IchimokuDM Strategy on SAF40

• 06/08/2017 at 8:17 AM #37795
  juanj

  Okay so I wrote this strategy today after studying some Ichimoku Trading Stategies.

  It is mainly based around Ichimoku breakout strategy but also includes checks for Directional Movement and Divergence.

  I wrote it for my local market (South Africa 40 Cash) on the 1Hr Timeframe on which it performs okay, which is no mean feat.

  But to be completely honest i am disappointed with Ichimoku as an automated strategy in general.

  But enough mumbling. Here is the code, maybe someone will find it useful.

  //Stategy: IchimokuDM //Market: South Africa 40 Cash (ZAR2 Micro) //Timeframe: 1Hr //Spread: 15 //Timezone: UTC +2 Defparam Cumulateorders = False Defparam Flatbefore = 090000 Defparam Flatafter = 170000 If hour < 9 or hour > 17 then //Works in conjunction with Flat Before/After time possize = 0 If longonmarket then SELL AT MARKET ElsIf shortonmarket then EXITSHORT AT MARKET EndIf Else possize = 2 //Minimum position size EndIf P = 11 //Standard Period R = P*2 //Standard Period x 2 I = P*3 //Standard Period x 3 TS = (highest[P](high)+lowest[P](low))/2 //Tenkan-Sen KS = (highest[I](high)+lowest[I](low))/2 //Kijun-Sen CS = close[I] //Chikou-Span SA = (TS+KS)/2 //Senkou-Span A SB = (highest[I](high)+lowest[I](low))/2 //Senkou-Span B DP = DIplus[R](close) //DI+ DN = DIminus[R](close) //DI- AX = ADX[R] //ADX ATR = AverageTrueRange[P](close) If RSI[R](close) > RSI[R](close[I]) Then If close < CS Then BDIV = 1 //Buy Divergence Present SDIV = 0 EndIf EndIf If RSI[R](close) < RSI[R](close[I]) Then If close > CS Then BDIV = 0 //Sell Divergence Present SDIV = 1 EndIf EndIf If countofposition = 0 and BDIV = 1 and AX > 17 and DP > 20 and DP > DN and close > SA and close > SB and TS > KS and close > CS and Close > SA[I] and Close > SB[I] Then Buy possize*3 contracts at close + ATR stop EndIf If countofposition = 0 and SDIV = 1 and AX > 17 and DN > 20 and DP < DN and close < SA and close < SB and TS < KS and close < CS and Close < SA[I] and Close < SB[I] Then Sellshort possize*3 contracts at close - ATR stop EndIf If Longonmarket then If close < TS Then Sell possize contracts at Market //Exit third of position at close below Tenkan-Sen Line ElsIf close < TS and close < KS Then Sell possize contracts at Market //Exit third of position at close below Kijun-Sen Line ElsIf close < TS and close < KS and close < SA or close < SB Then Sell at market //Exit full position at close below Senkou-Span EndIf ElsIf Shortonmarket then If close > TS Then Exitshort possize contracts at Market //Exit third of position at close below Tenkan-Sen Line ElsIf close > TS and close > KS Then Exitshort possize contracts at Market //Exit third of position at close above Kijun-Sen Line ElsIf close > TS and close > KS and close > SA or close > SB Then Exitshort at market //Exit full position at close above Senkou-Span EndIf EndIf Set Stop pLOSS ATR*4 Set Target pPROFIT ATR*5

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  //Stategy: IchimokuDM //Market: South Africa 40 Cash (ZAR2 Micro) //Timeframe: 1Hr //Spread: 15 //Timezone: UTC +2   Defparam Cumulateorders = False Defparam Flatbefore = 090000 Defparam Flatafter = 170000   If hour < 9 or hour > 17 then //Works in conjunction with Flat Before/After time possize = 0 If longonmarket then SELL AT MARKET ElsIf shortonmarket then EXITSHORT AT MARKET EndIf Else possize = 2 //Minimum position size EndIf   P = 11 //Standard Period R = P*2 //Standard Period x 2 I = P*3 //Standard Period x 3 TS = (highest[P](high)+lowest[P](low))/2 //Tenkan-Sen KS = (highest[I](high)+lowest[I](low))/2 //Kijun-Sen CS = close[I] //Chikou-Span SA = (TS+KS)/2 //Senkou-Span A SB = (highest[I](high)+lowest[I](low))/2 //Senkou-Span B DP = DIplus[R](close) //DI+ DN = DIminus[R](close) //DI- AX = ADX[R] //ADX ATR = AverageTrueRange[P](close)   If RSI[R](close) > RSI[R](close[I]) Then If close < CS Then BDIV = 1 //Buy Divergence Present SDIV = 0 EndIf EndIf   If RSI[R](close) < RSI[R](close[I]) Then If close > CS Then BDIV = 0 //Sell Divergence Present SDIV = 1 EndIf EndIf     If countofposition = 0 and BDIV = 1 and AX > 17 and DP > 20 and DP > DN and close > SA and close > SB and TS > KS and close > CS and Close > SA[I] and Close > SB[I] Then Buy possize*3 contracts at close + ATR stop EndIf   If countofposition = 0 and SDIV = 1 and AX > 17 and DN > 20 and DP < DN and close < SA and close < SB and TS < KS and close < CS and Close < SA[I] and Close < SB[I] Then Sellshort possize*3 contracts at close - ATR stop EndIf   If Longonmarket then If close < TS Then Sell possize contracts at Market //Exit third of position at close below Tenkan-Sen Line ElsIf close < TS and close < KS Then Sell possize contracts at Market //Exit third of position at close below Kijun-Sen Line ElsIf close < TS and close < KS and close < SA or close < SB Then Sell at market //Exit full position at close below Senkou-Span EndIf ElsIf Shortonmarket then If close > TS Then Exitshort possize contracts at Market //Exit third of position at close below Tenkan-Sen Line ElsIf close > TS and close > KS Then Exitshort possize contracts at Market //Exit third of position at close above Kijun-Sen Line ElsIf close > TS and close > KS and close > SA or close > SB Then Exitshort at market //Exit full position at close above Senkou-Span EndIf EndIf   Set Stop pLOSS ATR*4 Set Target pPROFIT ATR*5

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  juanj

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  06/08/2017 at 8:20 AM #37798
  Nicolas

  Thanks for this automatic trading strategy code. It seems to work fine on backtests, though I moved your post to the forum instead of the library, because ProOrder don’t support yet partial closure of positions and that’s what your strategy does between lines 58 to 74. I hope this will be available one day, but actually this strategy could only work in paper trading / backtest, not in real trading environment under ProOrder..Sorry for that 😐

  

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  06/08/2017 at 4:09 PM #37840
  juanj

  Hi Nicolas

  Yes it is unfortunate about ProOrder not supporting close of partial positions, however replacing lines 58 to 74 with the below code yields a very similar result to above without having to use partial position closing. So what about we modify the code and move it to the library in order for a bigger audience to benefit?

  If Longonmarket then If close < TS Then //If close below Tenkan-Sen Line If close < close[1] Then Sell at Market //Close position at next lower close EndIf EndIf ElsIf Shortonmarket then If close > TS Then //If close below Tenkan-Sen Line If close > close[1] Then Exitshort at Market //Close position at next higher close EndIf EndIf EndIf

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  If Longonmarket then If close < TS Then //If close below Tenkan-Sen Line If close < close[1] Then Sell at Market //Close position at next lower close EndIf EndIf ElsIf Shortonmarket then If close > TS Then //If close below Tenkan-Sen Line If close > close[1] Then Exitshort at Market //Close position at next higher close EndIf EndIf EndIf

   

   

  

  juanj

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  06/08/2017 at 8:41 PM #37849
  Nicolas

  Great! I do not have much time now, but I’ll have a look tomorrow. Thanks juanj! 😉

  

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  06/09/2017 at 8:08 AM #37864
  Nicolas

  So here is the modified code with your last addition:

  //Stategy: IchimokuDM //Market: South Africa 40 Cash (ZAR2 Micro) //Timeframe: 1Hr //Spread: 15 //Timezone: UTC +2 Defparam Cumulateorders = False Defparam Flatbefore = 073000 Defparam Flatafter = 163000 If hour < 9 or hour > 17 then //Works in conjunction with Flat Before/After time possize = 0 If longonmarket then SELL AT MARKET ElsIf shortonmarket then EXITSHORT AT MARKET EndIf Else possize = 2 //Minimum position size EndIf P = 11 //Standard Period R = P*2 //Standard Period x 2 I = P*3 //Standard Period x 3 TS = (highest[P](high)+lowest[P](low))/2 //Tenkan-Sen KS = (highest[I](high)+lowest[I](low))/2 //Kijun-Sen CS = close[I] //Chikou-Span SA = (TS+KS)/2 //Senkou-Span A SB = (highest[I](high)+lowest[I](low))/2 //Senkou-Span B DP = DIplus[R](close) //DI+ DN = DIminus[R](close) //DI- AX = ADX[R] //ADX ATR = AverageTrueRange[P](close) If RSI[R](close) > RSI[R](close[I]) Then If close < CS Then BDIV = 1 //Buy Divergence Present SDIV = 0 EndIf EndIf If RSI[R](close) < RSI[R](close[I]) Then If close > CS Then BDIV = 0 //Sell Divergence Present SDIV = 1 EndIf EndIf If countofposition = 0 and BDIV = 1 and AX > 17 and DP > 20 and DP > DN and close > SA and close > SB and TS > KS and close > CS and Close > SA[I] and Close > SB[I] Then Buy possize*3 contracts at close + ATR stop EndIf If countofposition = 0 and SDIV = 1 and AX > 17 and DN > 20 and DP < DN and close < SA and close < SB and TS < KS and close < CS and Close < SA[I] and Close < SB[I] Then Sellshort possize*3 contracts at close - ATR stop EndIf If Longonmarket then If close < TS Then //If close below Tenkan-Sen Line If close < close[1] Then Sell at Market //Close position at next lower close EndIf EndIf ElsIf Shortonmarket then If close > TS Then //If close below Tenkan-Sen Line If close > close[1] Then Exitshort at Market //Close position at next higher close EndIf EndIf EndIf Set Stop pLOSS ATR*4 Set Target pPROFIT ATR*5

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  //Stategy: IchimokuDM //Market: South Africa 40 Cash (ZAR2 Micro) //Timeframe: 1Hr //Spread: 15 //Timezone: UTC +2   Defparam Cumulateorders = False Defparam Flatbefore = 073000 Defparam Flatafter = 163000   If hour < 9 or hour > 17 then //Works in conjunction with Flat Before/After time possize = 0 If longonmarket then SELL AT MARKET ElsIf shortonmarket then EXITSHORT AT MARKET EndIf Else possize = 2 //Minimum position size EndIf   P = 11 //Standard Period R = P*2 //Standard Period x 2 I = P*3 //Standard Period x 3 TS = (highest[P](high)+lowest[P](low))/2 //Tenkan-Sen KS = (highest[I](high)+lowest[I](low))/2 //Kijun-Sen CS = close[I] //Chikou-Span SA = (TS+KS)/2 //Senkou-Span A SB = (highest[I](high)+lowest[I](low))/2 //Senkou-Span B DP = DIplus[R](close) //DI+ DN = DIminus[R](close) //DI- AX = ADX[R] //ADX ATR = AverageTrueRange[P](close)   If RSI[R](close) > RSI[R](close[I]) Then If close < CS Then BDIV = 1 //Buy Divergence Present SDIV = 0 EndIf EndIf   If RSI[R](close) < RSI[R](close[I]) Then If close > CS Then BDIV = 0 //Sell Divergence Present SDIV = 1 EndIf EndIf     If countofposition = 0 and BDIV = 1 and AX > 17 and DP > 20 and DP > DN and close > SA and close > SB and TS > KS and close > CS and Close > SA[I] and Close > SB[I] Then Buy possize*3 contracts at close + ATR stop EndIf   If countofposition = 0 and SDIV = 1 and AX > 17 and DN > 20 and DP < DN and close < SA and close < SB and TS < KS and close < CS and Close < SA[I] and Close < SB[I] Then Sellshort possize*3 contracts at close - ATR stop EndIf   If Longonmarket then If close < TS Then //If close below Tenkan-Sen Line If close < close[1] Then Sell at Market //Close position at next lower close EndIf EndIf ElsIf Shortonmarket then If close > TS Then //If close below Tenkan-Sen Line If close > close[1] Then Exitshort at Market //Close position at next higher close EndIf EndIf EndIf   Set Stop pLOSS ATR*4 Set Target pPROFIT ATR*5

  I changed the time schedule between 07.30-16.30 for the intraday 8 points spread. Results attached, please confirm before I add it into the library! thanks.

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  06/09/2017 at 8:29 AM #37870
  juanj

  Hi Nicholas, the results seem valid. I don’t have the amount of data points you have so mine will look slightly different. Pleased to see it still performs on par in the period outside of my optimization time frame. This actually serves as validation of the strategy.

  

  juanj

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  06/09/2017 at 1:05 PM #37891
  Nicolas

  The strategy is now available in our library: https://www.prorealcode.com/prorealtime-trading-strategies/ichimoku-dm-strategy-saf40-1-hour/

  

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  06/09/2017 at 4:31 PM #37907
  Maz

  Nice idea, will take a look and post any updates.

  Yea, bit of a pain with the lack of partial closures, bi-directional trading and stuff- but as quick proof of concept it’s useful.

  Just for future reference guys, if you are dependent on abilities such as to execute partial closures and wish to run with such features, I could actually make that happen for you using our own tools. Wouldn’t normally disclose the screen shots attached but I think there’s some good ideas and thinking out here that is out-growing PRT.  (attached is monitoring views from our system)

  Best,

  M

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  06/09/2017 at 7:10 PM #37917
  juanj

  @Maz, regarding your screenshots, what are we looking at???

  

  juanj

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