Ichimoku Kinko Hyo Based BTC Trading Strategy

This strategy is called "Ichimoku Kinko Hyo Strategy". It is a BTC trading strategy based on Ichimoku Kinko Hyo system combined with other technical indicators.

Pine ScriptMean reversion Momentum Trend following RSI SMA Ichimoku Pivots / S&R

Author: ChaoZhang
Complexity: Intermediate · 101 lines
Parameters: 8
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy is called "Ichimoku Kinko Hyo Strategy". It is a BTC trading strategy based on Ichimoku Kinko Hyo system combined with other technical indicators.

Strategy Logic

The strategy is mainly based on Ichimoku Kinko Hyo system, which incorporates multiple technical indicators for trend trading. The main components are:

Kijun Sen: Represents market trend direction. It's the midpoint of highest and lowest price over past 26 days, acts as support and resistance lines. Buy and sell signals are generated when close price crosses Kijun Sen.

Tenkan Sen: Represents momentum of the price. It's the midpoint of highest and lowest price over past 9 days, helps determine best entry and exit spots.

Senkou Span A: Represents Ichimoku's mid-term line. It's the average of Kijun Sen and Tenkan Sen, acts as Ichimoku's warning line.

Senkou Span B: Represents long term trend line. It's the midpoint of past 52 days. Forms the Ichimoku cloud to determine long and short term trends.

In addition, the strategy also incorporates the RSI indicator to generate trading signals in overbought and oversold zones.

Buy signals are generated when close price breaks above Kijun Sen and locates above the cloud. Sell signals are generated when close price breaks below Kijun Sen and locates below the cloud.

Advantages

Ichimoku system accurately determines trends with relatively high winning rate.
Incorporation of multiple indicators avoids missing opportunities.
RSI effectively determines reversal spots.
Cloud intuitively presents long and short term trends.

Risk Analysis

Ichimoku system has certain lagging, needs incorporation of other indicators.
Works very well in trending markets but modestly in ranging markets.
RSI parameters need adjustments based on markets.
Cloud construction is complex which requires adept manipulation.

Parameters of Ichimoku can be optimized or more indicators can be added.

Optimization Directions

Optimize parameters of Ichimoku to determine trends quicker.
Add more indicators like moving averages to improve signal accuracy.
Adjust RSI parameter based on different markets.
Consider adding stop loss mechanisms to control risks.

Conclusion

Ichimoku combined with indicators like RSI has high accuracy in capturing upside trends. Lagging of Ichimoku and inadaptability in ranging markets are major risks. Proper parameter tuning and adding more indicators can mitigate these risks substantially, making the strategy more solid and reliable.

Parameters

Name	Default	What it controls
v_input_1	3	From Month
v_input_2	true	From Day
v_input_3	2018	From Year
v_input_4	true	To Month
v_input_5	true	To Day
v_input_6	9999	To Year
v_input_7	6	KijunSen Lag
v_input_8	14	RSI Length

Source Pine Script

/*backtest
start: 2022-12-13 00:00:00
end: 2023-12-19 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("My Ichimoku Strat v2", overlay=true,default_qty_type=strategy.fixed, default_qty_value=1, initial_capital=1000, currency=currency.EUR,commission_type=strategy.commission.percent,commission_value=0.05)
// === BACKTEST RANGE ===
FromMonth = input(defval = 3, title = "From Month", minval = 1)
FromDay   = input(defval = 1, title = "From Day", minval = 1)
FromYear  = input(defval = 2018, title = "From Year", minval = 2014)
ToMonth   = input(defval = 1, title = "To Month", minval = 1)
ToDay     = input(defval = 1, title = "To Day", minval = 1)
ToYear    = input(defval = 9999, title = "To Year", minval = 2014)

// === SERIES SETUP ===



//**** Inputs *******
KijunSenLag = input(6,title="KijunSen Lag",minval=1)

//Kijun-sen
//Support resistance line, buy signal when price crosses it
KijunSen = sma((high+low)/2,26)
buy2 = crossover(close,KijunSen) and (rising(KijunSen,KijunSenLag) or falling(KijunSen,KijunSenLag))
sell2= crossunder(close,KijunSen) and (rising(KijunSen,KijunSenLag) or falling(KijunSen,KijunSenLag))


//Tenkan-Sen
TenkanSen = sma((high+low)/2,9)

//Senkou Span A 
SenkouSpanA = (KijunSen + TenkanSen)/2

//Senkou Span B 
SenkouSpanB = sma((high+low)/2,52)

//Cloud conditions : ignore buy if price is under the cloud
// Huge cloud means safe support and resistance. Little cloud means danger.
buy3 = close > SenkouSpanA and close > SenkouSpanB
sell3 = close < SenkouSpanA and close < SenkouSpanB


//Chikou Span
//Buy signal : crossover(ChikouSpan,close)
//Sell Signal : crossunder(ChikouSpan,close)
ChikouSpan = close
buy1=crossover(ChikouSpan,close[26])
sell1=crossunder(ChikouSpan,close[26])

plotshape(buy1,style=shape.diamond,color=lime,size=size.small)
plotshape(sell1,style=shape.diamond,color=orange,size=size.small)

//Alerts

buyCompteur = -1
buyCompteur := nz(buyCompteur[1],-1)
buyCompteur := buy2 or buy3 ? 1 : buyCompteur
buyCompteur := buyCompteur > 0 ? buyCompteur + 1 : buyCompteur
buyCompteur := sell2 or sell3 ? -1 : buyCompteur

sellCompteur = -1
sellCompteur := nz(sellCompteur[1],-1)
sellCompteur := sell2 or sell3 ? 1 : sellCompteur
sellCompteur := sellCompteur > 0 ? sellCompteur + 1 : sellCompteur
sellCompteur := buy2 or buy3 ? -1 : sellCompteur



//RSI
src = close, len = input(14, minval=1, title="RSI Length")
up = rma(max(change(src), 0), len)
down = rma(-min(change(src), 0), len)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
buyRSI = crossover(rsi,40) and close > TenkanSen and rsi[5]<30 and (rsi-rsi[1])>5
sellRSI = crossunder(rsi,60) and close < TenkanSen and rsi[5]>70 and (rsi[1]-rsi)>5
plotshape(buyRSI,style=shape.triangleup,color=lime,transp=0,location=location.belowbar,size=size.small)

sell= sell2 and sell3 or (sell1 and buyCompteur <= 8) or sellRSI
buy=buy2 and buy3 or (buy1 and sellCompteur <=8) or buyRSI
plotchar(buy,char='B',size=size.small,color=lime) 
plotchar(sell,char='S',size=size.small,color=orange)


//plots
plot(KijunSen,title="Kijun-Sen",color=blue,linewidth=4)
plot(TenkanSen,title="Tenkan-Sen",color=red,linewidth=2)
cloudA = plot(SenkouSpanA,title="cloud A", color=lime,offset=26,linewidth=2)
cloudB = plot(SenkouSpanB,title="cloud B", color=orange,offset=26,linewidth=2)
plot(ChikouSpan,title="lag span",color=fuchsia, linewidth=2,offset=-26)
//plot()
fill(cloudA,cloudB,color=SenkouSpanA>SenkouSpanB?lime:orange)
//plot(close,color=silver,linewidth=4)

// === ALERTS ===
strategy.entry("L", strategy.long, when=(buy and (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))))
strategy.close("L", when=(sell and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))))

Published by ChaoZhang on the FMZ strategy square · last modified 2023-12-20. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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