Ichimoku, RSI, and VWMA Strategy Variants with ATR Exits

Summary

This strategy suite combines Ichimoku components, a 14-period RSI, a 20-period volume-weighted moving average, and ATR-based exits. It offers four selectable variants: trend following, VWMA bounce, RSI-divergence reversal, and a flat-line breakout approach. Each variant uses different indicator conditions for long and short signals, while ATR sets stop and target distances at 1.5 and 3.0 times ATR by default. The code also tracks the prior signal direction to limit repeated same-direction entries.

The document explains the indicator rules and proposed benefits but supplies no backtest performance evidence. It acknowledges parameter sensitivity, lag, overtrading, complexity in interpreting Ichimoku, and simplified divergence detection. The divergence logic may miss valid patterns, and the ATR multiples remain fixed despite changing conditions. The four variants are selectable templates, not an automatic regime-selection system. Proposed improvements include better divergence detection, time and volume filters, adaptive parameters, trailing exits, and variable position sizing; these ideas are not demonstrated as tested enhancements.

Key ideas

• The system combines Ichimoku, RSI, VWMA, and ATR across four strategy variants.
• Signal conditions differ across trend, bounce, divergence, and flat-breakout approaches.
• ATR sets default stop and target distances, while prior signal state limits repeated entries.
• The document provides indicator rules but no performance results.
• Simplified divergence logic and fixed ATR multiples are acknowledged limitations.

Tags

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