account.

    This message will also be on this post like that x)

    #142636 quote
    Ichimoku Reading
    Participant
    Master

    Hello Roger,

    Indeed, this is correct.
    That was also the goal of this strategy, closed to cash in regularly.
    In this way, a reinvestment of the profits can be envisaged.

    Otherwise indeed, the performances are almost identical without closing.

    However, the code can be modified and improved and shared again, it remains a “basic” idea.

    This type of strategy remains simple and profitable over the long term with high potential markets.

    #142695 quote
    GraHal
    Participant
    Master

    And the algo often exits a position and enters a new position a few time after, so the exit orders are useless most of the time.

    Useless with hindsight, but if price had gone against the exited position then not useless?

    I don’t mind a strategy that exits often as long as the exit is at a logical place that warrants an exit … price is showing signs of reversing.

    #142747 quote
    Ichimoku Reading
    Participant
    Master

    Hello Roger,

    Indeed, this is correct.
    That was also the goal of this strategy, closed to cash in regularly.
    In this way, a reinvestment of the profits can be envisaged.

    #142762 quote
    Roger
    Participant
    Veteran

    Actually the exit condition is :

    if close < kijun and close > positionprice then
    sell at market
    endif
    So you are right, it may be a “good reason” to exit. My bad !
    What i said could be relevant if there was a target price, and in this case a trailing stop could avoid paying the broker spread so many times.
    #142793 quote
    Ichimoku Reading
    Participant
    Master

    The problem with setting a shorter stop on this value is that the backtest would not be efficient.

    But it is fresh that closing so many times necessarily increases the costs…

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Long US 500 Ichimoku


ProOrder: Automated Strategies & Backtesting

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This topic contains 8 replies,
has 4 voices, and was last updated by Ichimoku Reading
5 years, 6 months ago.

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Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/26/2020
Status: Active
Attachments: 4 files
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