Chikou Span
Author: raydoan
Creation Date: 5/21/2010 2:43 PM
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raydoan

#1
I'm trying to put together an Ichimoku Strategy. It would moke my life easier if the following indicators were available as rules. Any chance of this?

Chikou Span
Kumo is Bullish - Senkou Span A is above Senkou Span B
Kumo is Bearish - Senkou Span B is above Senkou Span A
Future Kumo is Bullish - Senkou Span A is above Senkou Span B - 26 Periods Ahead
Future Kumo is Bearish - Senkou Span B is above Senkou Span A - 26 Periods Ahead
Price is >X% above indicator
Price is above indicator
Price crosses above indicator
Price Crosses below indicator
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Eugene

#2
Ichimoku - already available in Community.Indicators.

Every other rule you will find inside the "General Indicators" group (Conditions).

See tutorial videos in the Wiki on combining indicators.
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raydoan

#3
I don't see Chikou Span in the Community.Indicators.
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Eugene

#4
That doesn't mean it isn't there :)
QUOTE:
The Chikou Span (lagging span) is today's price moved back 26 periods.

Use a little creativity:

ShiftDelay
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raydoan

#5
OK, what I really want is a rule to establish that: “Close, 26 periods ago, is less than current close”. I cannot figure out Conditions/Indicators that accomplish this.
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Eugene

#6
How about using the "Price is <X% above Indicator" rule (hint: set to 0%) together with the already known "ShiftDelay" indicator (hint: use delay = 26 for Chikou Span)?
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raydoan

#7
Fine: Price is <X% above Indicator with - Price:Close, Indicator:ShiftDelay.Series(Close,26) and Percent 0.00 produces the Chikou Span Indicator.
However, it still does not produce what I'm seeking. I need to know that the 26 period ago close is less than the Chikou Span.
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Eugene

#8
QUOTE:
However, it still does not produce what I'm seeking. I need to know that the 26 period ago close is less than the Chikou Span.

In other words, you need to know that the Chikou Span is less than the Chikou Span?
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raydoan

#9
Let’s call the last close the “New Price” and the close 26 days ago the “Old Price”. The Chikou Span is an indicator that shows the relation of the New Price to the Old Price. I need to know if the Old Price is more or less than the New Price.
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Cone

#10
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raydoan

#11
I tried Momentum,26 but the results do not correlate with the Chikou Span.

After some further study I now see that the ShiftDelay,26 does not produce the Chikou Span. ShiftDelay time shifts the price plot to the right – forward. Chikou Span is time shifted to the left – in the past.

From my viewpoint, the elegant solution to my problem, would be to have the Chikou Span added to the Community.Indicators as a named indicator. Then I could just use ‘Price is >x% below Indicator.

The Chikou Span is a very important indicator to Ichimoku traders because it is used for the confirming signal for all of the Ichimoku strategies.
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Eugene

#12
OK I see.

On a second thought, the Chikou Span is not a "lagging span" altogether. It's a "peeking in the future span". You can't just lag today's price 26 bars back, because today's price wasn't available 26 days ago. So if you would try to work with today's price in the past, it does nothing but is accessing future data.

See:

* Wealth-Lab Wiki > Knowledge Base > Peeking | The Dangers of Looking Ahead in Trading System Development
* WealthScript Programming Guide > Programming Trading Strategies > Peeking.

Cone is right as always - you need the Momentum which is the difference between current price and the price a specified number of bars ago, period.
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raydoan

#13
I don’t understand how the Chikou Span is peeking into the future. It is simply a copy of the price plot moved back 26 days. In an Ichimoku chart it is a simple visual method of comparing today’s close with the close 26 days back. If the 26 day back close is less than today’s close, that is below the Chikou Span, we have bullish signal. This Chikou Span signal, together with additional bullish Ichimoku signals could add up to a buy signal.

I used - Price is <X% below indicator, Price:Close, Momentum.Series(Close,26), Percent:0.00. This gets me a plot, separated from the price plot that moves above and below zero. The zero points do not correlate with the Chikou Span crossing the price plot.
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Eugene

#14
QUOTE:
If the 26 day back close is less than today’s close, that is below the Chikou Span, we have bullish signal.

Add a rule called "Indicator is above a value", use 26-period Momentum as the Indicator, and 0 for the value. Voila.

In other words, it is the positive 26-day change as defined by the Momentum being above 0: the price 26 bars (days) back from the current bar (day) is less than the current price.
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raydoan

#15
Great! That works.

Now that you have solved my simple problem I'll start a new difficult problem.