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Ichimoku Cloud Quantitative Trading Strategy

Author: ChaoZhang, Date: 2024-01-05 13:53:11
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Overview

This strategy combines multiple indicators such as Ichimoku cloud, K-line, Hull Moving Average and MACD to build long and short decision mechanisms for automated trading.

Strategy Logic

It uses Ichimoku cloud conversion and lagging lines to generate trading signals. Hull Moving Average determines trend direction. MACD differentiates longer and shorter cycles. Intraday K-line breakout provides entry signals.

Conversion line averages mid price of last 9 days. Lagging line averages mid price of last 26 days. Long when conversion line crosses above lagging line, and short when crossing below.

Hull Moving Average uses double averaging lines crossover to define trends. Uptrend when fast line crosses above slow line, and downtrend in reverse.

MACD takes difference between 12- and 26-period EMAs. Crosses on zero line and signal line indicate long/short signals.

K-line penetration on lagging line provides entry timing.

Advantages

  1. Accurate trend detection with multiple indicators.
  2. Precise entry avoiding unnecessary trades.
  3. Solid risk control with stop loss/take profit.

Risks

  1. Aggressive entry with improper parameter tuning.
  2. Increased complexity with multi-indicator usage.
  3. Drawdowns inevitable for short-term trades.

Enhancement Opportunities

  1. Optimize parameters for more products and timeframes.
  2. Add machine learning for adaptive tuning.
  3. Improve entry momentum for higher win rate.

Summary

This strategy combines Ichimoku cloud and other indicator signals into a complete quantitative system. Strict stop loss/take profit mechanism controls risks. With parameter turning and model optimization, it can be applied to more trading instruments with broad prospects.

/*backtest
start: 2022-12-29 00:00:00
end: 2024-01-04 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=720, default_qty_value=100, calc_on_order_fills= true, calc_on_every_tick=true, pyramiding=0)
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
n2ma=2*wma(close,round(keh/2))
nma=wma(close,keh)
diff=n2ma-nma
sqn=round(sqrt(keh))
n2ma1=2*wma(close[1],round(keh/2))
nma1=wma(close[1],keh)
diff1=n2ma1-nma1
sqn1=round(sqrt(keh))
n1=wma(diff,sqn)
n2=wma(diff1,sqn)
b=n1>n2?lime:red
c=n1>n2?green:red
d=n1>n2?red:green
confidence=(request.security(syminfo.tickerid, 'D', close)-request.security(syminfo.tickerid, 'D', close[1]))/request.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 = n1<n2 and close<n2 and confidence<dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closelong)
    strategy.close("Long")
closeshort = n1>n2 and close>n2 and confidence>dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closeshort)
    strategy.close("Short")
longCondition = n1>n2 and strategy.opentrades<ot and confidence>dt and close>n2 and leadLine1>leadLine2 and open<LS and MACD>aMACD
if (longCondition)
    strategy.entry("Long",strategy.long)
shortCondition = n1<n2 and strategy.opentrades<ot and confidence<dt and close<n2 and leadLine1<leadLine2 and open>LS and MACD<aMACD
if (shortCondition)
    strategy.entry("Short",strategy.short)//                         /L'-, 
//                               ,'-.           /MM . .             /  L '-, 
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//     |      \MM()M   MMM)__   /MM(/MP'  ___, \  \ `  `. `.   /__,    ,' 
//     |       MMMM/   MMMMMM( /MMMMP'__, \     | /      `. `-,_\     / 
//     |       MM     /MMM---' `--'_ \     |-'  |/         `./ .\----.___ 
//     |      /MM'   `--' __,-  \""   |-'  |_,               `.__) . .F. )-. 
//     |     `--'       \   \    |-'  |_,     _,-/            J . . . J-'-. `-., 
//     |         __  \`. |   |   |         \    / _           |. . . . \   `-.  F 
//     |   ___  /  \  | `|   '      __  \   |  /-'            F . . . . \     '` 
//     |   \  \ \  /  |        __  /  \  |  |,-'        __,- J . . . . . \ 
//     |    | /  |/     __,-  \  ) \  /  |_,-     __,--'     |. .__.----,' 
//     |    |/    ___     \    |'.  |/      __,--'           `.-;;;;;;;;;\ 
//     |     ___  \  \     |   |  `   __,--'                  /;;;;;;;;;;;;. 
//     |     \  \  |-'\    '    __,--'                       /;;;;;;;;;;;;;;\ 
// \   |      | /  |      __,--'                             `--;;/     \;-'\ 
//  \  |      |/    __,--'                                   /  /         \  \ 
//   \ |      __,--'                                        /  /           \  \ 
//    \|__,--'                                          _,-;M-K,           ,;-;\ 
//                                                     <;;;;;;;;           '-;;;; 
//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
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