ICHIMOKU BREAKOUT strategy on EURUSD 3 hours

• 07/10/2017 at 2:02 PM #40248
  volpiemanuele

  Hello,

  I have created a strategy with the idea of kumo break of Rafa (https://www.prorealcode.com/prorealtime-market-screeners/kumo-break/) with some integration. I have optimized the variables of Ichimoku and SL e TP on EurUsd_mini Time Frame 3h. In my opinion the basic idea is good especially in relation to the high percentage of positive trade (71.98%). I expect further improvement with your help also in other instruments. Thanks

  //**************************************************************** //* Estrategia Rotura de Kumo Completa //* Autor: Rafa Barreto: Ayuda Nicolás //**************************************************************** DEFPARAM CumulateOrders = false // ===== VALORES MODIFICABLES ===== // -- Construyendo la graficación Ichimoku -- // -- Valores NO Standar: Fibonacci: 8; 21; 55 -- // -- Valores NO Standar: Actuales : 7;22;44 // -- Valores Standar: 9; 26; 52 PeriodoCorto = 8 PeriodoMedio = 21 PeriodoLargo = 55 Tenkan = (highest[PeriodoCorto](High) + lowest[PeriodoCorto](Low)) / 2 Kijun = (highest[PeriodoMedio](High) + lowest[PeriodoMedio](Low)) / 2 SpanA = (TenKan[PeriodoMedio] + Kijun[PeriodoMedio]) / 2 SpanB = (highest[PeriodoLargo](High[PeriodoMedio]) + lowest[PeriodoLargo](Low[PeriodoMedio])) / 2 Chikou = Close // ===== A partir de aquí no se toca el código ===== // --- Condiciones de Posiciones Largas --- Condicion1Larga = (close > SpanA) AND (close > SpanB) //Condicion2Larga = (Tenkan > SpanA) AND (Tenkan > SpanB) //Condicion3Larga = (Kijun > SpanA) AND (Kijun > SpanB) //Condicion4Larga = (Chikou > SpanA) AND (Chikou > SpanB) Condicion5Larga = (SpanA[PeriodoMedio] > SpanB[PeriodoMedio]) Condicion6Larga = (SpanA[PeriodoMedio] < SpanB[PeriodoMedio]) Condicion7Larga = chikou > close[PeriodoMedio] if not onmarket and (Chikou CROSSES OVER SpanA[PeriodoMedio] AND (Condicion1Larga AND Condicion5Larga and Condicion7Larga )) or (Chikou CROSSES OVER SpanB[PeriodoMedio] AND (Condicion1Larga AND Condicion6Larga and Condicion7Larga)) then buy 1 shares at market endif // -- Condiciones de Posiciones Cortas --- Condicion1Corta = (close < SpanA) AND (close < SpanB) //Condicion2Corta = (Tenkan < SpanA) AND (Tenkan < SpanB) //Condicion3Corta = (Kijun < SpanA) AND (Kijun < SpanB) //Condicion4Corta = (Chikou < SpanA) AND (Chikou < SpanB) Condicion5Corta = (SpanA[PeriodoMedio] < SpanB[PeriodoMedio]) Condicion6Corta = (SpanA[PeriodoMedio] > SpanB[PeriodoMedio]) Condicion8Larga = chikou < close[PeriodoMedio] if not onmarket and (Chikou CROSSES UNDER SpanA[PeriodoMedio] AND (Condicion1Corta AND Condicion5Corta and Condicion8Larga )) or (Chikou CROSSES UNDER SpanB[PeriodoMedio] AND (Condicion1Corta AND Condicion6Corta and Condicion8Larga)) then sellshort 1 shares at market endif set stop ploss 50 SET TARGET PPROFIT 30

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  //**************************************************************** //*  Estrategia Rotura de Kumo Completa //*  Autor: Rafa Barreto: Ayuda Nicolás //**************************************************************** DEFPARAM CumulateOrders = false // ===== VALORES MODIFICABLES ===== // -- Construyendo la graficación Ichimoku -- // -- Valores NO Standar: Fibonacci: 8; 21; 55 -- // -- Valores NO Standar: Actuales : 7;22;44 // -- Valores Standar: 9; 26; 52 PeriodoCorto = 8 PeriodoMedio = 21 PeriodoLargo = 55 Tenkan = (highest[PeriodoCorto](High) + lowest[PeriodoCorto](Low)) / 2 Kijun = (highest[PeriodoMedio](High) + lowest[PeriodoMedio](Low)) / 2 SpanA = (TenKan[PeriodoMedio] + Kijun[PeriodoMedio]) / 2 SpanB = (highest[PeriodoLargo](High[PeriodoMedio]) + lowest[PeriodoLargo](Low[PeriodoMedio])) / 2 Chikou = Close // ===== A partir de aquí no se toca el código ===== // --- Condiciones de Posiciones Largas --- Condicion1Larga = (close  > SpanA) AND (close  > SpanB) //Condicion2Larga = (Tenkan > SpanA) AND (Tenkan > SpanB) //Condicion3Larga = (Kijun  > SpanA) AND (Kijun  > SpanB) //Condicion4Larga = (Chikou > SpanA) AND (Chikou > SpanB) Condicion5Larga   = (SpanA[PeriodoMedio] > SpanB[PeriodoMedio]) Condicion6Larga   = (SpanA[PeriodoMedio] < SpanB[PeriodoMedio]) Condicion7Larga = chikou > close[PeriodoMedio]     if not onmarket and (Chikou CROSSES OVER SpanA[PeriodoMedio] AND (Condicion1Larga AND Condicion5Larga and Condicion7Larga )) or (Chikou CROSSES OVER SpanB[PeriodoMedio] AND (Condicion1Larga AND Condicion6Larga and Condicion7Larga))   then buy 1 shares at market endif   // -- Condiciones de Posiciones Cortas --- Condicion1Corta = (close  < SpanA) AND (close  < SpanB) //Condicion2Corta = (Tenkan < SpanA) AND (Tenkan < SpanB) //Condicion3Corta = (Kijun  < SpanA) AND (Kijun  < SpanB) //Condicion4Corta = (Chikou < SpanA) AND (Chikou < SpanB) Condicion5Corta   = (SpanA[PeriodoMedio] < SpanB[PeriodoMedio]) Condicion6Corta   = (SpanA[PeriodoMedio] > SpanB[PeriodoMedio]) Condicion8Larga = chikou < close[PeriodoMedio]   if not onmarket and (Chikou CROSSES UNDER SpanA[PeriodoMedio] AND (Condicion1Corta AND Condicion5Corta and Condicion8Larga )) or (Chikou CROSSES UNDER SpanB[PeriodoMedio] AND (Condicion1Corta AND Condicion6Corta and Condicion8Larga))   then sellshort 1  shares at market endif     set stop ploss 50 SET TARGET PPROFIT 30

  and TF. Thank you

  

  volpiemanuele

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  07/10/2017 at 2:10 PM #40253
  Nicolas

  Hi manuele, thanks for this idea about a new ichimoku trading strategy and built upon a screener from another member 🙂 I think there is effectively a good idea behind this setup. I replaced the optimized value you add for the ichimoku indicator with the default one and the strategy is performing also good, even if we don’t have a steady equity curve (picture attached).

  In tick-by-tick mode we can’t go further back than the 1st August 2010. A serie of stoploss occurred during February 2015 and it happened that we could expect from a strategy with a risk/reward ratio < 1, a lot of profit is wiped away! 🙁 The first thing to do here (IMO) is to set a RR>1 and see what happen with a lot of losses in the same row .. Good luck 😉

  

  Nicolas

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