Filtering Ichimoku Crossovers with the Lagging Span and Cloud

Summary

This long-only strategy uses an Ichimoku conversion line and base line crossover for entries and exits, with the lagging span as an additional filter. A bullish crossover opens a long position only when the current close, plotted as the lagging span, is above both leading spans; the opposite crossover closes the position when it is below both. The published default periods are 9, 26, and 52, with a 26-period displacement for plotting. The code calculates the spans from rolling high and low averages.

The document presents the extra cloud condition as a way to require agreement across multiple trend measures, but supplies no evidence of improved accuracy or returns. Its backtest settings cover a brief BTC/USDT futures period and include no reported results. The strategy remains fully invested or flat, has no stop loss or partial position sizing, and is exposed to losses in declining markets. Its long-only design and defaults may not transfer well to other assets or market regimes.

Key ideas

• The strategy enters long on a conversion-line cross above the base line when the lagging span is above both cloud spans.
• It closes the long position on the opposite crossover when the lagging span is below both cloud spans.
• The design is long-only and does not include stop loss or partial position sizing.
• The listed BTC/USDT futures backtest settings have no accompanying performance results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.