Ichimoku Kinko Hyo Mean Reversion Strategy

This strategy integrates Ichimoku Kinko Hyo indicator, daily breakout, Gaussian smoothed moving average, MACD and other technical indicators to determine trend direction and find reliable entry points.

Pine ScriptMean reversion Machine learning Breakout MACD EMA Ichimoku Donchian

Author: ChaoZhang
Complexity: Intermediate · 79 lines
Parameters: 12
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

Ichimoku Kinko Hyo judgment: Conversion Line crossover above Base Line is bullish signal.
Daily breakout judgment: Today's close higher than yesterday's close by certain threshold confirms bullish.
Gaussian smoothed MA judgment: Price crossover above MA is bullish.
MACD judgment: DIFF crossover above DEA is bullish.
Combining above factors to determine trend change and entry point.

Advantages

Multiple indicators improve accuracy.
Intraday and multi-timeframe confirmations avoid false breakout.
Ichimoku Kinko Hyo reliably determines trend.
Gaussian smoothed MA has small lag.
MACD judges momentum change.

Risks

Multiple simultaneous conditions reduce chance of entries.
Wrong indicator parameters may generate wrong signals.
Intraday and multi-timeframe signals may conflict.
Fake breakouts still occur, incurring losses.

Possible solutions:

Adjust parameters to increase entries.
Optimize parameters for different products and timeframes.
Coordinate signals from different timeframes.
Use stop loss to limit losses.

Optimization Directions

Test different indicator combinations for better signals.
Add machine learning to improve judgements from more data.
Add trend detection to avoid counter-trend trades.
Optimize money management for robustness.
Optimize stop loss and take profit for profitability.

Summary

This strategy integrates multiple indicators to determine trend direction, and enters on high probability bullish signals verified across timeframes and indicators. It can be improved by adjusting parameters, optimizing indicator combinations and incorporating more data to integrate more signals while maintaining stability for more trading opportunities.

Parameters

Name	Default	What it controls
v_input_1	14	Double HullMA
v_input_2	0.001	Decision Threshold (0.001)
v_input_3	-500	Stop Loss in $
v_input_4	25000	Target Point in $
v_input_5	7	Length
v_input_6	9	Conversion Line Periods
v_input_7	26	Base Line Periods
v_input_8	52	Lagging Span 2 Periods
v_input_9	26	Displacement
v_input_10	9	MACD_Length
v_input_11	12	MACD_fastLength
v_input_12	26	MACD_slowLength

Source Pine Script

/*backtest
start: 2022-09-17 00:00:00
end: 2023-09-23 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
// Any timeFrame ok but good on 15 minute & 60 minute , Ichimoku + Daily-Candle_cross(DT) + HULL-MA_cross + MacD combination 420 special blend
strategy("Ichimoku + Daily-Candle_X + HULL-MA_X + MacD", shorttitle="٩(̾●̮̮̃̾•̃̾)۶", overlay=true, default_qty_type=strategy.percent_of_equity, max_bars_back=26, default_qty_value=100, calc_on_order_fills= true, calc_on_every_tick=true, pyramiding=0,precision=6)
keh=input(title="Double HullMA",defval=14, minval=1)
dt = input(defval=0.0010, title="Decision Threshold (0.001)", type=float, step=0.0001)
SL = input(defval=-500.00, title="Stop Loss in $", type=float, step=1)
TP = input(defval=25000.00, title="Target Point in $", type=float, step=1)
ot=1
p = input(7, minval=1, title="Length")
pi=3.1415926535
w=2*pi/p
beta = (1 - cos(w))/(pow(1.414,2.0/3) - 1)
alfa = -beta + sqrt(beta*beta + 2*beta)
ret1= pow(alfa,4)*close+4*(1-alfa)*nz(ret1[1])-6*pow(1-alfa,2)*nz(ret1[2])+4*pow(1-alfa,3)*nz(ret1[3])-pow(1-alfa,4)*nz(ret1[4])
ret2= pow(alfa,4)*close[1]+4*(1-alfa)*nz(ret1[1])-6*pow(1-alfa,2)*nz(ret1[2])+4*pow(1-alfa,3)*nz(ret1[3])-pow(1-alfa,4)*nz(ret1[4])
confidence=(security(syminfo.tickerid, 'D', close)-security(syminfo.tickerid, 'D', close[1]))/security(syminfo.tickerid, 'D', close[1])
conversionPeriods = input(9, minval=1, title="Conversion Line Periods")
basePeriods = input(26, minval=1, title="Base Line Periods")
laggingSpan2Periods = input(52, minval=1, title="Lagging Span 2 Periods")
displacement = input(26, minval=1, title="Displacement")
donchian(len) => avg(lowest(len), highest(len))
conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)
LS=close, offset = -displacement
MACD_Length = input(9)
MACD_fastLength = input(12)
MACD_slowLength = input(26)
MACD = ema(close, MACD_fastLength) - ema(close, MACD_slowLength)
aMACD = ema(MACD, MACD_Length)
closelong = ret1<ret2 and close<ret2 and confidence<dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closelong)
    strategy.close("Long")
longCondition = ret1>ret2 and strategy.opentrades<ot and confidence>dt and close>ret2 and leadLine1>leadLine2 and open<LS and MACD>aMACD
if (longCondition)
    strategy.entry("Long",strategy.long)
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//a1=plot(n1,color=c)
//a2=plot(n2,color=c)
//plot(cross(n1, n2) ? n1 : na, style = circles, color=b, linewidth = 4)
//plot(cross(n1, n2) ? n1 : na, style = line, color=d, linewidth = 4)
//plot(conversionLine, color=#0496ff, title="Conversion Line")
//plot(baseLine, color=#991515, title="Base Line")
//plot(close, offset = -displacement, color=#459915, title="Lagging Span")
//p1=plot (leadLine1, offset = displacement, color=green,  title="Lead 1")
//p2=plot (leadLine2, offset = displacement, color=red,  title="Lead 2")
//fill(p1, p2, color = leadLine1 > leadLine2 ? green : red)
// remove the "//" from before the plot script if want to see the indicators on chart

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-24. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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