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Ichimoku Based Algorithm not executing orders
Jake Glunk
posted Dec 30, 2019

I'm new to Quantopian and just took my first shot at writing an algorithm. I based it off the Ichimoku technical analysis indicator. When I back test it, no orders are executed and I'm not sure why. 

def initialize(context):  
    context.assets = [sid(24)]  
def handle_data(context, data):  
    hist = data.history(context.assets, "price", 260, '1m')  
    log.info(hist.head())  
    ph_52 = hist.max()  
    ph_26 = hist[-130:].max()  
    ph_9 = hist[-45:].max()  
    pl_52 = hist.min()  
    pl_26 = hist[-130:].min()  
    pl_9 = hist[-45:].min()  
    tenkan = ((9-ph_9)+(9-pl_9))/2  
    kijun = ((26-ph_26)+(26-pl_26))/2  
    span_a = (tenkan+kijun)/2  
    span_b = ((52-ph_52)+(52-pl_52))/2  
    tenkan_last = tenkan[-1]  
    kijun_last = kijun[-1]  
    span_a_last = span_a[-1]  
    span_b_last = span_b[-1]  
    i = 0  
    stock = context.assets[i]  
    open_orders = get_open_orders()  
    if (tenkan_last>kijun_last) & (span_a_last > span_b_last):  
        if stock not in open_orders:  
            order_target_percent(stock, 1.0)  
    elif (kijun_last>tenkan_last) | (span_b_last > span_a_last):  
        if stock not in open_orders:  
            order_target_percent(stock, 0)
2 responses
Vladimir
Dec 31, 2019

This may help

# Ichimoku Clouds by Vladimir  
#---------------------------------------------------  
equity = symbol('SPY'); n_f = 9; n_m = 26; n_s = 52;  
#---------------------------------------------------  
def initialize(context):  
    schedule_function(Ichimoku, date_rules.every_day(), time_rules.market_open(minutes = 65))

def Ichimoku(context, data):  
    bars = n_s*2  
    H = data.history(equity, 'high', bars, '1d')  
    L = data.history(equity,'low', bars, '1d')

    tenkan_sen = (H.rolling(n_f,center = False).max() + L.rolling(n_f,center = False).min())/2  
    kijun_sen = (H.rolling(n_m,center = False).max() + L.rolling(n_m,center = False).min())/2  
    senkou_span_a = ((tenkan_sen + kijun_sen) / 2).shift(n_m)  
    senkou_span_b = ((H.rolling(n_s,center=False).max() + L.rolling(n_s,center=False).min())/2).shift(n_m)

    record(senkou_span_a = senkou_span_a[-1], senkou_span_b = senkou_span_b[-1])
Jake Glunk
Jan 4, 2020

Thanks for the help. Whats the time frame for this?

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