Ichimoku Balance Line Trend Tracking Strategy

Pine ScriptTrend following Mean reversion Volatility Ichimoku

Author: ChaoZhang
Complexity: Starter · 50 lines
Parameters: 6
Backtest bar: 5m · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

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.

Parameters

Name	Default	What it controls
v_input_1	9	Tenkan-sen (Linha de Conversão)
v_input_2	26	Kijun-sen (Linha Base)
v_input_3	52	Senkou Span B (Nível adiantado B)
v_input_4	26	Deslocamento
v_input_5	5	Goal (%)
v_input_6	0.5	Stop (%)

Source Pine Script

/*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)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-10-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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