Visualization and Tools for Ichimoku Kinko Hyo Strategies
An implementation of ‘Ichimoku Kinko Hyo’, also commonly known as ‘cloud charts’. Static and interactive visualizations with tools for creating, backtesting and development of quantitative ‘ichimoku’ strategies. As described in Sasaki (1996, ISBN:4925152009), the technique is a refinement on candlestick charting originating from Japan, now in widespread use in technical analysis worldwide. Translating as ‘one-glance equilibrium chart’, it allows the price action and market structure of financial securities to be determined ‘at-a-glance’.
Install the released version of ichimoku from CRAN:
Or install the development version of ichimoku from GitHub with:
Load package and sample price data:
Simply ichimoku() and plot():
autostrat() to automatically generate top-performing strategies:
autostrat(cloud, n = 3)
#> [,1] [,2] [,3]
#> Strategy "senkouB > tenkan" "cloudBase > kijun" "senkouB > kijun"
#> --------------------- "----------" "----------" "----------"
#> Strategy cuml return % 14.72 11.96 11.7
#> Per period mean ret % 0.0886 0.0729 0.0714
#> Periods in market 57 38 57
#> Total trades 3 3 3
#> Average trade length 19 12.67 19
#> Trade success % 66.67 66.67 66.67
#> Worst trade ret % -0.31 -0.31 -0.31
#> --------------------- "----------" "----------" "----------"
#> Benchmark cuml ret % 0.94 0.94 0.94
#> Per period mean ret % 0.006 0.006 0.006
#> Periods in market 155 155 155
#> --------------------- "----------" "----------" "----------"
#> Direction "long" "long" "long"
#> Start 2020-04-02 2020-04-02 2020-04-02
#> End 2020-09-29 2020-09-29 2020-09-29
#> Ticker "TKR" "TKR" "TKR"R package site: https://shikokuchuo.net/ichimoku/
CRAN page: https://CRAN.R-project.org/package=ichimoku