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ichimoku

Visualization and Tools for Ichimoku Kinko Hyo Strategies

An implementation of ‘Ichimoku Kinko Hyo’, also commonly known as ‘cloud charts’. Static and interactive visualizations with tools for creating, backtesting and development of quantitative ‘ichimoku’ strategies. As described in Sasaki (1996, ISBN:4925152009), the technique is a refinement on candlestick charting, originating from Japan and now in widespread use in technical analysis worldwide. Translating as ‘one-glance equilibrium chart’, it allows the price action and market structure of financial securities to be determined ‘at-a-glance’. Incorporates an interface with the OANDA fxTrade API https://developer.oanda.com/ for retrieving historical and live streaming price data for major currencies, metals, commodities, government bonds and stock indices.

Quick Start

library(ichimoku)

Simply ichimoku() and plot():

cloud <- ichimoku(sample_ohlc_data, ticker = "TKR")
plot(cloud, window = "2020-05/")

ichimoku kinko hyo

autostrat() to automatically evaluate and rank top-performing strategies:

autostrat(cloud, n = 3)
#>                        [,1]               [,2]              [,3]             
#> Strategy               "senkouB > tenkan" "cloudB > tenkan" "senkouB > kijun"
#> ---------------------  "----------"       "----------"      "----------"     
#> Strategy cuml return % 17.49              16.08             14.1             
#> Per period mean ret %  0.0906             0.0838            0.0741           
#> Periods in market      63                 51                64               
#> Total trades           3                  3                 3                
#> Average trade length   21                 17                21.33            
#> Trade success %        100                100               100              
#> Worst trade ret %      3.64               3.16              3.49             
#> ---------------------  "----------"       "----------"      "----------"     
#> Benchmark cuml ret %   5.53               5.53              5.53             
#> Per period mean ret %  0.0302             0.0302            0.0302           
#> Periods in market      178                178               178              
#> ---------------------  "----------"       "----------"      "----------"     
#> Direction              "long"             "long"            "long"           
#> Start                  2020-04-20         2020-04-20        2020-04-20       
#> End                    2020-12-23         2020-12-23        2020-12-23       
#> Ticker                 "TKR"              "TKR"             "TKR"

Principal ichimoku functions

Data & Visualization

ichimoku() - to create an ichimoku object from price data.
plot() / iplot() - to plot (interactive) cloud charts from ichimoku objects.
archive() - for reading/writing objects to/from archive files with data verification.
oanda() - to retrieve price data from the OANDA fxTrade API.

Strategies & ML

strat() - to augment an ichimoku object with a strategy, including combined and asymmetric strategies.
autostrat() - to automatically evaluate and rank top-performing strategies.
mlgrid() - to generate a numeric representation of the ichimoku cloud chart.
relative() - to produce a statistical summary of the latest ichimoku numeric representation relative to historical values.

Real-time

oanda_chart() - to plot real-time ichimoku cloud charts using OANDA data.
oanda_studio() - a complete live analysis environment using OANDA data implemented in R Shiny.
oanda_stream() / oanda_quote() - to obtain the latest live data stream / quote from the OANDA fxTrade API.
oanda_view() - for a market overview showing the relative performance of constituents.
oanda_orders() / oanda_positions() - to retrieve the aggregate OANDA fxTrade order / position book.

Vignettes

Long-form documentation links:

{ 1 } Cloud Charts - The Reference Manual

{ 2 } Beyond Visualization - Quantitative Strategies

{ 3 } Auxiliary Functions

{ 4 } The OANDA fxTrade API

Installation

Install the latest release from CRAN or R-multiverse:

install.packages("ichimoku")

The current development version is available from R-universe:

install.packages("ichimoku", repos = "https://shikokuchuo.r-universe.dev")

References

Sasaki, H. 佐々木英信 (1996), 一目均衡表の研究 [ichimoku kinkouhyou no kenkyuu]. Tokyo, Japan: Toushi Radar.

‘OANDA’ and ‘fxTrade’ are trademarks owned by OANDA Corporation, an entity unaffiliated with the ichimoku package.

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◈ ichimoku R package: https://shikokuchuo.net/ichimoku/.

Listed CRAN Finance Task View: https://cran.r-project.org/view=Finance.

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Please note that this project is released with a Contributor Code of Conduct. By participating in this project you agree to abide by its terms.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.