Kijun-Sen Crossovers with ATR Stops and Equity Protection

Summary

This trend-following strategy uses the Ichimoku Kijun-sen, calculated as the midpoint of the recent high and low range over a chosen period. A candle opening below and closing above the line triggers a long entry; opening above and closing below triggers a short entry. Positions can close when price crosses back over the Kijun-sen, or through a stop-loss and profit target. The accompanying code also sizes trades from account balance and a stated risk percentage, and closes positions if floating losses exceed an equity-protection threshold.

The document provides parameters for the Kijun period, ATR-based stop, risk, equity protection, and target, plus a published hourly BTC/USDT futures backtest configuration spanning about a month. It supplies no performance results. The prose cautions that frequent crossings can raise trading costs, signals can fail in choppy markets, and behavior varies by instrument. The implementation's ATR stop scales ATR by a fixed factor, and the code's position sizing and contract conversion assumptions may be venue-specific. These details and the lack of reported results call for independent implementation checks and backtesting.

Key ideas

• The Kijun-sen is the midpoint of the period's highest high and lowest low.
• A candle crossing the line from below triggers a long, while a cross from above triggers a short.
• Positions can exit on an opposing price cross, an ATR-based stop, or a target.
• The code includes balance-based sizing and an equity-protection close condition.
• Frequent crossings, market-specific behavior, and missing performance results limit the evidence for the strategy.

Tags

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