Strategy Tester

Strategy Name

Ichimoku Kinko Hyo

The Ichimoku indicator was published in 1969 by a reporter, Ichimoku Kinkou Hyo, in Japan. This indicator is comprised of five lines called the Tenkan-sen, Kijun-sen, Senkou span A, Senkou span B and Chikou span. The green and red areas between the Senkou span A and Senkou span B are called Kumo or Cloud. A buy signal is generated when the price crosses from below to above the Ichimoku Cloud and the Tenkan-sen is above the Kijun-sen. When the price or the Tenkan-sen line crosses below the Kijun-sen line or the price crosses below the upper Cloud's edge, we want to take profits and exit our trade. In this backtest, we used the components of the Russell 1000 index as a stock universe. The 'ichi_pcac' term in the formula for opening a position means 'price crossed above cloud'.

Position Type

Long

Strategy Definition

Criteria for Opening a Position:	index(russell1000) and (ichimoku(9,26,52) ichi_pcac) and tenkan(9,26,52) > kijun(9,26,52)

Criteria for Closing a Position:	tenkan(9,26,52) < kijun(9,26,52) or ichimoku(9,26,52) ichi_pic or price < tenkan(9,26,52)

Backtest Parameters

Initial Capital:	$10,000
Capital at Risk:	30% per trade
Portfolio Max Size:	20 positions
Testing Model:	Close prices
Comm. per Trade:	0.1%

Period:

1/1/2019 - 12/31/2019

The report displays results for the current year only. Please sign up to view the full report.

Results

Total Profit:

$592

Total Trades:

130

Capital Growth:

Profit Trades, % of Total:

40%

Profit Factor: [?]

1.12

Max Drawdown

14%($1,739)

Expected Payoff: [?]

$4.55

Abs Drawdown

0%($0)

Payoff Ratio: [?]

1.68

Avg Market Impact [?]

Minor

Avg Annual Return, %:

5.92%

Equity Graph

Performance

Year	Total	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	5.92	4.45	0.80	4.92	7.90	1.80	-1.55	0.25	0.17	-2.74	-8.93	1.61	-1.90

Export

Performed Trades:

Top 100

All

Symbol	Entry Date	Entry Price, $	Exit Date	Exit Price, $	Shares	Profit, $	Exit On	Market Impact [?]
BKI	12/13/2019	63.14	12/13/2019	63.14	49	-6.19	Period End
BAX	12/11/2019	83.01	12/13/2019	83.96	37	28.97	Period End
F	12/10/2019	9.07	12/13/2019	9.23	349	49.45	Period End
CAG	12/09/2019	29.30	12/11/2019	28.63	108	-78.62	Close Signal
CCL	12/09/2019	45.41	12/10/2019	45.32	69	-12.47	Close Signal
CPB	12/02/2019	47.14	12/13/2019	47.86	65	40.63	Close Signal
GIS	12/02/2019	53.48	12/09/2019	53.16	57	-24.32	Close Signal
ALKS	11/22/2019	21.01	12/02/2019	20.57	146	-70.31	Close Signal
CVX	11/21/2019	118.77	11/22/2019	118.63	25	-9.43	Close Signal
ABMD	11/20/2019	185.25	11/21/2019	186.66	16	16.61	Close Signal
ALXN	11/19/2019	110.65	11/20/2019	108.53	27	-63.16	Close Signal
ABT	11/08/2019	83.74	11/19/2019	84.29	36	13.75	Close Signal
ADBE	11/07/2019	290.77	12/02/2019	302.75	10	113.86	Close Signal
AYI	11/05/2019	131.82	11/08/2019	128.08	23	-92.00	Close Signal
CIT	11/05/2019	45.92	11/07/2019	44.96	68	-71.46	Close Signal
BDX	10/30/2019	255.95	11/05/2019	246.68	12	-117.27	Close Signal
ABC	10/28/2019	87.39	10/30/2019	85.85	36	-61.68	Close Signal
CMCSA	10/25/2019	45.65	10/28/2019	45.44	69	-20.78	Close Signal
ALGN	10/24/2019	249.47	12/09/2019	273.46	13	305.07	Close Signal
AFL	10/24/2019	52.56	11/05/2019	52.94	61	16.74	Close Signal
ALB	10/23/2019	67.46	10/25/2019	63.59	48	-192.05	Close Signal
AKAM	10/23/2019	90.22	10/24/2019	89.58	36	-29.51	Close Signal
AMD	10/21/2019	32.03	10/23/2019	31.36	102	-74.81	Close Signal
AWI	10/16/2019	97.75	10/23/2019	98.01	33	2.12	Close Signal
FISV	10/15/2019	106.89	10/21/2019	104.44	30	-79.84	Close Signal
DTE	10/15/2019	129.03	10/16/2019	129.26	25	-0.71	Close Signal
LPT	10/14/2019	50.85	10/15/2019	50.89	64	-3.95	Close Signal
ALB	10/11/2019	68.91	10/14/2019	67.56	48	-71.35	Close Signal
EXPE	10/10/2019	135.99	10/24/2019	137.14	24	21.04	Close Signal
IBM	10/10/2019	141.13	10/11/2019	142.76	23	30.96	Close Signal
C	10/09/2019	67.43	10/10/2019	68.62	49	51.64	Close Signal
CAH	10/09/2019	45.30	10/10/2019	46.05	72	47.42	Close Signal
ASH	10/08/2019	75.97	10/09/2019	74.81	44	-57.67	Close Signal
DPZ	10/08/2019	253.48	10/09/2019	248.19	13	-75.29	Close Signal
AGO	10/07/2019	44.14	10/08/2019	43.90	76	-24.93	Close Signal
BPOP	10/04/2019	54.29	10/08/2019	52.72	62	-103.97	Close Signal
ANAT	10/04/2019	118.70	10/07/2019	118.00	28	-26.23	Close Signal
ALB	10/03/2019	67.23	10/04/2019	66.32	50	-52.18	Close Signal
AME	10/03/2019	87.39	10/04/2019	88.83	38	48.02	Close Signal
MKC	10/01/2019	166.95	10/14/2019	163.01	20	-85.40	Close Signal
ALB	09/30/2019	69.52	10/01/2019	68.31	49	-66.04	Close Signal
AYI	09/27/2019	132.29	10/01/2019	129.46	26	-80.39	Close Signal
FITB	09/27/2019	27.48	09/30/2019	27.38	126	-19.51	Close Signal
AES	09/26/2019	16.22	10/02/2019	15.70	217	-119.77	Close Signal
BSX	09/26/2019	42.35	09/27/2019	40.31	83	-176.18	Close Signal
AA	09/25/2019	21.50	09/26/2019	20.99	165	-91.16	Close Signal
ADI	09/25/2019	112.68	09/26/2019	113.14	31	7.26	Close Signal
HAIN	09/24/2019	21.55	09/27/2019	21.54	165	-8.76	Close Signal
DOW	09/19/2019	47.64	09/24/2019	46.60	74	-83.93	Close Signal
ASH	09/17/2019	77.49	09/24/2019	76.54	45	-49.68	Close Signal
ALKS	09/16/2019	22.83	09/17/2019	21.43	158	-228.19	Close Signal
BBT	09/09/2019	50.36	09/24/2019	52.04	70	110.43	Close Signal
FAST	09/06/2019	31.38	09/19/2019	32.21	114	87.37	Close Signal
AZO	09/06/2019	1,143.34	09/09/2019	1,127.19	3	-55.26	Close Signal
AEE	08/29/2019	76.66	09/06/2019	75.71	45	-49.61	Close Signal
IRM	08/28/2019	31.00	09/16/2019	32.28	112	136.27	Close Signal
HES	08/28/2019	61.19	08/29/2019	61.99	56	37.90	Close Signal
ADP	08/26/2019	165.99	08/28/2019	166.40	21	1.63	Close Signal
AIV	08/26/2019	50.65	08/28/2019	50.58	68	-11.64	Close Signal
DLR	08/15/2019	119.55	08/23/2019	119.71	28	-2.22	Close Signal
KOS	08/12/2019	6.32	08/15/2019	6.06	553	-150.63	Close Signal
BC	08/08/2019	48.06	08/12/2019	46.30	73	-135.37	Close Signal
CHD	08/07/2019	75.66	08/23/2019	78.50	46	123.55	Close Signal
CAG	08/07/2019	27.97	08/08/2019	28.20	126	21.90	Close Signal
ADS	08/06/2019	152.69	08/07/2019	152.42	23	-13.23	Close Signal
ARE	08/06/2019	143.34	08/07/2019	143.42	24	-4.96	Close Signal
CAG	08/05/2019	28.00	08/06/2019	27.64	127	-52.79	Close Signal
AMT	07/31/2019	210.72	09/06/2019	231.60	17	347.44	Close Signal
CNK	07/31/2019	39.57	08/06/2019	39.07	90	-52.08	Close Signal
ARE	07/30/2019	147.06	07/31/2019	145.41	24	-46.62	Close Signal
OGE	07/29/2019	42.67	08/05/2019	41.59	82	-95.47	Close Signal
TSLA	07/29/2019	235.77	07/30/2019	242.26	14	84.17	Close Signal
AES	07/26/2019	16.80	07/29/2019	16.92	210	18.12	Close Signal
JBHT	07/16/2019	97.27	07/31/2019	101.89	36	159.15	Close Signal
LEG	07/16/2019	38.92	07/29/2019	38.61	90	-34.88	Close Signal
EMN	07/11/2019	74.67	07/26/2019	77.01	47	102.85	Close Signal
ANAT	07/11/2019	120.87	07/16/2019	120.39	29	-20.92	Close Signal
DLB	07/10/2019	63.41	07/11/2019	63.76	56	12.48	Close Signal
AES	07/08/2019	17.01	07/10/2019	16.85	209	-40.52	Close Signal
ADM	07/03/2019	41.48	07/16/2019	40.44	86	-96.49	Close Signal
APH	07/01/2019	97.61	07/11/2019	96.65	36	-41.55	Close Signal
A	06/28/2019	74.35	07/08/2019	73.68	47	-38.45	Close Signal
AMP	06/28/2019	144.13	07/01/2019	144.71	24	6.99	Close Signal
AAPL	06/26/2019	198.45	06/28/2019	196.58	18	-40.77	Close Signal
CAT	06/25/2019	132.69	07/03/2019	134.55	27	43.00	Close Signal
CBT	06/25/2019	45.08	06/26/2019	45.29	79	9.45	Close Signal
ALXN	06/21/2019	132.39	06/28/2019	130.98	27	-45.18	Close Signal
AMAT	06/18/2019	42.12	06/25/2019	41.79	84	-34.77	Close Signal
BDN	06/17/2019	15.08	06/18/2019	14.90	235	-49.35	Close Signal
CAG	06/13/2019	29.58	06/17/2019	29.13	120	-61.05	Close Signal
DLTR	06/12/2019	108.05	06/25/2019	108.95	31	21.17	Close Signal
ABC	06/03/2019	80.00	06/21/2019	84.07	41	160.14	Close Signal
CNC	05/29/2019	56.23	06/03/2019	51.82	61	-275.60	Close Signal
MOH	05/28/2019	132.00	06/13/2019	148.08	26	410.80	Close Signal
ARMK	05/28/2019	31.54	06/12/2019	34.72	108	336.28	Close Signal
CCI	05/23/2019	125.60	05/28/2019	124.05	27	-48.59	Close Signal
ARMK	05/20/2019	31.51	05/23/2019	31.03	109	-59.14	Close Signal

Best viewed in