Ichimoku Kumo Twist Gold Absorbing Strategy

Pine ScriptTrend following Ichimoku Donchian Pivots / S&R

Author: ChaoZhang
Complexity: Intermediate · 138 lines
Parameters: 11
Backtest bar: 3m · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

The Ichimoku Kumo Twist Gold-Absorbing Strategy is a quantitative trading strategy that combines the Ichimoku market technical indicator and range filtering. It utilizes the Ichimoku indicator to determine market trends and important support and resistance levels, together with candlestick patterns to generate trading signals. Meanwhile, range filtering helps to control the trading frequency and risk.

Strategy Principle

The strategy is primarily based on the Ichimoku indicator and candlestick patterns to judge market trends. The Ichimoku contains the conversion line, base line and cloud lines, their crossover relationships indicate market trends. The cloud lines also act as support and resistance levels. The strategy sets up different parameter combinations to adjust the sensitivity of the Ichimoku lines. In addition, the strategy identifies patterns and generates buy signals when the conversion line crosses above the base line, and sell signals when crossing below.

Furthermore, the strategy has date range filters set up, so that it only trades within specified date ranges. This controls the trading frequency. Also, the stop loss setting helps to reduce risk by stopping the loss when price runs in an unfavorable direction.

Advantage Analysis

Utilize Ichimoku indicator to judge market trends, parameters adjustable for sensitivity
Clear trading signals from candlestick pattern recognition
Date range filter controls trading frequency
Stop loss setting for timely stop loss to reduce risk

Risk Analysis

Ichimoku lagging may miss fast changing trends
Date range filter may miss some trading chances
Improper stop loss setting may expand losses

Methods like adjusting Ichimoku parameters, optimizing date range, amending stop loss points can improve and control risks.

Optimization Directions

Test different parameter combinations to find optimal Ichimoku configuration
Combine with other indicators to avoid Ichimoku lagging issues
Backtest to optimize date range settings
Set conditional dynamic trailing stop loss

Summary

The Ichimoku Kumo Twist Gold-Absorbing Strategy integrates the Ichimoku indicator, candlestick pattern recognition, range filtering to determine market trends. It can grasp trend directions quite clearly. Through means like parameter tuning, risk control etc, good strategy performance can be achieved. But the Ichimoku lagging problem should be noted, and continuous optimization adjustments made.

Parameters

Name	Default	What it controls
v_input_1	0	Scaling: Linear \| Log
v_input_2	0	Presets: Cpt 20 60 120 30 \| Cpt 10 30 60 30 \| Std 18 52 104 26 \| Std 9 26 52 26
v_input_3	true	Drop first N candles
v_input_4	false	Show Clouds
v_input_5	true	Stop Loss
v_input_6	10	From Month
v_input_7	3	From Day
v_input_8	2017	From Year
v_input_9	true	To Month
v_input_10	true	To Day
v_input_11	9999	To Year

Source Pine Script

/*backtest
start: 2023-11-20 00:00:00
end: 2023-11-27 00:00:00
period: 3m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy(title="Ichimoku Kumo Twist Strategy (Presets)", shorttitle="Kumo Twist Strategy", overlay=true)

xlowest_(src, len) =>
    x = src
    for i = 1 to len - 1
        v = src[i]
        if (na(v))
            break
        x := min(x, v)
    x

xlowest(src, len) =>
    na(src[len]) ? xlowest_(src, len) : lowest(src, len)

xhighest_(src, len) =>
    x = src
    for i = 1 to len - 1
        v = src[i]
        if (na(v))
            break
        x := max(x, v)
    x

xhighest(src, len) =>
    na(src[len]) ? xhighest_(src, len) : highest(src, len)

dropn(src, n) =>
    na(src[n]) ? na : src

ichiConversionPeriods(presets) =>
    if presets == "Cpt 20 60 120 30"
        20
    else
        if presets == "Cpt 10 30 60 30"
            10
        else
            if presets == "Std 18 52 104 26"
                18
            else
                9

ichiBasePeriods(presets) =>
    if presets == "Cpt 20 60 120 30"
        60
    else
        if presets == "Cpt 10 30 60 30"
            30
        else
            if presets == "Std 18 52 104 26"
                52
            else
                26

ichiLaggingSpan2Periods(presets) =>
    if presets == "Cpt 20 60 120 30"
        120
    else
        if presets == "Cpt 10 30 60 30"
            60
        else
            if presets == "Std 18 52 104 26"
                104
            else
                52

ichiDisplacement(presets) =>
    if presets == "Cpt 20 60 120 30"
        30
    else
        if presets == "Cpt 10 30 60 30"
            30
        else
            if presets == "Std 18 52 104 26"
                26
            else
                26

scaling = input(title="Scaling", options=["Linear", "Log"], defval="Linear")
presets = input(title="Presets", options=["Cpt 20 60 120 30", "Cpt 10 30 60 30", "Std 18 52 104 26", "Std 9 26 52 26"], defval="Cpt 20 60 120 30")
dropCandles = input(1, minval=0, title="Drop first N candles")
showClouds = input(false, "Show Clouds")
stoploss = input(true, title="Stop Loss")

conversionPeriods = ichiConversionPeriods(presets)
basePeriods = ichiBasePeriods(presets)
laggingSpan2Periods = ichiLaggingSpan2Periods(presets)
displacement = ichiDisplacement(presets)
logScaling = scaling == "Log"

lows = dropn(low, dropCandles)
highs = dropn(high, dropCandles)

lowsp = logScaling ? log(lows) : lows
highsp = logScaling ? log(highs) : highs

donchian(len) =>
    avg(xlowest(lowsp, len), xhighest(highsp, len))

conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)

// === BACKTEST RANGE ===
FromMonth = input(defval = 10, title = "From Month", minval = 1)
FromDay   = input(defval = 3, title = "From Day", minval = 1)
FromYear  = input(defval = 2017, 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)

golong = crossover(leadLine1, leadLine2)
goshort = crossunder(leadLine1, leadLine2)

strategy.entry("Buy", strategy.long, when=(golong and (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))))
strategy.entry("Sell", strategy.short, when=(goshort and (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))))

conversionLinep = logScaling ? exp(conversionLine) : conversionLine
baseLinep = logScaling ? exp(baseLine) : baseLine
leadLine1p = logScaling ? exp(leadLine1) : leadLine1
leadLine2p = logScaling ? exp(leadLine2) : leadLine2

plot(showClouds ? conversionLinep : na, color=#0496ff, title="Conversion Line")
plot(showClouds ? baseLinep : na, color=#991515, title="Base Line")

p1 = plot(showClouds ? leadLine1p : na, offset = displacement, color=green, title="Lead 1")
p2 = plot(showClouds ? leadLine2p : na, offset = displacement, color=red, title="Lead 2")
fill(p1, p2, color = showClouds ? (leadLine1p > leadLine2p ? green : red) : na)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-28. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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