I'm attempting to use Ichimoku to determine sentiment for a trading algorithm: bullish, bearish, neutral. The algo works on 5 min time buckets. The challange is that I cannot figure out how to get Ichimoku to operate over anything other than the default 1 min timeframe.
The link below goes to a gdoc which has a screencapture from etrade for August 17th showing what Ichimoku looks like on that day in both 5 min time (top) and 1 min (middle). As you can see Chikou is above the cloud for almost the entire day in the 5 min vs the 1 min which is very choppy. The sentiment output from my algo is also attached (bottom) and maps pretty well to the etrade 1 min chart.
I've tried to replicate every example of bucketed time that I can find on Quantconnect, but no luck. The attached code and backtest should make it easy to see what I'm trying to achieve.
Any help would be appreciated !
https://docs.google.com/document/d/1IAH3Bi16jUvU2aiYQ4I1rPrYZ9KKsxHSiQDv9xBuxOU/edit?usp=sharing