Ichimoku Kumo breakout strategy ...

December 31st, 2011, 11:56 AM

Big Mike

I will let @ Hifive5 answer, but I believe each individual indicator's "current index" will be the correctly shifted value. In other words, the indicator is doing the shifting -- not the strategy.

Mike

Teckpro;
I second Mike answer, but I would like to remind you that ichimoku Indicators are not moving averages. They uses the H/L of the bars to determine the range of a price action. That being said the calculation for Kumo (future clouds) do rely on current index. If you review all entries of my startegies you will find out that Kumo do follow action and behave the proper way to confirm Long/short entries. But this strategy is a start for us to edit and make it better. My next Ichi startegy is for day trading, and it is little bit different than the long term one. Please check it out and let me know how it works for you guys.

Regards;
HiFive5

December 31st, 2011, 04:26 PM

Hi Ichimoku traders,
My previous Ichimuko Strategy was intended to see if NT7 Wizard is capable of meeting all conditions that Patel mentioned in his last webinar and I think it worked fine, but as a �day trader� I wanted a strategy to work for day trading, so I went and created another strategy very similar to the previous one but with some minor tweak to the buy/sell and exit signals.

Strategy was created using NT7 Wizard.
The Strategy should meet 4 main conditions within Ichi Indicators ONLY in order to get into Long/Short trades.

Long Trade should meet the below conditions:

Price > Tenkan > Kijun San
Tenkan San Crossing above Kijun San
Price above clouds (Either way, if clouds going down or up, and OFFSET between cloud and price has to be above 5 ticks)

Price(5)> (SenkouSpanA > SenkouSpanB Or SenkouSpanA < SenkouSpanB)

Since wizard does not have Or condition at same �set� I created two separate �sets� to meet either one of these given conditions (see attached gif files)

Chiku span(10) > Price (26 bars ago)(Chiku above price by at least 10 ticks�still not sure which offset would work the best, but for now 10 seems to be working fine)

For� Exit Long� I used two conditions One would be for normal exit and one is force exit:
Normal Exit: Kijun San Crossing above Tenkan San

For� False Long� entries, the below condition seems to be working effectively:
Price <= KijunSan
Or
Price <= SenkouSpanA

Short Trade should meet the below conditions:

Price < Tenkan < Kijun San
Tenkan San Crossing Below Kijun San
Price Below clouds (Either way, if clouds going down or up, and OFFSET between cloud and price has to be above 5 ticks)

Price (5)< (SenkouSpanA > SenkouSpanB Or SenkouSpanA < SenkouSpanB)
Since wizard does not have Or condition at same �set� I created two separate �sets� to meet either one of these given conditions (see attached gif files)

Chiku Span(10)< Price (26 bars ago)(Chiku above price by at least 10 ticks�still not sure which offset would work the best, but for now 10 seems to be working fine)

For� Exit Short� I used two conditions one would be Normal exit and one force exit:
Normal exit: Kijun San Crossing Below Tenkan San

For� False Long� entries, the below condition seems to be working effectively:
Price >= KijunSan
Or
Price >= SenkouSpanA

Additional Indicators:
- A vertical lines (Red=Short and Green=Long) when all conditions meets.
- An �arc� line that would start from Chiku Span to the current index (To help traders to visually see if chikuSan is above/Below the price(26), in case Manual trading)
- Visual indicator to change bar color to Yellow when all Ichimoku Indicators meet conditions for Buy or Sell signal.

Additional help needed:
- Add Stop exit two tics above/below Kijun Span ( It may be high ticks for stop for some traders)
- If possible to enter trade using Bid/Ask instead market price.
- To start strategy around Eastern time for open/close market (To keep it as optional as some people may use the strategy open 24 hours)
- To fix attached zip file in order to see on chart the future Kumo clouds (If possible, if not that is fine)

Note: This Strategy Compatible with NT7 only. I found it to work great using 3M and 5M especially with YM/FDAX /CL and 6E
I do not trust NT �back testing� therefore my daily screen caps will be from Daily SIMs.
If happen to have an open trade near market close hour I will manually exit the trade, no matter what.(Trying to imitate live trade as much as possible)
Big Mike: If you think I rather start my own thread, please let me know and I will do so. Basically, my whole point here is to start a basic strategy that we all could fetch in and add/edit it to make it as robust as possible, for Ichimoku could work great on Minute frames.
Regards;
HiFive5

January 1st, 2012, 06:30 AM

Hifive5 and Big mike, thanks for the answering my question.I am also working on modifying the Ichimoku indicator to make it work on day trading on smaller time frames. Hifive5 ,I will try to understand your day trading strategy.

The approach I am taking is to modify the Ichimoku indicator and use a strategy to test with NT backtesting. So basically I am entering/exiting trades in the strategy based on the signals generated from the modified indicator.

In the indicator, I am using a 2 step approach where you get a warning for long/short entry and then a confirmation.
.
Warning is generated when TenkaSen cross above/below KjunSen.
I am still trying to perfect the confirmation condition using SenkouSpanA,SenkouSpanB and ChikouSpan.
Thats where I was trying to figure out the shifted Cloud versus the current price conditiion for confirmation.

Based on Ichimoku documentation, the shifted cloud represents the support/resistance range and also cloud color tells if sentiment is bullish/bearish.Also the cloud density can be used to determine how strong the support/resistance will be , when the price is inside the cloud.

I want to use the current cloud density(i.e point where the current price bar is) to decide my confirmation since what I see from my study of the chart is that it is better to use the density of the current cloud to decide the entry than using the shifted cloud, reason being the price action seems to honor the support/resistance of current cloud rather than the forward shifted cloud.

I am a novice with this indicator and would like you guys to comment.

January 1st, 2012, 07:33 AM

Hifive5 and Big mike, thanks for the answering my question.I am also working on modifying the Ichimoku indicator to make it work on day trading on smaller time frames. Hifive5 ,I will try to understand your day trading strategy.

The approach I am taking is to modify the Ichimoku indicator and use a strategy to test with NT backtesting. So basically I am entering/exiting trades in the strategy based on the signals generated from the modified indicator.

In the indicator, I am using a 2 step approach where you get a warning for long/short entry and then a confirmation.
.
Warning is generated when TenkaSen cross above/below KjunSen.
I am still trying to perfect the confirmation condition using SenkouSpanA,SenkouSpanB and ChikouSpan.
Thats where I was trying to figure out the shifted Cloud versus the current price conditiion for confirmation.

Based on Ichimoku documentation, the shifted cloud represents the support/resistance range and also cloud color tells if sentiment is bullish/bearish.Also the cloud density can be used to determine how strong the support/resistance will be , when the price is inside the cloud.

I want to use the cloud density to decide my confirmation since what I see from my study of the chart is that it is better to use the density of the current cloud to decide the entry than using the shifted cloud, reason being the price action seems to honor the support/resistance of current cloud rather than the forward shifted cloud.

I am a novice with this indicator and would like you guys to comment.

January 3rd, 2012, 08:48 PM

Hi there,
Attached are three charts from today's market events for FDAX/YM and 6E.
As far YM and FDAX....No entries at all during open market buy YM seems to find a sell trade around 19:00, but as I mentioned earlier in this thread, my focus will be on market real time 9:30-16:30.
6E had one false ebtry which ended with -6 ticks

Will keep them coming and I will add CL starting tomorrow.

Note: Ichimoku daily trading is little bit challanging and the strategy I put together needs tons of adjustment, but I can not do all by myself. I would like more members to fitch in their knowledge and see what we can get out of it.

Regards;
Hifive5

December 6th, 2012, 06:13 PM

Overview

I am giving up on trying to write this strategy myself in NT7, for two primary reasons.

1) I have done some basic testing of the strategy wizard, and have so far found no hard definitions of the terms used in the condition builder. Some of the behavior is unexpected - for example the bars back parameter makes no difference to the script generated when using the crossover operator. Unless otherwise advised by those that know more than I, my conclusion is that the strategy wizard is anything but newbie-proof and you have to doublecheck the script generated. My skillset is up to reading a simple script to see roughly what is going on, and is not currently up to writing script that gets the job done.

2) I have concluded that it is fine and workable for me as a simple charting/alerting package, where the indicators are written by people who really know how to code properly. Because of the previous comments on this forum regarding NT7 in general and its software quality issues, I would personally not trust NT7 to execute an automated trading strategy. I am certainly not skilled enough to be able to compensate for anything NT7 might do that ran counter to expectations.

If anyone wants to have a go at writing and testing the Kumo breakout strategy on NT7, I will be a grateful recipient of the outcome.

Other platforms

I will start a separate thread to ask which other platforms have more robust and reliable wizard/point and click type systems or simpler and higher level scripting so that I can at least test some ideas out like the Kumo breakout and others that I have, and where there is no question of any software reliability issue.

If I am going to learn this stuff, I need to do so on a platform that has no such issues, so that I can concentrate on getting my skills together without being concerned whether the software quality is at fault instead of a mistake on my part.

Similarly if I am going to hire someone to program for me, I will do this for a system which can be used operationally so will do so for a target platform where the software reliability is not and has never been an issue.

Thanks all for the attempted help. I am going to continue on this strat with either a more appropriate way of generating the code that I can get my head around, or hire someone to do the job. I have BTW got a new program - MTP Predictor. At this point I can say that their support is excellent and their regular trading room webinars superb.

Hi Overview,
I have the same problem with NT7, I aslo very much like the Kumo beakout.
I actually had the opportunity to backtest it on another platform - TraderPro from UpData(UK). Unfortunately I am finishing subscription with them because it is very expencive and I had the same problem butling with their wizard as you had with NT7 and currently I have with NT7 Condition builder. But there is non existent customer support for this TraderPro.
I actually managed to backtest simple Kumo break above or below and got good statistical results. I also noticed that sometimes the close gets under the KUmo for 3-8 days and recovers uptrend. So the stategy looses 10-15% on uptrend if it meets the condition to buy again. It is sometimes better not to sell but whait for 3-5 days and close returns within Kumo and above the Kumo. I actively traded this conditin and have not been kicked out of the trend. I have tryed as you did from the customer servce to get the anser how to create the condition when close only triggers sell if the close gets uder Kumo and stays there for 3 or 5 days. It is also true for buy trigeer.
Close crosses over Kumo and stays ther for 3 days( from my personal observations of different stocks on day frame)- that the reliable trigger because the could be false entance above the Kumo and that eats into prifits and decreses overal perfroamce of the strategy.
I know the Confirmation can be from Chikou break above or below the KUmo. It is still not as statistically relaible as some other criteria =as Close acheives new time high.
Please let me know if you managed to find any either new Platform or some programers who can can help with the script. I f you are intersted in grafs and pictures I had from TraderPro I can share it.

This is also for every-one including HiFive5 - it seems he knows a bit better then us how to harnes the Condition builder
Thank you Yours Vladimir

December 7th, 2012, 02:01 PM

Hello Hifive5,
I think if entry and exit of ichi signals can be coditioned with ADX rising and falling alongwith Diplus and Diminus rising and falling for day trading on a smaller time frame . What do you think ?
Thanks

December 9th, 2012, 10:14 AM

Hi redratsal.
I have tried to post reply just after your post in a thread but was not permitted (by the rules of this forum) to do so so this is the only way to contact you
I have been trading ichimoku for more then a year but on different platform Trader pro from UpData. It has fair good wizard to do conditions of entry and exit based on ichimoku. And I have done quite an extensive backtesting on this platform. This is expensive service but has almost non existent customer service. in particular I was straggling to find the way to trigger buy and sell as per close Kumo break up or down but with delay for 3 days - to buy; and 5-8 days to sell.( it came from hint and latter from extensive observations of daily stocks charts from Euronext and LSE). I have tested your strategy on NT7 it has good entries and exits and overall is good BUT the NT7 does not really do what the set of condones are!!!. That is a big problem I think because it is not reliable back testing - entries exits are not always according what the conditions are. Do you, by any chance, tried to figure out why it is happening? I have tried even simple strategy: Close cross above the Senkou span B to buy and Close cross below Senckou Span B to sell - just to see if the system performs what it suppose to do.- still it does not do what it suppose to do. Any Idea why? I have red the thread of Overview - poor guy gave up to do anything with NT7.
I would very much appreciate your ideas.
I run the same your strategy conditions but on different Platform- as you can see the TraderPro does do the entries and exits as per strategy conditions.

I have pictures of Charts entry exits from NT7 and TraderPro to be uploaded. But rules of the forum said that I have only 3 credits but need 5 to upload the pictures !!!???

So any member input would be appreciated- how to make the wizard to do the entries and exits on the charts according to conditions set in wizard.

yours Vlad

December 26th, 2012, 06:22 PM

Hello Hifive5

I downloaded the strategy thanks a million do you have it just as an indicator as well?

June 16th, 2014, 01:42 PM

Hi ALL.

On MQ4 you can obtain the SENKOUSPAN A and B 26 days ahead of the price doing this:

SENKOUSPANA_Future = iIchimoku(NULL, PERIOD_M30, 9, 26, 52, MODE_SENKOUSPANA, -26) SENKOUSPANB_Future = iIchimoku(NULL, PERIOD_M30, 9, 26, 52, MODE_SENKOUSPANB, -26)

Is any way to do the same on NT??

Thanks in advance,

rDc

Ichimoku Kumo breakout strategy ...

Discussion in NinjaTrader

Ichimoku Kumo breakout strategy ...