Ichimoku Mixed Equilibrium Table Macd and Tsi Combined Strategy

This strategy comprehensively uses technical indicators such as Ichimoku Kinko Hyo, Macd, Chaikin Money Flow and Tsi Oscillator to accurately judge the direction of market trends for short-term trading. The strategy…

Pine ScriptTrend following MACD EMA SMA ATR Ichimoku

Author: ChaoZhang
Complexity: Intermediate · 91 lines
Parameters: 16
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

I. Strategy Overview

II. Strategy Principle

The strategy uses the Tenkan-sen line, Kijun-sen line, Senkou Span A and Senkou Span B lines in Ichimoku to judge intraday price trends. At the same time, it combines the cross signals of the fast and slow moving average lines of Macd and the money flow indicator and oscillation indicator to determine the inflow and outflow of funds. After the comprehensive judgment of multiple indicators, the buy and sell decisions are made.

When the Tenkan-sen line crosses above the Kijun-sen line, the Chikou Span is above the 0 axis, and the closing price is above the Ichimoku cloud, it is a bullish signal. On the contrary, when the Tenkan-sen line crosses below the Kijun-sen line, the Chikou Span is below the 0 axis, and the closing price is below the cloud, it is a bearish signal. At the same time, the strategy detects whether the MACD histogram is positive and whether the Chaikin Money Flow indicator and the TSI oscillator are positive in the same direction. If the indicators are bullish in the same direction, long position is opened by buying in, and if the indicators are bearish in the same direction, short position is opened by selling out.

When the indicator issues a signal opposite to the previous one, a reverse trade is made to flatten the previous position.

III. Advantages of The Strategy

Using a combination of multiple indicators improves judgment accuracy.
Short-term operations track market fluctuations in real time.
No manual intervention, fully automated algorithmic trading.

IV. Risks of The Strategy and Solutions

The combined judgment of multiple indicators being bullish or bearish at the same time has the risk of misjudgment. Some judge criteria could be appropriately relaxed to reduce misjudgment rate.
High-frequency short-term trading has relatively high commission fees and it's hard to catch trends. Position holding period could be appropriately extended to seek excess returns to cover costs.
No stop loss setting may lead to greater losses. Appropriate stop loss points or moving stop loss can be set based on the ATR.

V. Directions for Strategy Optimization

Optimize parameter combinations. Adjust moving average parameters to adapt to different cycles and varieties.
Increase stop loss mechanism. Set dynamic stop loss lines combined with the ATR indicator.
Increase position management. Dynamically adjust trading volume proportions.
Combine machine learning technology to optimize indicators and signals.

VI. Conclusion

This strategy comprehensively uses multiple technical indicators to determine trend fluctuations in real time for high-frequency short-term trading. Although there are some risks, it can be improved through optimization. The strategy is worth further in-depth research and live trading verification. By increasing stop loss and position management, trading risks could be reduced.

Parameters

Name	Default	What it controls
v_input_1	10	Tenkan-Sen Bars
v_input_2	30	Kijun-Sen Bars
v_input_3	52	Senkou-Span B Bars
v_input_4	26	Chikou-Span Offset
v_input_5	26	Senkou-Span Offset
v_input_6	true	Long Entry
v_input_7	true	Short Entry
v_input_8	17	Fast Length
v_input_9	28	Slow Length
v_input_10_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_11	5	Signal Smoothing
v_input_12	true	Simple MA(Oscillator)
v_input_13	true	Simple MA(Signal Line)
v_input_14	8	CMF Length
v_input_15	8	Long Length
v_input_16	8	Short Length

Source Pine Script

/*backtest
start: 2023-10-01 00:00:00
end: 2023-10-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © exlux99

//@version=4
strategy("Ichimoku with MACD/ CMF/ TSI", overlay=true, margin_long=0, margin_short=0)



//Inputs
ts_bars = input(10, minval=1, title="Tenkan-Sen Bars")
ks_bars = input(30, minval=1, title="Kijun-Sen Bars")
ssb_bars = input(52, minval=1, title="Senkou-Span B Bars")
cs_offset = input(26, minval=1, title="Chikou-Span Offset")
ss_offset = input(26, minval=1, title="Senkou-Span Offset")
long_entry = input(true, title="Long Entry")
short_entry = input(true, title="Short Entry")

middle(len) => avg(lowest(len), highest(len))

// Ichimoku Components
tenkan = middle(ts_bars)
kijun = middle(ks_bars)
senkouA = avg(tenkan, kijun)
senkouB = middle(ssb_bars)


ss_high = max(senkouA[ss_offset-1], senkouB[ss_offset-1])
ss_low = min(senkouA[ss_offset-1], senkouB[ss_offset-1])

// Entry/Exit Signals
fast_length = input(title="Fast Length", type=input.integer, defval=17)
slow_length = input(title="Slow Length", type=input.integer, defval=28)
src = input(title="Source", type=input.source, defval=close)
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 5)
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=true)
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=true)

// Calculating
fast_ma = sma_source ? sma(src, fast_length) : ema(src, fast_length)
slow_ma = sma_source ? sma(src, slow_length) : ema(src, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal ? sma(macd, signal_length) : ema(macd, signal_length)
hist = macd - signal


tk_cross_bull = tenkan > kijun
tk_cross_bear = tenkan < kijun
cs_cross_bull = mom(close, cs_offset-1) > 0
cs_cross_bear = mom(close, cs_offset-1) < 0
price_above_kumo = close > ss_high
price_below_kumo = close < ss_low


//CMF
lengthA = input(8, minval=1, title="CMF Length")
ad = close==high and close==low or high==low ? 0 : ((2*close-low-high)/(high-low))*volume
mf = sum(ad, lengthA) / sum(volume, lengthA)


//TSI
long = input(title="Long Length", type=input.integer, defval=8)
short = input(title="Short Length", type=input.integer, defval=8)
price = close
double_smooth(src, long, short) =>
	fist_smooth = ema(src, long)
	ema(fist_smooth, short)
pc = change(price)
double_smoothed_pc = double_smooth(pc, long, short)
double_smoothed_abs_pc = double_smooth(abs(pc), long, short)
tsi_value = 100 * (double_smoothed_pc / double_smoothed_abs_pc)



bullish = tk_cross_bull and cs_cross_bull and price_above_kumo and hist > 0 and mf > 0.1 and tsi_value > 0
bearish = tk_cross_bear and cs_cross_bear and price_below_kumo and hist < 0  and mf < -0.1 and tsi_value < 0



strategy.entry("Long", strategy.long, when=bullish and long_entry)
strategy.entry("Short", strategy.short, when=bearish and short_entry)

strategy.close("Long", when=bearish and not short_entry)
strategy.close("Short", when=bullish and not long_entry)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-27. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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