This script implements the typical way of trading off Ichimoku Clouds. The rules are quite simple:
If the lag line(Chikou Span) is above the cloud take a long position and close any short positions. If lag line is below the cloud open a short position and close any longs etc.
As extra confirmation, the script also checks that the price action is also on appropriate side of the cloud and the trigger line and base line is oriented correctly, eg. trigger line above base line for longs etc.
This script does correct position sizing based on account equity using your standard fix fractional sizing formula you can find around the internet.
galilieo987
⋅
@greatwolf, Have you tried this strategy with other market instruments?It looks from the script that you set initial capital to 200,000, but positions taken are generally about 50,000.Was there a reason, or is it just being conservative and reducing any potential drawdown on initial capital?
greatwolf
⋅
@galilieo987, I haven't tried it on other instruments, mainly backtested it on cryptos. I just applied this to gold and silver charts on the daily timeframe, seems like it could work depending on instrument.
The initial capital of 200,000 is arbitrary, you can change to however you like. The position sizes taken are influenced by the volatility of recent price action and equity risk %; in the script it's hardcoded to 9 candles though this could be changed into an adjustable parameter. The equity risk % basically dictates how much to risk per trade. In the example script here it's currently 0.5% which might explain the position sizes taken.
Likely not. This is mainly because Ichimoku is a trend following system and like any trend following strategy it tends to be weak in consolidating markets or when price action tends to whip-saw around. So I find it doesn't work as well at lower timeframes.
If the lag line(Chikou Span) is above the cloud take a long position and close any short positions. If lag line is below the cloud open a short position and close any longs etc.
As extra confirmation, the script also checks that the price action is also on appropriate side of the cloud and the trigger line and base line is oriented correctly, eg. trigger line above base line for longs etc.
This script does correct position sizing based on account equity using your standard fix fractional sizing formula you can find around the internet.