English
View on GitHub

Ichimoku Tenkan/Kijun Cross Strategy

Ichimoku indicators provide a full trend-following system. This approach focuses on the Tenkan-sen crossing the Kijun-sen while price trades relative to the Kumo cloud. A bullish cross above the cloud signals trend continuation higher, whereas a bearish cross below the cloud suggests weakness.

Testing indicates an average annual return of about 142%. It performs best in the stocks market.

During operation the strategy calculates the Ichimoku components on each bar. When Tenkan rises above Kijun and price sits above the cloud, a long trade is initiated with a stop near Kijun. A cross in the opposite direction below the cloud triggers a short with a similar stop placement.

The system stays in the trade until the stop is hit or the cross reverses, aiming to catch sustained moves that follow the direction of the cloud.

Details

  • Entry Criteria: Tenkan/Kijun cross with price relative to the Kumo cloud.
  • Long/Short: Both.
  • Exit Criteria: Stop-loss or opposite cross.
  • Stops: Yes, at Kijun level.
  • Default Values:
    • TenkanPeriod = 9
    • KijunPeriod = 26
    • SenkouSpanBPeriod = 52
    • CandleType = 30 minute
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Ichimoku
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Swing
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Ichimoku Tenkan/Kijun Cross strategy.
/// Tenkan-sen crossing above Kijun-sen while the close is above the cloud opens a long position, the opposite cross below the
/// cloud a short one. The stop is the Kijun-sen at entry; an opposite cross closes the position, reversing it when the close
/// is on the other side of the cloud.
/// </summary>
public class IchimokuTenkanKijunStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanBPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private bool? _prevTenkanAbove;
	private decimal _stopPrice;

	/// <summary>
	/// Tenkan-sen period.
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}

	/// <summary>
	/// Kijun-sen period.
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}

	/// <summary>
	/// Senkou Span B period.
	/// </summary>
	public int SenkouSpanBPeriod
	{
		get => _senkouSpanBPeriod.Value;
		set => _senkouSpanBPeriod.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public IchimokuTenkanKijunStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Period for Tenkan-sen", "Ichimoku");

		_kijunPeriod = Param(nameof(KijunPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Period for Kijun-sen", "Ichimoku");

		_senkouSpanBPeriod = Param(nameof(SenkouSpanBPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Senkou Span B Period", "Period for Senkou Span B", "Ichimoku");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevTenkanAbove = null;
		_stopPrice = default;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevTenkanAbove = null;
		_stopPrice = default;

		var ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanBPeriod }
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(ichimoku, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ichimoku);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue ichimokuIv)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (ichimokuIv is not IIchimokuValue { Tenkan: decimal tenkan, Kijun: decimal kijun, SenkouA: decimal senkouA, SenkouB: decimal senkouB })
			return;

		// Equal lines are no cross; the previous side holds.
		var wasAbove = _prevTenkanAbove;

		if (tenkan != kijun)
			_prevTenkanAbove = tenkan > kijun;

		if (wasAbove is not bool previous || !IsFormedAndOnlineAndAllowTrading())
			return;

		var bullishCross = !previous && tenkan > kijun;
		var bearishCross = previous && tenkan < kijun;
		var close = candle.ClosePrice;
		var upperKumo = Math.Max(senkouA, senkouB);
		var lowerKumo = Math.Min(senkouA, senkouB);

		if (Position > 0)
		{
			if (bearishCross && close < lowerKumo)
			{
				SellMarket(Volume + Position);
				_stopPrice = kijun;
			}
			else if (bearishCross || close <= _stopPrice)
			{
				SellMarket(Position);
			}
		}
		else if (Position < 0)
		{
			if (bullishCross && close > upperKumo)
			{
				BuyMarket(Volume - Position);
				_stopPrice = kijun;
			}
			else if (bullishCross || close >= _stopPrice)
			{
				BuyMarket(-Position);
			}
		}
		else if (bullishCross && close > upperKumo)
		{
			BuyMarket(Volume);
			_stopPrice = kijun;
		}
		else if (bearishCross && close < lowerKumo)
		{
			SellMarket(Volume);
			_stopPrice = kijun;
		}
	}
}