strat {ichimoku} | R Documentation |
Create Ichimoku Strategies
Description
Create ichimoku cloud strategies using the indicator condition 'long / short while c1 > c2'. Complex strategies can be formulated as combined 'c1 > c2 & c3 > c4' (both conditions must be satisfied) or asymmetric 'c1 > c2 x c3 > c4' (where 'c1 > c2' denotes the entry and 'c3 > c4' the exit indicator).
Usage
strat(
x,
c1 = c("close", "chikou", "open", "high", "low", "tenkan", "kijun", "senkouA",
"senkouB", "cloudT", "cloudB"),
c2 = c("tenkan", "kijun", "senkouA", "senkouB", "cloudT", "cloudB", "chikou", "close",
"open", "high", "low"),
c3 = c("close", "chikou", "open", "high", "low", "tenkan", "kijun", "senkouA",
"senkouB", "cloudT", "cloudB"),
c4 = c("tenkan", "kijun", "senkouA", "senkouB", "cloudT", "cloudB", "chikou", "close",
"open", "high", "low"),
dir = c("long", "short"),
type = 2
)
Arguments
x |
an ichimoku object. |
c1 |
[default 'close'] column name specified as a string. |
c2 |
[default 'tenkan'] column name specified as a string. |
c3 |
(optional) column name specified as a string. |
c4 |
(optional) column name specified as a string. |
dir |
[default 'long'] trade direction, either 'long' or 'short'. |
type |
[default 2] if 'c3' and 'c4' are specified, type 2 will create the combined strategy 'c1 > c2 & c3 > c4' whilst type 3 will create the asymmetric strategy 'c1 > c2 x c3 > c4'. |
Details
The following assumption applies to all strategies: confirmation of whether a condition is satisfied is received at the 'close' of a particular period, and a transaction is initiated at the immediately following 'open'. All transactions occur at the 'open'.
By default, the periods in which the strategy results in a position is
shaded on the ichimoku cloud chart and the strategy is printed as the
chart message (if not otherwise specified). To turn off this behaviour,
pass the strat = FALSE
argument to plot() or iplot().
Value
An ichimoku object augmented with the strategy.
Ichimoku Object Specification for Strategies
The ichimoku object is augmented with the following additional elements:
Columns [numeric]:
-
$cond
: a boolean vector if the indicator condition is met -
$posn
: a boolean vector indicating if a position is held -
$txn
: a vector representing the transactions to implement the position (1 = enter position, -1 = exit position) -
$logret
: a vector of log returns -
$slogret
: a vector of log returns for the strategy -
$ret
: a vector of discrete returns -
$sret
: a vector of of discrete returns for the strategy
Attributes:
-
$strat
: the strategy summary [matrix]
The strategy summary may be accessed by the summary()
method for
ichimoku objects or via look
.
Complex Strategies
For complex strategies: 's1' denotes the strategy 'c1 > c2' and 's2' denotes the strategy 'c3 > c4'.
Combined strategy 's1 & s2': indicator conditions in 's1' and 's2' have to be met simulateneously for a position to be taken. The column
$cond
will show when both conditions are metAsymmetric strategy 's1 x s2': indicator condition in 's1' has to be met to enter a position, and indicator condition in 's2' to exit a position. These rules are applied recursively over the length of the data. The column
$cond
will show when the indicator condition is met in 's1'
Further Details
Please refer to the strategies vignette by calling:
vignette("strategies", package = "ichimoku")
Examples
cloud <- ichimoku(sample_ohlc_data, ticker = "TKR")
strat <- strat(cloud, c1 = "tenkan", c2 = "cloudB", dir = "short")
summary(strat)
plot(strat)
strat2 <- strat(cloud, c1 = "cloudT", c2 = "kijun", c3 = "cloudT", c4 = "close")
summary(strat2)
plot(strat2)