Ichimoku-Style Conversion and Base Lines with a Session Filter

Summary

Despite its title and prose describing EMA crossovers, the source code builds Ichimoku-style conversion and base lines from rolling highs and lows, using lengths of 9 and 26. It smooths closing price with a short EMA, enters long when that EMA is above both lines, and enters short when it is below both. An optional trading-session filter limits entries, while positions are closed when the EMA lies between the two lines. The parameters also include a two-period EMA and an 08:00–16:00 session.

The published configuration uses BTC/USDT futures on a daily chart over roughly one year, but no performance statistics are provided. The written description says the strategy trades EMA crossovers, yet the implementation instead uses the midpoint lines and EMA position; this mismatch makes the code the clearer account of actual rules. The code’s session logic and exit conditions warrant careful review: the session expression returns false when the session option is disabled, and the close conditions apply that same filter. The document also notes whipsaw risk in choppy markets and gaps in illiquid instruments, while the source has no explicit stop-loss or position-sizing method.

Key ideas

• The source calculates conversion and base lines from rolling highs and lows with lengths of 9 and 26, then compares a short EMA with both.
• Long and short entries occur when the EMA is above both lines or below both, subject to the session condition.
• Positions close when the EMA is between the two lines, with the same session filter applied.
• The prose describes EMA crossovers, but the source implements positional conditions relative to midpoint lines instead.
• The BTC/USDT futures test configuration reports no performance statistics, and the strategy has no explicit stop-loss rule.

Tags

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