Kijun-Sen Reversal Entries with ATR Stops and Williams %R

Summary

The strategy uses the Ichimoku Kijun-Sen as a baseline, ATR to set stop distance, and Williams %R as an optional confirmation filter. A long signal occurs when a bar opens below and closes above the Kijun-Sen; a short signal is the reverse. Williams %R thresholds can reject entries that do not agree with the intended direction. The code also sets a fixed point target and includes an equity drawdown protector. Parameters include a 14-period ATR, a 20-period Kijun-Sen, an ATR multiplier, and a Williams %R period and thresholds.

The published test settings use BTC_USDT futures with 15-minute bars and a five-minute base period over one week in September 2023. No trade or performance results are supplied. The document warns that baseline signals may lag during trend changes, stops can be hit prematurely, and optimization can overfit. Although described as volatility-based risk control, position sizing and stop conversion in the code depend on assumptions about contract units and decimal conventions; the parameters also include a currency-pair option despite the BTC futures test. These details limit how readily the settings transfer across instruments.

Key ideas

• The Kijun-Sen crossing pattern supplies long and short entry signals.
• ATR sets stop distance, while Williams %R can filter entries by direction.
• The code includes a fixed point profit target and an equity drawdown protector.
• The listed test uses short-period BTC_USDT futures data, but no performance statistics are reported.
• Stop sizing relies on instrument-specific unit assumptions, and results may be sensitive to parameters and trend changes.

Tags

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