This strategy combines Ichimoku Cloud indicators to gauge market sentiment and identify potential breakout opportunities. It has Ichimoku-based trend filtering, ATR/percentage trailing stops, and an optional profit taking mechanism.
There are two core components - Ichimoku Cloud signals to determine bullish/bearish momentum and strength burst signals to capture potential breakouts.
The trend signal requires Conversion Line to cross above Base Line to signal an uptrend, Lagging Span above price bars indicating strong momentum, and price breaking Ichimoku Cloud’s top band.
The strength burst signals for additional entry opportunities require price breaking through Cloud’s recent lows and highs for ultra strength and Conversion/Base Line agreeing on bullish sentiment.
Long entries are triggered when either signal fires. Exits will trail stops based on ATR, percentage, or Ichimoku rules to lock in profits.
The biggest edge comes from using Ichimoku Cloud for both trend and momentum analysis, making signals more accurate than lone indicators like moving averages.
The risk management from ATR/percentage trailing stops also keeps loss per trade small. Optional profit taking further enhances reward consistency.
Ichimoku Cloud has some lagging issues. Strength signals also increase chance of chasing momentum.
To address lagging risk, optimize Cloud faster settings. For momentum risk, tighter trailing stops react quicker to reversals.
Possible improvements include:
Test on more market data for robustness.
Optimize Cloud parameters for specific instruments.
Try ML like LSTM for better signal rating.
Add volume analysis to avoid bull traps.
This Ichimoku system effectively gauges market sentiment for trend trading. The balanced focus on catching momentum and managing risk also makes it practical. There is room for improvement but overall a solid trend following framework.
/*backtest start: 2024-01-04 00:00:00 end: 2024-02-03 00:00:00 period: 3h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © mikul_se //@version=5 strategy("mikul's Ichimoku Cloud Strategy v 2.0", shorttitle="mikul's Ichi strat", overlay=true, margin_long=100, margin_short=100, default_qty_type = strategy.percent_of_equity, default_qty_value = 100) // Strategy settings strategySettingsGroup = "Strategy settings" trailSource = input.string(title="Trail Source", defval="Lows/Highs", options=["Lows/Highs", "Close", "Open"], confirm=true, group=strategySettingsGroup) trailMethod = input.string(title="Trail Method", defval="ATR", options=["ATR", "Percent", "Ichi exit"], confirm=true, tooltip="Ichi rules means it follows the rules of the Ichimoku cloud for exiting the trade.", group=strategySettingsGroup) trailPercent = input.float(title="Trail Percent", defval=10, minval=0.1, confirm=true, group=strategySettingsGroup) swingLookback = input.int(title="Lookback", defval=7, confirm=true, group=strategySettingsGroup) atrPeriod = input.int(title="ATR Period", defval=14, confirm=true, group=strategySettingsGroup) atrMultiplier = input.float(title="ATR Multiplier", defval=1.0, confirm=true, group=strategySettingsGroup) addIchiExit = input.bool(false, "Add Ichimoku exit", "You can use this to add Ichimoku cloud exit signals on top of Percent or ATR", group=strategySettingsGroup) useTakeProfit = input.bool(false, "Use Take Profit", confirm=true, group=strategySettingsGroup) takeProfitPercent = input.float(title="Take Profit Percentage", defval=5, minval=0.1, confirm=true, group=strategySettingsGroup) // Ichimoku settings ichimokuSettingsGroup = "Ichimoku settings" conversionPeriods = input.int(9, minval=1, title="Conversion Line Length", group=ichimokuSettingsGroup) basePeriods = input.int(26, minval=1, title="Base Line Length", group=ichimokuSettingsGroup) laggingSpan2Periods = input.int(52, minval=1, title="Leading Span B Length", group=ichimokuSettingsGroup) displacement = input.int(26, minval=1, title="Lagging Span", group=ichimokuSettingsGroup) delta = input.int(26, minval=1, title="Delta", group=ichimokuSettingsGroup) donchian(len) => math.avg(ta.lowest(len), ta.highest(len)) conversionLine = donchian(conversionPeriods) baseLine = donchian(basePeriods) leadLine1 = math.avg(conversionLine, baseLine) leadLine2 = donchian(laggingSpan2Periods) uppercloud = leadLine1[displacement-1] bottomcloud = leadLine2[displacement-1] // Ichi exit variables and calculations delta2 = delta-3 average(len) => math.avg(ta.lowest(len), ta.highest(len)) conversion_line = average(conversionPeriods) base_line = average(basePeriods) lead_line_a = math.avg(conversion_line, base_line) lead_line_b = average(laggingSpan2Periods) lagging_span = close lead_line_a_delta = lead_line_a[delta] lead_line_b_delta = lead_line_b[delta] lagging_span_delta = lagging_span[delta] prisgris = hlc3[delta] prisgris2 = hlc3[delta2] // Declare trailing price variable (stores our trail stop value) var float trailPrice = na float next_trailPrice = na // Get required trailing stop variables atrValue = ta.atr(atrPeriod) * atrMultiplier swingLow = ta.lowest(low, swingLookback) swingHigh = ta.highest(high, swingLookback) // Ichi plotting plot(conversionLine, color=#2962FF, title="Conversion Line") plot(baseLine, color=#B71C1C, title="Base Line") plot(close, offset=-displacement + 1, color=#43A047, title="Lagging Span") p1 = plot(leadLine1, offset=displacement - 1, color=#A5D6A7, title="Leading Span A") p2 = plot(leadLine2, offset=displacement - 1, color=#EF9A9A, title="Leading Span B") fill(p1, p2, color=leadLine1 > leadLine2 ? color.rgb(67, 160, 71, 90) : color.rgb(244, 67, 54, 90)) // Plotting ichi crossover signals ichiup = ta.crossover(conversionLine, baseLine) ichidown = ta.crossover(baseLine, conversionLine) plotshape(ichiup ? conversionLine : na, 'Ichi long 1', style=shape.circle, location=location.absolute, offset=0, color=#00ff00b0, size=size.tiny) plotshape(ichidown ? conversionLine : na, 'Ichi short 1', style=shape.circle, location=location.absolute, offset=0, color=#ff1100c7, size=size.tiny) // Pamp signal signal5 = close > bottomcloud[displacement] and close > uppercloud[displacement] and close > high[displacement] signal5b = close[1] <= bottomcloud[displacement+1] or close[1] <= uppercloud[displacement+1] or close <= high[displacement+1] signal6 = close > bottomcloud and close > uppercloud and close > open signal6b = close[1] <= bottomcloud[1] or close[1] <= uppercloud[1] signal7 = leadLine1 > leadLine2 signal7b = leadLine1[1] <= leadLine2[1] signal8 = conversionLine > baseLine pamp = signal5 and signal6 and signal7 and signal8 and strategy.position_size == 0 and (signal5b or signal6b or signal7b) // Trend signal nsignal5 = close > close[displacement] nsignal6 = close > bottomcloud and close > uppercloud and close > open nsignal8 = ta.crossover(conversionLine, baseLine) and conversionLine > bottomcloud and conversionLine > uppercloud and baseLine > bottomcloud and baseLine > uppercloud trend = nsignal5 and nsignal6 and nsignal8 and strategy.position_size == 0 plotshape(trend, style=shape.triangleup, location=location.belowbar, color=color.green) if (trend or pamp) trailPrice := na strategy.entry(trend ? "Trend" : "Pamp", direction = strategy.long) // Get trailing stop price if trailMethod == "ATR" next_trailPrice := switch trailSource "Close" => strategy.position_size > 0 ? close - atrValue : close + atrValue "Open" => strategy.position_size > 0 ? open - atrValue : open + atrValue => strategy.position_size > 0 ? swingLow - atrValue : swingHigh + atrValue else if trailMethod == "Percent" float percentMulti = strategy.position_size > 0 ? (100 - trailPercent) / 100 : (100 + trailPercent) / 100 next_trailPrice := switch trailSource "Close" => close * percentMulti "Open" => open * percentMulti => strategy.position_size > 0 ? swingLow * percentMulti : swingHigh * percentMulti else short_signal = (ta.crossunder(lagging_span, prisgris)) or ta.crossover(base_line, conversion_line) and ((close)) < ((lead_line_a)) or ta.crossunder(lagging_span, prisgris) or (ta.crossover(base_line, conversion_line) and ((lagging_span) < (lead_line_a)) and ((lagging_span) < (lead_line_b))) if short_signal strategy.close("Trend", "Ichi trend over") strategy.close("Pamp", "Ichi pamp over") alert("Sell") if (addIchiExit) short_signal = (ta.crossunder(lagging_span, prisgris)) or ta.crossover(base_line, conversion_line) and ((close)) < ((lead_line_a)) or ta.crossunder(lagging_span, prisgris) or (ta.crossover(base_line, conversion_line) and ((lagging_span) < (lead_line_a)) and ((lagging_span) < (lead_line_b))) if short_signal strategy.close("Trend", "Ichi trend over") strategy.close("Pamp", "Ichi pamp over") alert("Sell") // Check for trailing stop update if strategy.position_size != 0 and barstate.isconfirmed if (next_trailPrice > trailPrice or na(trailPrice)) and strategy.position_size > 0 trailPrice := next_trailPrice alert(message="Trailing Stop updated for " + syminfo.tickerid + ": " + str.tostring(trailPrice, "#.#####"), freq=alert.freq_once_per_bar_close) if (next_trailPrice < trailPrice or na(trailPrice)) and strategy.position_size < 0 trailPrice := next_trailPrice alert(message="Trailing Stop updated for " + syminfo.tickerid + ": " + str.tostring(trailPrice, "#.#####"), freq=alert.freq_once_per_bar_close) // Draw data to chart plot(strategy.position_size != 0 ? trailPrice : na, color=color.red, title="Trailing Stop") // Take Profit float profitTarget = strategy.position_avg_price * (1 + takeProfitPercent / 100) // Exit trade if stop is hit strategy.exit(id="trend Exit", from_entry="Trend", stop=trailPrice, limit=useTakeProfit ? profitTarget : na) strategy.exit(id="pamp Exit", from_entry="Pamp", stop=trailPrice, limit=useTakeProfit ? profitTarget : na) if strategy.position_size == 0 trailPrice = 0template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6