PF1.8_0049PC_Ichimoku Kinko Hyo_T419

 

Strategy Overview

Description

Ichimoku Kinko Hyo is a trend following charting system that has been developed by a Japanese newspaper man named Goichi Hosoda. It has been used extensively in Asian trading rooms since Hosoda published his book and has been used successfully to trade currencies, commodities, futures, and stocks.

The Ichimoku chart is composed of five separate indicator lines. These lines work together to form the complete « Ichimoku picture ». A summary of how each line is calculated is outlined below:

TENKAN SEN (« turning line »)
(Highest High + Lowest Low)/2 for the past 9 periods

KIJUN SEN (« standard line »)
(Highest High + Lowest Low)/2 for the past 26 periods

CHIKOU SPAN (« lagging line »)
Current Closing Price time-shifted backwards (into the past) 26 periods

SENKOU SPAN A (« 1st leading line »)
(Tenkan Sen + Kijun Sen)/2 time-shifted forwards (into the future) 26 periods

SENKOU SPAN B (« 2nd leading line »)
(Highest High + Lowest Low)/2 for the past 52 periods time-shifted forwards (into the future) 26 periods

The lines SENKOU SPAN A and SENKOU SPAN B form the KUMO (Ichimoko Cloud).

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one at the beginning of the bar when all the following logic conditions are satisfied:

Ichimoku Kinko Hyo* (8, 28, 47) – the Tenkan Sen is higher than the Kijun Sen; and 

the position opens above the Kumo of Ichimoku Kinko Hyo* (11, 34, 38); and 

the Chikou Span of Ichimoku Kinko Hyo* (6, 27, 42) is above the closing price of the corresponding bar; and 

Ichimoku Kinko Hyo* (12, 23, 51) – the Kijun Sen is above the Kumo. 

Open a new short position or add to an existing one at the beginning of the bar when all the following logic conditions are satisfied:

Ichimoku Kinko Hyo* (8, 28, 47) – the Tenkan Sen is lower than the Kijun Sen; and 

the position opens below the Kumo of Ichimoku Kinko Hyo* (11, 34, 38); and 

the Chikou Span of Ichimoku Kinko Hyo* (6, 27, 42) is below the closing price of the corresponding bar; and 

Ichimoku Kinko Hyo* (12, 23, 51) – the Kijun Sen is below the Kumo. 

Closing (Exit Signal)

Close an existing long position at the Kijun Sen of Ichimoku Kinko Hyo* (6, 26, 66).

Close an existing short position at the Kijun Sen of Ichimoku Kinko Hyo* (6, 26, 66).

Handling of Additional Entry Signals**

Entry signal in the direction of the present position:

Add to the position no matter if it is at a profit or loss. Do not exceed the maximum allowed number of lots to open. 

Entry signal in the opposite direction:

No modification of the present position is allowed. Cancel any additional orders which are in the opposite direction. 

Trading Size

Always trade a constant number of lots.

Opening of a new position – 1 lot. 

Adding to a position – 1 lot. Do not open more than 20 lots. 

Permanent Protection

The strategy does not provide a permanent loss limitation.

————–
* Use the indicator value from the previous bar for all asterisk-marked indicators!
** The averaging rules apply to the entry signals only. Exit signals close a position. They cannot open, add or reduce one. 

Environment

Market

Symbol EURUSD
Time frame 1 Day

Account

Initial account – 10000,00 USD
Lot size – 10000
Leverage – 1/100
Required margin – 100,00 USD* for each open lot

Charges

Spread – 2 pips (2,00 USD*)
Swap number for a long position rollover – 1 pips (1,00 USD*)
Swap number for a short position rollover – -1 pips (1,00 USD*)
Commission per lot at opening and closing – 0 pips (0,00 USD*)
Slippage – 0 pips (0,00 USD*)

————–
* This value may vary! 

Strategy Properties

Handling of Additional Entry Signals

Next same direction signal behavior – Adds to the position
Next opposite direction signal behavior – Does nothing 

Trading Size

Maximum number of open lots – 20
Number of entry lots for a new position – 1
In case of addition – number of lots to add – 1
In case of reduction – number of lots to close – 1

Permanent Protection

Permanent Stop Loss – None

Indicator Slots

The slots show the logic for the long positions only. 

Strategy Properties 

Same direction signal – Add
Opposite direction signal – Nothing
Permanent Stop Loss – None

Opening Point of the Position 

Bar Opening 

Enter the market at the beginning of the bar 

Base price – Open

Opening Logic Condition 

Ichimoku Kinko Hyo 

The Tenkan Sen is higher than the Kijun Sen 

Tenkan – 8
Kijun – 28
Senkou Span B – 47
Use previous bar value – Yes

Opening Logic Condition 

Ichimoku Kinko Hyo 

The position opens above the Kumo 

Tenkan – 11
Kijun – 34
Senkou Span B – 38
Use previous bar value – Yes

Opening Logic Condition 

Ichimoku Kinko Hyo 

The Chikou Span is above the closing price 

Tenkan – 6
Kijun – 27
Senkou Span B – 42
Use previous bar value – Yes

Opening Logic Condition 

Ichimoku Kinko Hyo 

The Kijun Sen is above the Kumo 

Tenkan – 12
Kijun – 23
Senkou Span B – 51
Use previous bar value – Yes

Closing Point of the Position 

Ichimoku Kinko Hyo 

Exit the market at the Kijun Sen 

Tenkan – 6
Kijun – 26
Senkou Span B – 66
Use previous bar value – Yes

Statistic Information

Market Account
Symbol EURUSD Intrabar scanning Not accomplished
Period 1 Day Interpolation method Pessimistic scenario
Number of bars 5057 Ambiguous bars 0
Date of updating 30/12/08 Tested bars 4964
Time of updating 00:00 Initial account 10000,00 USD
Date of beginning 27/06/89 Account balance 106683,02 USD
Time of beginning 00:00 Minimum account 9088,00 USD
Minimum price 0,8229 Maximum account 107086,02 USD
Maximum price 1,6035 Maximum drawdown 21842,00 USD
Average Gap 5 pips Gross profit 216930,02 USD
Maximum Gap 477 pips Gross loss -120247,00 USD
Average High-Low 111 pips Sent orders 6415
Maximum High-Low 607 pips Executed orders 2439
Average Close-Open 57 pips Traded lots 4038
Maximum Close-Open 441 pips Winning trades 168
Maximum days off 5 Losing trades 251
Maximum data bars 20000 Win/loss ratio 0,40
No data older than No limits Time in position 71 %
No data newer than No limits Charged spread 4040,00 USD
Fill In Data Gaps Switched off Charged rollover 39997,00 USD
Cut Off Bad Data Switched off Charged commission 0,00 USD
    Charged slippage 0,00 USD
    Total charges 44037,00 USD
    Balance without charges 150720,02 USD
    Account exchange rate Not used

Additional Statistics

Parameter Long + Short Long Short
Initial account 10000,00 USD 10000,00 USD 10000,00 USD
Account balance 106683,02 USD 103601,03 USD 13081,99 USD
Net profit 96683,02 USD 93601,03 USD 3081,99 USD
Net profit % 966,83% 936,01% 30,82%
Gross profit 216930,02 USD 147088,02 USD 69842,00 USD
Gross loss -120247,00 USD -53487,00 USD -66760,00 USD
Profit factor 1,80 2,75 1,05
Annualized profit 4952,19 USD 4794,33 USD 157,86 USD
Annualized profit % 49,52% 47,94% 1,58%
Minimum account 9088,00 USD 9088,00 USD -3199,01 USD
Minimum account date 10/11/1989 10/11/1989 20/04/2005
Maximum account 107086,02 USD 104116,02 USD 24287,00 USD
Maximum account date 28/11/2008 20/05/2008 08/04/1999
Absolute drawdown 912,00 USD 912,00 USD 13199,01 USD
Maximum drawdown 21842,00 USD 10736,00 USD 27486,01 USD
Maximum drawdown % 38,39% 20,95% 113,17%
Maximum drawdown date 31/12/1996 27/05/1998 20/04/2005
Historical bars 5057 5057 5057
Tested bars 4964 4964 4964
Bars with trades 3520 1880 1640
Bars with trades % 70,91% 37,87% 33,04%
Number of trades 419 203 216
Winning trades 168 82 86
Losing trades 251 121 130
Win/loss ratio 0,67 0,68 0,66
Maximum profit 23636,00 USD 23636,00 USD 9713,00 USD
Average profit 1291,25 USD 1793,76 USD 812,12 USD
Maximum loss -3888,00 USD -2645,00 USD -3888,00 USD
Average loss -479,07 USD -442,04 USD -513,54 USD
Expected payoff 230,75 USD 461,09 USD 14,27 USD
Average holding period returns 0,80% 1,59% -12,60%
Geometric holding period returns 0,57% 1,16% 0,12%
Sharpe Ratio 0,10 0,14 -0,06



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