Working on a ichimoku strategy…

• 10/04/2017 at 11:27 AM #48180
  pieroim

  This is a very simple EA, I wrote it in the simplest way possible so that anyone can understand and work on it.
  I’m not very happy with the result, the problem is that ichimoku is strongly related to the trend,  and I’m thinking about how to do a prt analysis of the trend on different TSs.
  Anyway, I hope you also want to work on it.

  Simple ichimoku strategy

  //Stategy: Ichimoku //Author: Piero Petrosillo //version: 1 //Timeframe: 15 and 30 minutes - eurusd only //Backtested from 01/11/2015 to 27/09/2017 //I'm sorry for my bad english.. :-) //work in progress.. Defparam CUMULATEORDERS = False once segnale = 0 once barcount = 0 once barcountClose = 0 once blocForzato = 0 possize = 2 //indicators--------------------------------------------------------------------------------- T = 9 //Tenkan-Sen Period (9) I = 26 //Chikou-Span Period (26) K = 52 //Kijun-Sen Period (52) TS = (highest[T](high)+lowest[T](low))/2 //Tenkan-Sen KS = (highest[I](high)+lowest[I](low))/2 //Kijun-Sen CS = close[I] //Chikou-Span SA = (TS[I]+KS[I])/2 //Senkou-Span A SB = (highest[K](high[I])+lowest[K](low[I]))/2 //Senkou-Span B myADX = ADX[20] //end of indicators-------------------------------------------------------------------------- //Signals------------------------------------------------------------------------------------ if blocForzato = 1 then //wait after the order close if Barindex>barcountClose+2 then blocForzato = 0 endif endif //Chikou-Span position respect to the price prezzoCSLow = low[26] prezzoCSHigh= high[26] spreadCS = pointsize*4 prezzoCSLow = prezzoCSLow - spreadCS prezzoCSHigh=prezzoCSHigh + spreadCS // Tenkan-Sen/Kijun-Sen crossing num1 = TS[0] num2 = KS[0] num1p = TS[1] num2p = KS[1] if segnale = 0 then incrocio = 0 if num1>num2 and num2p>=num1p then incrocio = 1 //long segnale = Barindex+2 endif if num2>num1 and num1p>=num2p then incrocio = -1//short segnale = Barindex+2 endif endif if Barindex > segnale then segnale = 0 endif //Kumo parameters kumoUP =0 kumoDOWN =0 kumoUPold =0 kumoDOWNold =0 spesKumoMin =pointsize*1//-------------- minimum kumo size --------------------- speKum =0 mode =0 if SA[0]>SB[0] then kumoUP=SA[0] kumoDOWN=SB[0] mode=3 kumoUPold=SA[1] kumoDOWNold=SB[1] else kumoUP=SB[0] kumoDOWN=SA[0] mode=4 kumoUPold=SB[1] kumoDOWNold=SA[1] endif spesKumo = kumoUPold-kumoDOWNold if spesKumo>spesKumoMin then speKum = 1//kumo size signal endif //mini ts trend primo = TS[3] ultimo = TS[0] spread = pointsize*2 miniTr= ultimo-primo miniTr= miniTr/spread //mini price trend - not used now primo = typicalprice[1] ultimo = typicalprice[0] spread = pointsize*1 miniTrPr= ultimo-primo miniTrPr= miniTrPr/spread //ChikouSpan out of span A e B - not used now //senkChiko = 0 if SA[26]>SB[26] then if CS[26]>SB[26] and CS[26]<SA[26] then //senkChiko = 1 endif else if CS[26]>SA[26] and CS[26]<SB[26] then //senkChiko = 1 endif endif //kumo side segnale1 =0 segnale2 =0 segnale3 =0 segnale4 =0 kumoLatLong = 0 kumoLatShort = 0 if mode = 3 then // A up, B down last = SA[0] candele = SA[1] if candele > (last+spesKumoMin) then//long segnale1 = segnale1 + 1 endif last = SB[0] candele = SB[1] if (candele+spesKumoMin) < last then//short segnale2 = segnale2 + 1 endif endif if mode = 4 then// B up, A down last = SB[0] candele = SB[1] if candele > (last+spesKumoMin) then//long segnale3 = segnale3 + 1 endif last = SA[0] candele = SA[1] if (candele+spesKumoMin) < last then//short segnale4 = segnale4 + 1 endif endif if (segnale1+segnale3) > 0 then kumoLatLong = 1//signal endif if (segnale2+segnale4) > 0 then kumoLatShort = 1//signal endif //end of signals------------------------------------------------------------------------------------ //Orders-------------------------------------------------------------------------------------------- //Chikou-Span redefinition CS = close[0] blocco = 0//not used now speKum2 = 0 //long position //and spesKumo>spesKumomin and senkChiko = 0 and miniTr>4 and miniTrPr>0 and incrocio = 1 if myADX>15 and blocForzato=0 then if speKum=1 then//spessore kumo buono if countofposition = 0 and entrataAquisto = 0 and entrataVendita = 0 and incrocio=1 and TS[0]>KS[0] and CS[0]>prezzoCSHigh and miniTr>4 then //TS position compared to kumo if kumoLatLong = 0 and TS[0]>kumoUP and KS[0]>kumoUP then speKum2 = 1 else if kumoLatLong = 1 and TS[0]>kumoDOWNold and TS[0]<kumoUPold then //to optimize it speKum2 = 1 endif endif if blocco = 0 and speKum2 = 1 then Buy possize contracts at market barcount = Barindex segnale = 0 entrataAquisto = 1 EndIf endif //Short Position //and senkChiko = 0 and miniTr<-4 and miniTrPr<0 and incrocio = -1 if countofposition = 0 and entrataVendita = 0 and entrataAquisto = 0 and incrocio=-1 and TS[0]<KS[0] and CS[0]<prezzoCSLow and miniTr<-4 then if kumoLatShort = 0 and TS[0]<kumoDOWN and KS[0]<kumoDOWN then speKum2 = 1 else if kumoLatShort = 1 and TS[0]<kumoDOWNold and TS[0]>kumoUPold then //to optimize it speKum2 = 1 endif endif if blocco = 0 and speKum2 = 1 then Sellshort possize contracts at market barcount = Barindex segnale = 0 entrataVendita = 1 EndIf endif else//slim kumo ----------------------------------------- //and miniTr>4 and miniTrPr>0and incrocio = 1 if countofposition = 0 and entrataAquisto = 0 and entrataVendita = 0 and incrocio=1 and TS[0]>KS[0] and CS[0]>prezzoCSHigh and miniTr>4 and blocco = 0 then Buy possize contracts at market barcount = Barindex segnale = 0 entrataAquisto = 1 endif //and senkChiko = 0and miniTr<-4 and miniTrPr<0and incrocio = -1 if countofposition = 0 and entrataVendita = 0 and entrataAquisto = 0 and incrocio=-1 and TS[0]<KS[0] and CS[0]<prezzoCSLow and miniTr<-4 and blocco = 0 then Sellshort possize contracts at market barcount = Barindex segnale = 0 entrataVendita = 1 endif endif endif //GRAPH CS[0] coloured(0,255,0) AS "CS0" //GRAPH prezzoCSLow coloured(0,0,255) AS "prezzoCSLow" //GRAPH incrocio coloured(255,0,0) AS "incrocio" //GRAPH miniTr coloured(255,0,0) AS "miniTr" //GRAPH miniTrPr coloured(255,0,0) AS "miniTrPr" //GRAPH kumoLatShort coloured(255,0,0) AS "klat" //GRAPH TS[0] coloured(255,0,0) AS "ts0" //GRAPH FastSMA[0] coloured(255,0,0) AS "SMA" //GRAPH KS[0] coloured(255,0,0) AS "ks0" //GRAPH miniTrSma coloured(255,0,0) AS "miniTrSma" //GRAPH speKum coloured(255,0,0) AS "speKum" //End of orders------------------------------------------------------------------------------------- //Exit Conditions----------------------------------------------------------------------------------- bars = 3 if entrataAquisto = 1 and TS[0]<KS[0] then Sell at market segnale = 0 entrataAquisto = 0 blocForzato=1 barcountClose=Barindex endif if entrataAquisto = 1 and blocForzato = 1 then Sell at market segnale = 0 entrataAquisto = 0 blocForzato=1 barcountClose=Barindex endif if entrataAquisto = 1 and Barindex>barcount+bars and close[0]<close[bars] then Sell at market segnale = 0 entrataAquisto = 0 blocForzato=1 barcountClose=Barindex endif if entrataVendita = 1 and TS[0]>KS[0] then exitshort at market segnale = 0 entrataVendita = 0 blocForzato=1 barcountClose=Barindex endif if entrataVendita = 1 and blocForzato = 1 then exitshort at market segnale = 0 entrataVendita = 0 blocForzato=1 barcountClose=Barindex endif if entrataVendita = 1 and Barindex>barcount+bars and close[0]<close[bars] then exitshort at market segnale = 0 entrataVendita = 0 blocForzato=1 barcountClose=Barindex endif //Exit of exit conditions---------------------------------------------------------------------------

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  //Stategy: Ichimoku //Author: Piero Petrosillo //version: 1 //Timeframe: 15 and 30 minutes - eurusd only //Backtested  from 01/11/2015 to 27/09/2017 //I'm sorry for my bad english.. :-) //work in progress..     Defparam CUMULATEORDERS = False once segnale = 0 once barcount = 0 once barcountClose = 0 once blocForzato = 0 possize = 2 //indicators---------------------------------------------------------------------------------   T = 9 //Tenkan-Sen Period (9) I = 26 //Chikou-Span Period (26) K = 52 //Kijun-Sen Period (52)   TS = (highest[T](high)+lowest[T](low))/2 //Tenkan-Sen KS = (highest[I](high)+lowest[I](low))/2 //Kijun-Sen CS = close[I] //Chikou-Span SA = (TS[I]+KS[I])/2 //Senkou-Span A SB = (highest[K](high[I])+lowest[K](low[I]))/2 //Senkou-Span B   myADX = ADX[20] //end of indicators--------------------------------------------------------------------------   //Signals------------------------------------------------------------------------------------   if blocForzato = 1 then //wait after the order close if Barindex>barcountClose+2 then blocForzato = 0 endif endif   //Chikou-Span position respect to the price prezzoCSLow = low[26] prezzoCSHigh= high[26] spreadCS    = pointsize*4 prezzoCSLow = prezzoCSLow - spreadCS prezzoCSHigh=prezzoCSHigh + spreadCS   // Tenkan-Sen/Kijun-Sen crossing num1 = TS[0] num2 = KS[0] num1p = TS[1] num2p = KS[1] if segnale = 0 then incrocio = 0 if num1>num2 and num2p>=num1p then incrocio = 1 //long segnale = Barindex+2 endif if num2>num1 and num1p>=num2p then incrocio = -1//short segnale = Barindex+2 endif endif if Barindex > segnale then segnale = 0 endif   //Kumo parameters kumoUP      =0 kumoDOWN    =0 kumoUPold   =0 kumoDOWNold =0 spesKumoMin =pointsize*1//-------------- minimum kumo size --------------------- speKum      =0 mode        =0 if SA[0]>SB[0] then kumoUP=SA[0] kumoDOWN=SB[0] mode=3 kumoUPold=SA[1] kumoDOWNold=SB[1] else kumoUP=SB[0] kumoDOWN=SA[0] mode=4 kumoUPold=SB[1] kumoDOWNold=SA[1] endif spesKumo = kumoUPold-kumoDOWNold if spesKumo>spesKumoMin then speKum = 1//kumo size signal endif   //mini ts trend primo  = TS[3] ultimo = TS[0] spread = pointsize*2 miniTr= ultimo-primo miniTr= miniTr/spread   //mini price trend - not used now primo  = typicalprice[1] ultimo = typicalprice[0] spread = pointsize*1 miniTrPr= ultimo-primo miniTrPr= miniTrPr/spread   //ChikouSpan out of span A e B - not used now //senkChiko = 0 if SA[26]>SB[26] then if CS[26]>SB[26] and CS[26]<SA[26] then //senkChiko = 1 endif else if CS[26]>SA[26] and CS[26]<SB[26] then //senkChiko = 1 endif endif   //kumo side segnale1 =0 segnale2 =0 segnale3 =0 segnale4 =0 kumoLatLong = 0 kumoLatShort = 0 if mode = 3 then // A up, B down last = SA[0] candele = SA[1] if candele > (last+spesKumoMin) then//long segnale1 = segnale1 + 1 endif last = SB[0] candele = SB[1] if (candele+spesKumoMin) < last then//short segnale2 = segnale2 + 1 endif endif   if mode = 4 then// B up, A down last = SB[0] candele = SB[1] if candele > (last+spesKumoMin) then//long segnale3 = segnale3 + 1 endif last = SA[0] candele = SA[1] if (candele+spesKumoMin) < last then//short segnale4 = segnale4 + 1 endif endif if (segnale1+segnale3) > 0 then kumoLatLong = 1//signal endif if (segnale2+segnale4) > 0 then kumoLatShort = 1//signal endif //end of signals------------------------------------------------------------------------------------   //Orders--------------------------------------------------------------------------------------------   //Chikou-Span redefinition CS = close[0]   blocco = 0//not used now   speKum2 = 0   //long position //and spesKumo>spesKumomin and senkChiko = 0 and miniTr>4 and miniTrPr>0 and incrocio = 1 if myADX>15 and blocForzato=0 then if speKum=1 then//spessore kumo buono if countofposition = 0 and entrataAquisto = 0 and entrataVendita = 0 and incrocio=1 and TS[0]>KS[0] and CS[0]>prezzoCSHigh and miniTr>4 then //TS position compared to kumo if kumoLatLong = 0 and TS[0]>kumoUP and KS[0]>kumoUP then speKum2 = 1 else if kumoLatLong = 1 and TS[0]>kumoDOWNold and TS[0]<kumoUPold then //to optimize it speKum2 = 1 endif endif if blocco = 0 and speKum2 = 1 then Buy possize contracts at market barcount = Barindex segnale = 0 entrataAquisto = 1 EndIf endif //Short Position //and senkChiko = 0 and miniTr<-4 and miniTrPr<0 and incrocio = -1 if countofposition = 0 and entrataVendita = 0 and entrataAquisto = 0 and incrocio=-1 and TS[0]<KS[0] and CS[0]<prezzoCSLow and miniTr<-4 then if kumoLatShort = 0 and TS[0]<kumoDOWN and KS[0]<kumoDOWN then speKum2 = 1 else if kumoLatShort = 1 and TS[0]<kumoDOWNold and TS[0]>kumoUPold then //to optimize it speKum2 = 1 endif endif if blocco = 0 and speKum2 = 1 then Sellshort possize contracts at market barcount = Barindex segnale = 0 entrataVendita = 1 EndIf endif else//slim kumo ----------------------------------------- //and miniTr>4 and miniTrPr>0and incrocio = 1 if countofposition = 0 and entrataAquisto = 0 and entrataVendita = 0 and incrocio=1 and TS[0]>KS[0] and CS[0]>prezzoCSHigh and miniTr>4 and blocco = 0 then Buy possize contracts at market barcount = Barindex segnale = 0 entrataAquisto = 1 endif //and senkChiko = 0and miniTr<-4 and miniTrPr<0and incrocio = -1 if countofposition = 0 and entrataVendita = 0 and entrataAquisto = 0 and incrocio=-1 and TS[0]<KS[0] and CS[0]<prezzoCSLow and miniTr<-4 and blocco = 0 then Sellshort possize contracts at market barcount = Barindex segnale = 0 entrataVendita = 1 endif endif endif   //GRAPH CS[0] coloured(0,255,0) AS "CS0" //GRAPH prezzoCSLow coloured(0,0,255) AS "prezzoCSLow" //GRAPH incrocio coloured(255,0,0) AS "incrocio" //GRAPH miniTr coloured(255,0,0) AS "miniTr" //GRAPH miniTrPr coloured(255,0,0) AS "miniTrPr" //GRAPH kumoLatShort coloured(255,0,0) AS "klat" //GRAPH TS[0] coloured(255,0,0) AS "ts0" //GRAPH FastSMA[0] coloured(255,0,0) AS "SMA" //GRAPH KS[0] coloured(255,0,0) AS "ks0" //GRAPH miniTrSma coloured(255,0,0) AS "miniTrSma" //GRAPH speKum coloured(255,0,0) AS "speKum"   //End of orders-------------------------------------------------------------------------------------   //Exit Conditions----------------------------------------------------------------------------------- bars = 3 if entrataAquisto = 1 and TS[0]<KS[0] then Sell at market segnale = 0 entrataAquisto = 0 blocForzato=1 barcountClose=Barindex endif if entrataAquisto = 1 and blocForzato = 1 then Sell at market segnale = 0 entrataAquisto = 0 blocForzato=1 barcountClose=Barindex endif if entrataAquisto = 1 and Barindex>barcount+bars and close[0]<close[bars] then Sell at market segnale = 0 entrataAquisto = 0 blocForzato=1 barcountClose=Barindex endif   if entrataVendita = 1 and TS[0]>KS[0] then exitshort at market segnale = 0 entrataVendita = 0 blocForzato=1 barcountClose=Barindex endif if entrataVendita = 1 and blocForzato = 1 then exitshort at market segnale = 0 entrataVendita = 0 blocForzato=1 barcountClose=Barindex endif if entrataVendita = 1 and Barindex>barcount+bars and close[0]<close[bars] then exitshort at market segnale = 0 entrataVendita = 0 blocForzato=1 barcountClose=Barindex endif //Exit of exit conditions---------------------------------------------------------------------------

   

   

   

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  juanj, Nicolas

  

  pieroim

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  10/05/2017 at 3:59 PM #48311
  Nicolas

  How can we help you? Do you need more assistance about:

  pieroim wrote:

  how to do a prt analysis of the trend on different TSs

  ❓

  

  Nicolas

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  10/05/2017 at 4:06 PM #48312
  pieroim

  Hi,

  if I want compare the current graph TF ichimoku with the ichimoku values ​​on a higher TF, for example at 1 hour respect the 15 minutes of the graph, it is possible with prt?

  Thank’s

  Piero

  

  pieroim

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  10/05/2017 at 4:30 PM #48318
  Nicolas

  Not right out of the box (for now… still waiting for this crucial update 😀 ), but since Ichimoku is only built upon highest high and lowest low of different periods, we could try to get accurate values of higher timeframe, just by simulating them with periods multiplication. I think it should do the trick for Ichimoku.

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  juanj

  

  Nicolas

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  10/05/2017 at 5:16 PM #48320
  juanj

  Well done @pieroim, you are making excellent progress!

  I can see that you are a seasoned coder looking at your programming style.

  I will look a bit closer at your strategy and see if I can make any improvements.

  I have a few tricks up my sleeve that I can try.

   

   

   

  

  juanj

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  10/05/2017 at 5:41 PM #48328
  pieroim

  Ok.

  To speed up writing the code, I used “pointize” as a constant in various functions. This works fine with eurusd at 15 and 30 minutes, otherwise it is worth to be calculated.

  Remember, this is only the first version…

  

  pieroim

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  10/05/2017 at 5:58 PM #48331
  pieroim

  Nicolas, is there a way to close an order to a specific price? Example: to a 1.17113 in eurusd

  

  pieroim

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  10/06/2017 at 7:56 AM #48362
  Nicolas

  Of course, you can use contrarian pending orders to close orders at specific price. If you want to close a BUY position above its current price:

  SELL at myprice LIMIT

  1	SELL at myprice LIMIT

  or to close the BUY position below its current price:

  SELL at myprice STOP

  1	SELL at myprice STOP

   

  

  Nicolas

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  10/10/2017 at 4:07 PM #48948
  pieroim

  Now I’m working on the code for the pseudo higher timeframe..

  if Barindex>barcountClose+15 then //ogni 16 barre barcountClose = Barindex high4h=high[0] low4h=low[0] for x = 0 to 15 do if high[x] > high1h then high4h=high[x] endif if low[x] < low1h then low4h=low[x] endif next piuDM = MAX(high1h-high1h[1], 0) menoDM = MAX(low1h[1]-low1h, 0) IF piuDM > menoDM THEN menoDM = 0 ENDIF IF piuDM < menoDM THEN piuDM = 0 ENDIF IF piuDM = menoDM THEN piuDM = 0 menoDM = 0 ENDIF REM Calcolo degli indicatori direzionali piuDI = WILDERAVERAGE[14](piuDM) menoDI = WILDERAVERAGE[14](menoDM) REM Calcolo del ADX DX = ABS(piuDI - menoDI) / (piuDI + menoDI) * 100 myADX1h = WILDERAVERAGE[14](DX) endif

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  if Barindex>barcountClose+15 then //ogni 16 barre barcountClose = Barindex high4h=high[0] low4h=low[0] for x = 0 to 15 do if high[x] > high1h then high4h=high[x] endif if low[x] < low1h then low4h=low[x] endif next   piuDM = MAX(high1h-high1h[1], 0) menoDM = MAX(low1h[1]-low1h, 0)   IF piuDM > menoDM THEN menoDM = 0 ENDIF   IF piuDM < menoDM THEN piuDM = 0 ENDIF   IF piuDM = menoDM THEN piuDM = 0 menoDM = 0 ENDIF   REM Calcolo degli indicatori direzionali piuDI = WILDERAVERAGE[14](piuDM) menoDI = WILDERAVERAGE[14](menoDM)   REM Calcolo del ADX DX = ABS(piuDI - menoDI) / (piuDI + menoDI) * 100 myADX1h = WILDERAVERAGE[14](DX) endif

  with the above code i would like to calculate an 4h ADX in a 15m chart .. but it does not go .. the chart values, no matter if fragmented, are far from those of a 4 hour ADX ..

   

  

  pieroim

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  10/10/2017 at 4:23 PM #48953
  pieroim

  errata/corrige..

  if Barindex>barcountClose+15 then //ogni 16 barre barcountClose = Barindex high4h=high[0] low4h=low[0] for x = 0 to 15 do if high[x] > high4h then high4h=high[x] endif if low[x] < low4h then low4h=low[x] endif next piuDM = MAX(high4h-high4h[16], 0) menoDM = MAX(low4h[16]-low4h, 0) IF piuDM > menoDM THEN menoDM = 0 ENDIF IF piuDM < menoDM THEN piuDM = 0 ENDIF IF piuDM = menoDM THEN piuDM = 0 menoDM = 0 ENDIF REM Calcolo degli indicatori direzionali piuDI = WILDERAVERAGE[223](piuDM) menoDI = WILDERAVERAGE[223](menoDM) REM Calcolo del ADX DX = ABS(piuDI - menoDI) / (piuDI + menoDI) * 100 myADX4h = WILDERAVERAGE[223](DX) endif

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  if Barindex>barcountClose+15 then //ogni 16 barre barcountClose = Barindex high4h=high[0] low4h=low[0] for x = 0 to 15 do if high[x] > high4h then high4h=high[x] endif if low[x] < low4h then low4h=low[x] endif next   piuDM = MAX(high4h-high4h[16], 0) menoDM = MAX(low4h[16]-low4h, 0)   IF piuDM > menoDM THEN menoDM = 0 ENDIF   IF piuDM < menoDM THEN piuDM = 0 ENDIF   IF piuDM = menoDM THEN piuDM = 0 menoDM = 0 ENDIF   REM Calcolo degli indicatori direzionali piuDI = WILDERAVERAGE[223](piuDM) menoDI = WILDERAVERAGE[223](menoDM)   REM Calcolo del ADX DX = ABS(piuDI - menoDI) / (piuDI + menoDI) * 100 myADX4h = WILDERAVERAGE[223](DX) endif

  now vorks a little better..

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  Nicolas

  

  pieroim

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