Generate a list of the top performing ichimoku cloud strategies based on simple indicator conditions of the form 'c1 > c2' (level 1), complex combined strategies of the form 'c1 > c2 & c3 > c4' (level 2), or complex asymmetric strategies of the form 'c1 > c2 x c3 > c4' (level 3).
Usage
autostrat(x, n = 8, dir = c("long", "short"), level = 1, quietly)Arguments
- x
an ichimoku object.
- n
[default 8] select top 'n' number of strategies to return.
- dir
[default 'long'] trade direction, either ‘long’ or ‘short’.
- level
[default 1] to return simple strategies. For complex strategies, set level to 2 to return combined strategies of the form 's1 & s2' or level to 3 to return asymmetric strategies of the form 's1 x s2'.
- quietly
(optional) if set to TRUE, will suppress printing of additional output to the console and return quietly.
Value
Returned invisibly, a list of ‘n’ ichimoku objects containing strategies, with attributes ‘logret’ (a vector of cumulative log returns for all strategies) and ‘summary’ (a matrix of summaries for the top ‘n’ strategies).
In addition, the strategy summaries are printed to the console.
Details
Ichimoku objects for each strategy are returned as a list. The
cumulative log returns for all strategies as well as the summaries for
the top ‘n’ strategies are saved as attributes to the list. This
information may be retrieved by using look on the returned
list.
Each individual ichimoku object may be accessed via its position in the list, e.g. [[1]] for the 1st item.
Further Details
Please refer to the strategies vignette by calling:
vignette("strategies", package = "ichimoku")
Examples
cloud <- ichimoku(sample_ohlc_data, ticker = "TKR")
stratlist <- autostrat(cloud, n = 3, quietly = TRUE)
look(stratlist)
#> $logret
#> senkouB_tenkan cloudB_tenkan senkouB_kijun cloudB_kijun low_tenkan
#> 0.144869048 0.132721126 0.124552623 0.124476092 0.119988595
#> cloudB_close high_tenkan cloudB_low senkouB_close cloudT_kijun
#> 0.117048881 0.112062056 0.110900734 0.110699399 0.103153955
#> senkouA_kijun senkouB_low cloudT_tenkan cloudT_high low_kijun
#> 0.103077424 0.101480718 0.093961798 0.088759707 0.088503030
#> senkouB_high chikou_senkouA high_kijun senkouA_tenkan close_tenkan
#> 0.086708526 0.084344426 0.083373239 0.081813876 0.079948752
#> tenkan_chikou senkouA_high cloudB_high senkouA_low senkouA_close
#> 0.078961923 0.076693196 0.074642015 0.073761187 0.073712567
#> close_kijun chikou_cloudT cloudT_close kijun_chikou cloudT_low
#> 0.071380845 0.069192621 0.067363085 0.066288776 0.064341171
#> chikou_cloudB chikou_close kijun_tenkan chikou_low chikou_senkouB
#> 0.064291073 0.062225816 0.055091789 0.053536566 0.049139267
#> senkouA_senkouB senkouB_chikou chikou_high low_chikou high_chikou
#> 0.048655509 0.045949698 0.042730532 0.041552399 0.034326207
#> close_chikou cloudB_chikou low_cloudT tenkan_kijun chikou_kijun
#> 0.032863149 0.030797893 0.030747795 0.030128362 0.028800189
#> cloudT_chikou close_cloudT kijun_close senkouB_senkouA tenkan_close
#> 0.025896344 0.024713830 0.023708120 0.023618778 0.023402736
#> close_senkouA low_senkouA high_cloudB high_senkouA tenkan_senkouA
#> 0.021376398 0.021327779 0.020446951 0.018395770 0.013275089
#> senkouA_chikou chikou_tenkan high_senkouB kijun_low high_cloudT
#> 0.010744539 0.010161327 0.008380439 0.006585935 0.006329258
#> tenkan_cloudT kijun_high low_senkouB tenkan_high kijun_senkouA
#> 0.001127167 -0.003436078 -0.006391752 -0.007150571 -0.007988459
#> kijun_cloudT low_cloudB tenkan_low close_senkouB close_cloudB
#> -0.008064990 -0.015811768 -0.015890560 -0.018622484 -0.021959916
#> tenkan_cloudB kijun_cloudB kijun_senkouB tenkan_senkouB
#> -0.037632160 -0.040858512 -0.040935043 -0.049780083
#>
#> $summary
#> [,1] [,2]
#> Strategy "senkouB > tenkan" "cloudB > tenkan"
#> --------------------- "----------" "----------"
#> Strategy cuml return % 17.49 16.08
#> Per period mean ret % 0.0906 0.0838
#> Periods in market 63 51
#> Total trades 3 3
#> Average trade length 21 17
#> Trade success % 100 100
#> Worst trade ret % 3.64 3.16
#> --------------------- "----------" "----------"
#> Benchmark cuml ret % 5.53 5.53
#> Per period mean ret % 0.0302 0.0302
#> Periods in market 178 178
#> --------------------- "----------" "----------"
#> Direction "long" "long"
#> Start 2020-04-19 23:00:00 2020-04-19 23:00:00
#> End 2020-12-23 2020-12-23
#> Ticker "TKR" "TKR"
#> [,3]
#> Strategy "senkouB > kijun"
#> --------------------- "----------"
#> Strategy cuml return % 14.1
#> Per period mean ret % 0.0741
#> Periods in market 64
#> Total trades 3
#> Average trade length 21.33
#> Trade success % 100
#> Worst trade ret % 3.49
#> --------------------- "----------"
#> Benchmark cuml ret % 5.53
#> Per period mean ret % 0.0302
#> Periods in market 178
#> --------------------- "----------"
#> Direction "long"
#> Start 2020-04-19 23:00:00
#> End 2020-12-23
#> Ticker "TKR"
#>
strat <- stratlist[[2]]
summary(strat)
#> [,1]
#> Strategy "cloudB > tenkan"
#> --------------------- "----------"
#> Strategy cuml return % 16.08
#> Per period mean ret % 0.0838
#> Periods in market 51
#> Total trades 3
#> Average trade length 17
#> Trade success % 100
#> Worst trade ret % 3.16
#> --------------------- "----------"
#> Benchmark cuml ret % 5.53
#> Per period mean ret % 0.0302
#> Periods in market 178
#> --------------------- "----------"
#> Direction "long"
#> Start 2020-04-19 23:00:00
#> End 2020-12-23
#> Ticker "TKR"
autostrat(cloud, n = 1, dir = "short", level = 2)
#> [,1]
#> Strategy "close > chikou & tenkan > senkouB"
#> --------------------- "----------"
#> Strategy cuml return % 11.21
#> Per period mean ret % 0.0597
#> Periods in market 20
#> Total trades 4
#> Average trade length 5
#> Trade success % 75
#> Worst trade ret % -0.44
#> --------------------- "----------"
#> Benchmark cuml ret % -5.24
#> Per period mean ret % -0.0302
#> Periods in market 178
#> --------------------- "----------"
#> Direction "short"
#> Start 2020-04-19 23:00:00
#> End 2020-12-23
#> Ticker "TKR"
autostrat(cloud, n = 1, dir = "long", level = 3)
#> [,1]
#> Strategy "senkouB > senkouA x kijun > low"
#> --------------------- "----------"
#> Strategy cuml return % 2.49
#> Per period mean ret % 0.0138
#> Periods in market 59
#> Total trades 3
#> Average trade length 19.67
#> Trade success % 66.67
#> Worst trade ret % -2.49
#> --------------------- "----------"
#> Benchmark cuml ret % 5.53
#> Per period mean ret % 0.0302
#> Periods in market 178
#> --------------------- "----------"
#> Direction "long"
#> Start 2020-04-19 23:00:00
#> End 2020-12-23
#> Ticker "TKR"