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Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos

Fotis

Quantitative Finance & Technical Trading

Ichimoku Clouds R Code Trading

**Download the full program here**

Here you can find an R Code for Ichimoku Clouds analysis and trading.

Have fun!

# The function for computing the Ichimoku cloud

ichimoku <- function(data,pars)

{

# REMEMBER THAT THE DATA SHOULD BE IN ORDER

#

# HIGH, LOW and CLOSE

#

# ==========================================

# Number of observations

Nobs <- NROW(data)

# Get the three parameters

p1 <- pars[1]

p2 <- pars[2]

p3 <- pars[3]

# The maximum of these should be p3, check

if ((p1 > p2) | (p1 > p3) | (p2 > p3))

{

stop(“parameters should enter in ascending order”)

}

# Set the max

maxp <- p3

# You will leave out maxp observations

cloud.lines <- matrix(0,nrow=Nobs-maxp,ncol=5)

colnames(cloud.lines) <- c(“Tenkan”,”Kijun”,”SenkouA”,”SenkouB”,”Chikou”)

# Run a loop to make the computations

for (i in seq(maxp+1,Nobs,1))

{

# Compute the cloud lines

tenkan <- (max(data[seq(i-p1,i,1),1])+min(data[seq(i-p1,i,1),2]))/2

kijun <- (max(data[seq(i-p2,i,1),1])+min(data[seq(i-p2,i,1),2]))/2

senkouA<- (tenkan+kijun)/2

senkouB<- (max(data[seq(i-p3,i,1),1])+min(data[seq(i-p3,i,1),2]))/2

chikou <- data[i,3]

# Save in appropriate places

cloud.lines[(i-maxp),] <- c(tenkan,kijun,senkouA,senkouB,chikou)

}

# OK, now align them correctly: SenkouA and SenkouB are moved p2 periods forward

# while Chikou is moved p2 periods backward…

A1 <- rbind(cloud.lines[,1:2],matrix(NA,p2,2))

A2 <- rbind(matrix(NA,p2,2),cloud.lines[,3:4])

A3 <- c(cloud.lines[(p2+1):(Nobs-maxp),5],matrix(NA,2*p2,1))

new.cloud.lines <- cbind(A1,A2,A3)

colnames(new.cloud.lines) <- colnames(cloud.lines)

# Align the data as well

new.data <- rbind(data[(maxp+1):Nobs,],matrix(NA,p2,3))

colnames(new.data) <- colnames(data)

# OK, return everything

return(list(data=new.data,cloud.lines=new.cloud.lines))

}

# Set the ichimoku parameters

pars <- c(50,100,120)

out <- ichimoku(x,pars)

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos

Fotis

Quantitative Finance & Technical Trading

Ichimoku Clouds R Code Trading

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