Long US 500 Ichimoku

• 08/26/2020 at 11:58 AM #142111
  Ichimoku Reading

  Today, I would like to share with you a strategy developed for the US 500 index
  This one relies on Ichimoku to validate the trend and give the signals to enter

  Its objective is to follow the evolution of the price rise or fall in order to benefit from it.
  It also aims to exit the position at the most favorable time to cash out regularly.

  However, the objective remains a long-term one for annual performance.

  The success of the backtest is based on the optimisation of the stop loss and the clear upward trend in the price.

  Also, money management is in place to ensure that a crack addict does not destroy the entire portfolio.

  // //============================== Basic setting defparam cumulateorders = false //============================== Money Management Capital = 10000 Lotss = Capital / 1000 // Value of risk on capital (attention) //============================== setting Management if Lotss < 1 then Lotss = 1 endif set stop loss (Capital*45)/100 set stop %loss 9 //============================== Indicator SpanA = (Tenkan[26]+Kijun[26])/2 Tenkan = (highest[9](high)+lowest[9](low))/2 Kijun = (highest[26](high)+lowest[26](low))/2 SpanB = (highest[52](high[26])+lowest[52](low[26]))/2 timeframe(1hours) XSpanA = (XTenkan[26]+XKijun[26])/2 XTenkan = (highest[9](high)+lowest[9](low))/2 XKijun = (highest[26](high)+lowest[26](low))/2 XSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 timeframe(default) timeframe(4hours) XXSpanA = (XXTenkan[26]+XXKijun[26])/2 XXTenkan = (highest[9](high)+lowest[9](low))/2 XXKijun = (highest[26](high)+lowest[26](low))/2 XXSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 timeframe(default) //============================== setting trend Bullish T1 = close > Kijun T2 = close > SpanA and close > SpanB TrendBullish1 = T1 and T2 timeframe(1hours) T3 = close > XKijun T4 = close > XSpanA and close > XSpanB TrendBullish2 = T4 and T3 timeframe(default) timeframe(4hours) T5 = close > XXKijun T6 = close > XXSpanA and close > XXSpanB TrendBullish3 = T5 and T6 timeframe(default) TrendBullish = TrendBullish1 and TrendBullish2 and TrendBullish3 //============================== setting Signal S1 = low =< Kijun S2 = low =< SpanA S3 = low =< SpanB S = S1 or S2 or S3 Signal = TrendBullish and S //============================== setting Buy if Signal then buy lotss contract at market endif if close < kijun and close > positionprice then sell at market endif

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  // //============================== Basic setting   defparam cumulateorders = false   //============================== Money Management   Capital = 10000   Lotss = Capital / 1000  // Value of risk on capital (attention)   //============================== setting Management   if Lotss < 1 then Lotss = 1 endif   set stop loss (Capital*45)/100 set stop %loss 9   //============================== Indicator   SpanA = (Tenkan[26]+Kijun[26])/2 Tenkan = (highest[9](high)+lowest[9](low))/2 Kijun = (highest[26](high)+lowest[26](low))/2 SpanB = (highest[52](high[26])+lowest[52](low[26]))/2   timeframe(1hours) XSpanA = (XTenkan[26]+XKijun[26])/2 XTenkan = (highest[9](high)+lowest[9](low))/2 XKijun = (highest[26](high)+lowest[26](low))/2 XSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 timeframe(default)   timeframe(4hours) XXSpanA = (XXTenkan[26]+XXKijun[26])/2 XXTenkan = (highest[9](high)+lowest[9](low))/2 XXKijun = (highest[26](high)+lowest[26](low))/2 XXSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 timeframe(default)   //============================== setting trend Bullish   T1 = close > Kijun T2 = close > SpanA and close > SpanB TrendBullish1 = T1 and T2   timeframe(1hours) T3 = close > XKijun T4 = close > XSpanA and close > XSpanB TrendBullish2 = T4 and T3 timeframe(default)   timeframe(4hours) T5 = close > XXKijun T6 = close > XXSpanA and close > XXSpanB TrendBullish3 = T5 and T6 timeframe(default)   TrendBullish = TrendBullish1 and TrendBullish2 and TrendBullish3   //============================== setting Signal   S1 = low =< Kijun S2 = low =< SpanA S3 = low =< SpanB S = S1 or S2 or S3 Signal = TrendBullish and S   //============================== setting Buy   if Signal then buy lotss contract at market endif   if close < kijun and close > positionprice then sell at market endif

   

  

  Ichimoku Reading

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  08/26/2020 at 12:05 PM #142587
  Nicolas

  Thanks for the strategy, however I think like for this other strategy: Long US Tech 100 Ichimoku strategy that there might be something wrong in the stoploss calculation at line 18?

  

  Nicolas

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  08/26/2020 at 2:24 PM #142611
  Roger

  Thanks for sharing.

  I have some doubt about the interest of it because the index curve and the equity curve are very similar, and it is a long only strategy on a bull market index… so why not just buy and hold ?

  And the algo often exits a position and enters a new position a few time after, so the exit orders are useless most of the time.

  

  Roger

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  08/26/2020 at 5:48 PM #142635
  Ichimoku Reading

  Hello Nicolas, indeed, it is not conventional…

  However, it is a method I use to use a %Stop
  In limited risk CFD account, this kind of stop are not accessible, surprisingly, if I place a normal stop then a %stop it works…

  It’s adapting to the limited risk account.

  This message will also be on this post like that x)

  

  Ichimoku Reading

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  08/26/2020 at 5:56 PM #142636
  Ichimoku Reading

  Hello Roger,

  Indeed, this is correct.
  That was also the goal of this strategy, closed to cash in regularly.
  In this way, a reinvestment of the profits can be envisaged.

  Otherwise indeed, the performances are almost identical without closing.

  However, the code can be modified and improved and shared again, it remains a “basic” idea.

  This type of strategy remains simple and profitable over the long term with high potential markets.

  

  Ichimoku Reading

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  08/27/2020 at 10:38 AM #142695
  GraHal

  Roger wrote:

  And the algo often exits a position and enters a new position a few time after, so the exit orders are useless most of the time.

  Useless with hindsight, but if price had gone against the exited position then not useless?

  I don’t mind a strategy that exits often as long as the exit is at a logical place that warrants an exit … price is showing signs of reversing.

  

  GraHal

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  08/27/2020 at 7:23 PM #142747
  Ichimoku Reading

  IV Mcm wrote:

  Hello Roger,

  Indeed, this is correct.
  That was also the goal of this strategy, closed to cash in regularly.
  In this way, a reinvestment of the profits can be envisaged.

   

  

  Ichimoku Reading

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  08/27/2020 at 8:48 PM #142762
  Roger

  Actually the exit condition is :

  if close < kijun and close > positionprice then sell at market endif

  1 2 3

  if close < kijun and close > positionprice then sell at market endif

  So you are right, it may be a “good reason” to exit. My bad !

  What i said could be relevant if there was a target price, and in this case a trailing stop could avoid paying the broker spread so many times.

  

  Roger

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  08/28/2020 at 10:20 AM #142793
  Ichimoku Reading

  The problem with setting a shorter stop on this value is that the backtest would not be efficient.

  But it is fresh that closing so many times necessarily increases the costs…

  

  Ichimoku Reading

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