Ichimoku Trading Strategy

This LONG-ONLY strategy uses the Ichimoku Kinko Hyo system for trades. It combines multiple Ichimoku factors to go long when criteria are met. The trading logic is: 1. Calculate conversion, base line, leading spans 1…

Pine ScriptTrend following Ichimoku Donchian

Author: ChaoZhang
Complexity: Starter · 52 lines
Parameters: 5
Backtest bar: 2h · intraday
Tested on: BTC/USDT · spot

Jump to code View in vault Original on FMZ

Strategy Logic

This LONG-ONLY strategy uses the Ichimoku Kinko Hyo system for trades. It combines multiple Ichimoku factors to go long when criteria are met.

The trading logic is:

Calculate conversion, base line, leading spans 1 & 2
Consider long when close is above cloud and cloud is rising, with conversion above base line
Additionally, lagging span must be above cloud and price for uptrend confirmation
When all criteria met, go long
If lagging span falls below price or cloud, close long

The strategy utilizes Ichimoku's indicators to confirm trend, with the cloud as dynamic stops for risk control.

Advantages

Ichimoku synthesizes multiple factors for trend determination
Dynamic stops to maximize profit locking
Simple and clear rules for easy implementation

Risks

Ichimoku is slow and may miss opportunities
Careful optimization of lookback periods needed
LONG only, so good short chances missed

Summary

This strategy leverages Ichimoku's synthesis of indicators to define trend direction. With optimized parameters, it provides a simple long-only system. But limitations in lag and being LONG-only require caution.

Parameters

Name	Default	What it controls
v_input_1	20	Conversion Line Length
v_input_2	60	Base Line Length
v_input_3	120	Leading Span B Length
v_input_4	30	Displacement
v_input_5	true	Stoploss (% below cloud)

Source Pine Script

/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(title="Ichimoku Cloud", shorttitle="Doubled Ichimoku", overlay=true, initial_capital=1000, default_qty_value=100, default_qty_type=strategy.percent_of_equity)
conversionPeriods = input(20, minval=1, title="Conversion Line Length")
basePeriods = input(60, minval=1, title="Base Line Length")
laggingSpan2Periods = input(120, minval=1, title="Leading Span B Length")
displacement = input(30, minval=1, title="Displacement")
Stoploss = input(1, minval=0.1, title="Stoploss (% below cloud)") 
donchian(len) => avg(lowest(len), highest(len))
conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)
plot(conversionLine, color=#2962FF, title="Conversion Line")
plot(baseLine, color=#B71C1C, title="Base Line")
plot(close, offset = -displacement + 1, color=#43A047, title="Lagging Span")

p1 = plot(leadLine1, offset = displacement - 1, color=#A5D6A7,
	 title="Leading Span A")
p2 = plot(leadLine2, offset = displacement - 1, color=#EF9A9A,
	 title="Leading Span B")
fill(p1, p2, color = leadLine1 > leadLine2 ? color.rgb(67, 160, 71, 90) : color.rgb(244, 67, 54, 90))

bool TKcross = conversionLine > baseLine
bool aboveCloud = close > leadLine1 and close > leadLine2
bool greenCloud = leadLine1 > leadLine2
bool lagLong = close > leadLine1[2*displacement+1] and close > leadLine2[2*displacement+1] and close > close[displacement]
bool longCondition = false
bool close_trade = crossover(leadLine1[displacement], close) or crossover (leadLine2[displacement], close) or close < close[displacement] or crossover(baseLine, close)
var position_count = 0 

if (TKcross and aboveCloud and greenCloud and lagLong and position_count==0)
    position_count = 1
    strategy.entry(id="buy", long=true)

if (close_trade)
    strategy.close_all()
   // strategy.entry(id="sell", long=false)
    position_count = 0

    
//if (longCondition)
   
//    strategy.close("long", when=exit_trade)
//    strategy.exit("exit","long",stop=stop_level,limit=profit_level)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-14. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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