Ichimoku Cloud Quant Strategy

This is a long-only Ichimoku cloud quant strategy. The strategy judges the trend direction through the Ichimoku indicator, combined with K-line patterns, moving averages and the Stochastic RSI indicator to filter…

Pine ScriptMean reversion Trend following RSI EMA SMA Ichimoku Stochastic Donchian

Author: ChaoZhang
Complexity: Intermediate · 112 lines
Parameters: 19
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Principle

The main judgment criteria of the strategy are:

Ichimoku lead line 1 crosses above lead line 2, indicating an upward trend
K-line close price crosses above lead line 1, meeting the condition to follow the trend
K-line is a green candle, the trend goes up
When moving averages are enabled, fast MA crosses above slow MA
When Stochastic RSI is enabled, %K line crosses above %D line

When all the above conditions are met at the same time, the strategy will open long positions. When the price drops below lead line 1, the strategy will close positions.

The strategy mainly uses the Ichimoku cloud to determine the main trend direction, combined with auxiliary indicators to filter signals and go long at better points when the trend goes up.

Advantages of the Strategy

Use Ichimoku cloud to determine main trend, backtest shows high accuracy
Combined with multiple auxiliary indicators to filter entry points, can significantly improve profit rate
Long-only strategy, suitable for currencies judged to be in a bull market
Large space for parameter optimization, can adjust indicator parameters for further optimization

Risks of the Strategy

There is a probability of Ichimoku cloud judging the trend wrongly
Stop loss point may be broken during sudden market changes, leading to enlarged losses
Designed for bull markets, not suitable for currencies with hidden signs of trend reversal
Improper parameter settings may lead to over-aggressive entries or over-conservative actions

Countermeasures:

Combine more indicators to judge the trend, improve accuracy
Set reasonable stop loss points to strictly control single loss
Select suitable strategies according to market conditions of different currencies
Carefully test and optimize parameters to make the strategy more stable

Directions for Strategy Optimization

Optimize parameter settings of auxiliary indicators to further improve stability
Add stop loss mechanisms such as trailing stop loss, exponential moving average stop loss, etc.
Add position management like fixed position sizing, position averaging, etc.
Make parameter adjustments and optimizations for specific currencies

Summary

This Ichimoku cloud quant strategy achieves a high win rate yet risk-controllable only-long strategy by judging trend directions. The advantages of the strategy are obvious and it shows outstanding performance in bull markets. The next step is to improve aspects like indicator optimization, stop loss mechanism, position management to make the strategy more comprehensive and stable.

Parameters

Name	Default	What it controls
v_input_1	true	FromMonth
v_input_2	true	FromDay
v_input_3	2017	FromYear
v_input_4	true	ToMonth
v_input_5	true	ToDay
v_input_6	9999	ToYear
v_input_7	true	Enable EMA?
v_input_8	false	Enable Stochastik RSI?
v_input_9	24	EMA 1
v_input_10	90	EMA 2
v_input_11	3	RSI K Line
v_input_12	3	RSI D Line
v_input_13	14	RSI Length
v_input_14	14	Stochastik Length
v_input_15_close	0	RSI Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_16	9	Ichi Conversion Line Length
v_input_17	26	Ichi Base Line Length
v_input_18	52	Ichi Lagging Span 2 Length
v_input_19	true	Ichi Displacement

Source Pine Script

/*backtest
start: 2022-11-17 00:00:00
end: 2023-11-23 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

strategy(title="Ichimoku only Long Strategy", shorttitle="Ichimoku only Long", overlay = true, pyramiding = 0, calc_on_order_fills = false, commission_type =  strategy.commission.percent, commission_value = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital=10000, currency=currency.USD)

// Time Range
FromMonth=input(defval=1,title="FromMonth",minval=1,maxval=12)
FromDay=input(defval=1,title="FromDay",minval=1,maxval=31)
FromYear=input(defval=2017,title="FromYear",minval=2017)
ToMonth=input(defval=1,title="ToMonth",minval=1,maxval=12)
ToDay=input(defval=1,title="ToDay",minval=1,maxval=31)
ToYear=input(defval=9999,title="ToYear",minval=2017)
start=timestamp(FromYear,FromMonth,FromDay,00,00)
finish=timestamp(ToYear,ToMonth,ToDay,23,59)
window()=>true
// See if this bar's time happened on/after start date
afterStartDate = time >= start and time<=finish?true:false

//Enable RSI
enableema = input(true, title="Enable EMA?")
enablestochrsi = input(false, title="Enable Stochastik RSI?")

//EMA
emasrc = close, 
len1 = input(24, minval=1, title="EMA 1")
len2 = input(90, minval=1, title="EMA 2")

ema1 = ema(emasrc, len1)
ema2 = ema(emasrc, len2)

col1 = color.lime
col2 = color.red

//EMA Plots
plot(ema1, title="EMA 1", linewidth=1, color=col1)
plot(ema2, title="EMA 2", linewidth=1, color=col2)

//STOCH RSI
smoothK = input(3, minval=1, title="RSI K Line")
smoothD = input(3, minval=1, title="RSI D Line")
lengthRSI = input(14, minval=1, title="RSI Length")
lengthStoch = input(14, minval=1, title="Stochastik Length")
src = input(close, title="RSI Source")

rsi1 = rsi(src, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)

//Ichimoku
conversionPeriods = input(9, minval=1, title="Ichi Conversion Line Length")
basePeriods = input(26, minval=1, title="Ichi Base Line Length")
laggingSpan2Periods = input(52, minval=1, title="Ichi Lagging Span 2 Length")
displacement = input(1, minval=0, title="Ichi Displacement")
donchian(len) => avg(lowest(len), highest(len))
conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)
p1 = plot(leadLine1, offset = displacement - 1, color=color.green,
	 title="Lead 1")
p2 = plot(leadLine2, offset = displacement - 1, color=color.red,
	 title="Lead 2")
fill(p1, p2, color = leadLine1 > leadLine2 ? color.green : color.red)


//Long Condition
crossup = k[0] > d[0] and k[1] <= d[1]
ichigreenabovered = leadLine1 > leadLine2
ichimokulong = close > leadLine1
greencandle =  close > open
redcandle = close < open
emacond = ema1 > ema2
longcondition = ichigreenabovered and ichimokulong and greencandle

//Exit Condition
ichimokuexit = close < leadLine1

exitcondition = ichimokuexit and redcandle

//Entrys

if (enablestochrsi == false) and (enableema == false) and (longcondition) and (afterStartDate) and (strategy.opentrades < 1)
    strategy.entry("Long", strategy.long)
    
if (enablestochrsi == true) and (enableema == false) and (longcondition) and (crossup) and (afterStartDate) and (strategy.opentrades < 1)
    strategy.entry("Long", strategy.long)

if (enableema == true) and (enablestochrsi == false) and (longcondition) and (emacond) and (afterStartDate) and (strategy.opentrades < 1)
    strategy.entry("Long", strategy.long)

if (enableema == true) and (enablestochrsi == true) and (longcondition) and (emacond) and (crossup) and (afterStartDate) and (strategy.opentrades < 1)
    strategy.entry("Long", strategy.long)


//Exits
if (afterStartDate)
    strategy.close(id = "Long", when = exitcondition)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-24. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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