Quantum Strategy

AiStrat trading strategy is based primarily on Ichimoku Cloud (IC) indicator developed by Goich Hosoda. The indicator points to momentum and trend direction along with using multiple averages that create a cloud shape figure that helps trades to detect the market direction and support and resistance eras.

As shown in figure 1, when the price of the financial asset is above the cloud, the trend is up, and the system enters a long position and when the price is below the cloud the trend is down and the system enters a short position. In addition to IC we incorporate into our Ai system two other trading indicators CMF and MACD.

The Chaikin Money Flow (CMF), developed by Marc Chaikin, is an indicator that combines trade volumes and price movements to assess market direction. It calculates a volume-weighted average of accumulation and distribution over a specific timeframe. In our trading system, CMF plays a crucial role in identifying market trends. A CMF value above zero indicates an uptrend signal, while a value below zero suggests a downtrend signal.

On the other hand, the Moving Average Convergence Divergence (MACD) is a momentum indicator that measures the difference between two Exponential Moving Averages (EMA) of an asset's price. The EMA assigns more weight to recent data compared to older data, resulting in a more responsive average. By comparing the MACD to its signal line (a nine-day EMA of the MACD), the indicator predicts uptrends when the MACD crosses above the signal line and downtrends when it crosses below.

The long entry conditions are described in Equations (4)–(7) and the short entry conditions are described in Equations (8–(11). Conditions 4 and 5 for long trades and 8 and 9 for short trades are derived from IC calculations, while Conditions 6 and 10 (long and short) are derived from the CMF indicator calculations, and 7 and 11 (long and short) are derived from the MACD formula.

To develop our trading system, AiStrat, we initially tested each indicator as a standalone algorithmic trading tool for both intraday and multiple days trading of various cryptocurrencies. We examined the performance of Ichimoku Cloud (IC), Moving Average Convergence Divergence (MACD), and Chaikin Money Flow (CMF) individually.

Next, we combined IC with MACD conditions and repeated the process by combining IC with CMF. This allowed us to create systems based on the accumulation of two indicators. Finally, we constructed a Multiple Layers (MUL) system that incorporated all three indicators: IC, MACD, and CMF.

Our main objective was to determine whether different cryptocurrencies require different trading tools and identify the optimal number of indicators that would maximize the Net Profit (NP) for each cryptocurrency and time frame. In addition to NP, our algorithm calculates and reports real-time Profit Factor (PF), which is the ratio of gross profit to gross losses, as well as the percentage of profitable trades (PP) out of all trades.

Our system operates on various time frames, including 5, 15, 30, 45, 60, and 120 minutes, as well as daily bars. By evaluating the performance of different indicators and their combinations across multiple cryptocurrencies and time frames, AiStrat aims to optimize trading strategies and capitalize on profitable opportunities in the cryptocurrency market.