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Ichimoku Balance Line Trend Tracking Strategy

Author: ChaoZhang, Date: 2023-10-12 17:29:46
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Overview

This strategy uses the Conversion Line, Base Line and cloud boundaries from the Ichimoku Kinko Hyo indicator to identify the trend direction and implement trend tracking trades. It goes long when price breaks above the cloud top and goes short when price breaks below the cloud bottom. Profits are taken when a preset profit ratio is reached. Losses are cut when a preset loss ratio is reached.

Strategy Logic

The strategy primarily utilizes the following Ichimoku indicator lines:

  • Conversion Line (Tenkan-sen): Represents short-term trend, calculated as the average of the highest high and lowest low over the past 9 periods
  • Base Line (Kijun-sen): Represents medium-term trend, calculated as the average of the highest high and lowest low over the past 26 periods
  • Leading Span A (Senkou Span A): The mean of the Conversion and Base Lines
  • Leading Span B (Senkou Span B): The average of the highest high and lowest low over the past 52 periods

It goes long when price breaks above the cloud and goes short when price breaks below the cloud. Entry and Exit reasons are triggered when price breaks the cloud top and bottom respectively. Exits are triggered when profit or loss ratios are reached.

Advantage Analysis

  • Uses Ichimoku to identify trend direction, avoiding false signals from market noise
  • Breaking cloud top/bottom identifies trend reversal points efficiently
  • Take profit and stop loss points help lock in profits and control risk

Risk Analysis

  • Ichimoku has lag and may miss best entry points
  • Poor parameter tuning of lines like Conversion Line could cause false signals
  • Stop loss set too tight risks early exit; too loose risks large losses

Optimization Directions

  • Consider combining other indicators to improve accuracy
  • Dynamically optimize parameters for different periods and markets
  • Use trailing stop loss to adjust stops based on price action and avoid early exit
  • Develop automated profit/loss strategy to intelligently adjust points based on volatility

Summary

This strategy uses Ichimoku cloud to identify trends and implement simple trend tracking. Despite some lag and false signals, optimizations in parameters, stops, and using other indicators can improve it. Easy to understand and implement, it’s good for beginners to learn from and reference when developing other strategies. Continuous testing and optimizations will improve parameters and rules for better live performance.

/*backtest
start: 2023-10-04 00:00:00
end: 2023-10-08 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("Estratégia com Ichimoku" , pyramiding=0, calc_on_every_tick = true, initial_capital = 20000, commission_type = strategy.commission.cash_per_order, commission_value = 10.00)

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////Ichimoku Clouds////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////(VERSÃO 40.0)//////////////////////////////////////////////////////////////////
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

periodoLinhaDeConversao = input(defval=9, title="Tenkan-sen (Linha de Conversão)",  minval=1)
periodoLinhaBase = input(defval=26, title="Kijun-sen (Linha Base)",  minval=1)
periodoNivelAdiantadoB = input(defval=52, title="Senkou Span B (Nível adiantado B)",  minval=1)
deslocamento = input(defval=26, title="Deslocamento",  minval=1)

linhaDeConversao = (highest(high,periodoLinhaDeConversao)+lowest(low,periodoLinhaDeConversao))/2
linhaBase = (highest(high,periodoLinhaBase)+lowest(low,periodoLinhaBase))/2
nivelAdiantadoA = (linhaDeConversao + linhaBase)/2
nivelAdiantadoB = (highest(high,periodoNivelAdiantadoB)+lowest(low,periodoNivelAdiantadoB))/2

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
strategy.initial_capital = 50000
//Hardcoded quantity - strategy.entry(qty=)
capitalInicial = strategy.initial_capital
lotes = (strategy.initial_capital - (strategy.initial_capital % (open*100)))/open

//Percentage input goal - strategy.exit(profit=)
percentGoal = input (defval = 5.0, title = "Goal (%)", type = float, minval=0.0, step=0.1)
longGoal = (strategy.position_avg_price * (percentGoal/100)) * 100
shortGoal = (strategy.position_avg_price - (strategy.position_avg_price / (1+(percentGoal/100)))) * 100

//Percentage input stop - strategy.exit(loss=)
percentStop = input (defval = 0.5, title = "Stop (%)", type = float, minval=0.0, step=0.1)
longStop = (strategy.position_avg_price * (percentStop/100)) * 100
shortStop = (strategy.position_avg_price * (percentStop/100)) * 100

strategy.entry('entryLong', strategy.long, lotes, when = strategy.position_size == 0 and crossover(close,max(nivelAdiantadoA[deslocamento], nivelAdiantadoB[deslocamento])))
strategy.entry('entryShort', strategy.short, lotes, when = strategy.position_size == 0 and crossunder(close,min(nivelAdiantadoA[deslocamento], nivelAdiantadoB[deslocamento])))
strategy.exit('exitLong', 'entryLong', profit = longGoal, loss = longStop)
strategy.exit('exitShort', 'entryShort', profit = shortGoal, loss = shortStop)

plot(strategy.equity, title="Variação de capital", color=white)
//plot(strategy.position_size, color=red)
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