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Strategy Name Ichimoku Kinko Hyo
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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'.
Type of Positions Long
 Position Opening 
Criteria for Opening a Position: index(russell1000) and (ichimoku(9,26,52) ichi_pcac) and tenkan(9,26,52) > kijun(9,26,52)
Order Execution Model: Close Prices
 Position Closing 
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)
Order Execution Model: Close Prices
 Backtest Parameters 
Initial Capital: $10,000
Capital at Risk: 30% per trade
Portfolio Max Size: 20 positions
Comm. per Trade: 0.05%  
Avg Bid-Ask Spread: 0.1%  
Period: 1/1/2020 - 12/31/2020
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $822   Total Trades: 122  
Capital Growth:8.22%   Profit Trades, % of Total:42%  
Profit Factor: [?] 1.14  Avg Trade Duration, days:4.25  
Payoff Ratio: [?] 1.58   Avg Profit per Trade:0.27%  
Max Drawdown:17%   Avg Profit per Day:0.062%  
Restoration Factor: [?] 0.47   Avg Market Impact: [?]
Minor  
 
Avg Annual Return: 8.22%   Overall Viability Score: [?]
4 / 10
 
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2020 8.22 -5.08 -4.98 -5.17 11.76 7.74 0.48 -2.19 9.40 -2.26
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 AVY 09/25/2020 119.30 09/29/2020 123.69 26 107.77  Period End Minor
 ED 09/25/2020 75.77 09/29/2020 76.74 41 33.50  Period End Minor
 ENTG 09/25/2020 69.22 09/29/2020 73.59 45 190.12  Period End Minor
 JBL 09/24/2020 34.41 09/25/2020 33.44 92 -95.44  Close Signal Minor
 JEF 09/24/2020 18.23 09/25/2020 18.29 174 4.08  Close Signal Minor
 MAT 09/24/2020 11.33 09/25/2020 11.33 280 -6.34  Close Signal Minor
 MU 09/23/2020 49.85 09/24/2020 49.47 63 -30.19  Close Signal Minor
 ATVI 09/22/2020 82.65 09/23/2020 80.13 38 -101.90  Close Signal Minor
 SBAC 09/22/2020 313.20 09/23/2020 305.13 10 -86.84  Close Signal Minor
 UA 09/22/2020 9.53 09/23/2020 10.00 335 150.83  Close Signal Minor
 OLN 09/21/2020 12.95 09/22/2020 12.45 244 -128.14  Close Signal Minor
 ALK 09/15/2020 42.18 09/18/2020 41.04 75 -91.70  Close Signal Minor
 TPR 09/10/2020 15.80 09/22/2020 16.62 202 159.01  Close Signal Minor
 CPRI 09/10/2020 19.97 09/22/2020 20.50 159 77.79  Close Signal Minor
 CERN 09/09/2020 71.57 09/10/2020 70.38 45 -59.91  Close Signal Minor
 SIX 09/08/2020 22.80 09/10/2020 22.33 139 -71.57  Close Signal Minor
 AFL 09/04/2020 37.86 09/08/2020 36.94 84 -83.52  Close Signal Minor
 VIRT 09/03/2020 26.32 09/15/2020 26.34 119 -3.89  Close Signal Minor
 MAR 08/21/2020 95.27 09/09/2020 102.01 32 209.26  Close Signal Minor
 EV 08/21/2020 38.41 09/04/2020 40.13 80 131.25  Close Signal Minor
 EEFT 08/20/2020 100.04 08/21/2020 99.93 30 -9.30  Close Signal Minor
 LUV 08/20/2020 34.46 08/21/2020 34.69 89 14.31  Close Signal Minor
 ACM 08/19/2020 38.49 08/20/2020 38.70 78 10.35  Close Signal Minor
 ADSK 08/17/2020 239.00 08/19/2020 241.42 12 23.26  Close Signal Minor
 ALL 08/14/2020 96.12 08/17/2020 95.23 31 -33.51  Close Signal Minor
 ACM 08/11/2020 39.24 08/14/2020 38.72 76 -45.43  Close Signal Minor
 BKI 07/30/2020 74.74 09/03/2020 81.72 40 272.80  Close Signal Minor
 ARW 07/30/2020 69.69 08/20/2020 74.82 43 214.27  Close Signal Minor
 APA 07/30/2020 16.01 08/11/2020 15.59 190 -85.76  Close Signal Minor
 AIZ 07/28/2020 105.98 07/30/2020 105.28 29 -26.42  Close Signal Minor
 CPB 07/28/2020 50.23 07/30/2020 49.31 61 -62.16  Close Signal Minor
 MAN 07/24/2020 72.01 07/28/2020 70.82 41 -54.62  Close Signal Minor
 BAX 07/20/2020 87.82 07/30/2020 86.01 34 -67.42  Close Signal Minor
 LH 07/13/2020 178.26 07/28/2020 196.54 16 286.34  Close Signal Minor
 UNH 07/13/2020 299.71 07/24/2020 300.79 9 4.31  Close Signal Minor
 NEM 07/07/2020 62.47 07/13/2020 59.54 46 -140.33  Close Signal Minor
 CAG 06/29/2020 33.70 07/20/2020 36.20 86 208.88  Close Signal Minor
 HPQ 06/26/2020 16.61 07/07/2020 16.63 168 -2.23  Close Signal Minor
 BA 06/26/2020 170.01 06/29/2020 194.49 16 385.65  Close Signal Minor
 DLR 06/25/2020 143.07 06/26/2020 140.41 20 -58.84  Close Signal Minor
 HBAN 06/25/2020 9.89 06/26/2020 8.80 293 -324.69  Close Signal Minor
 BA 06/23/2020 187.88 06/24/2020 176.69 15 -173.23  Close Signal Minor
 USB 06/23/2020 38.58 06/24/2020 36.87 77 -137.41  Close Signal Minor
 ATO 06/22/2020 100.12 06/23/2020 98.84 30 -44.35  Close Signal Minor
 CNP 06/22/2020 18.05 06/23/2020 18.18 166 15.56  Close Signal Minor
 ALL 06/19/2020 98.73 06/22/2020 97.16 30 -52.95  Close Signal Minor
 AES 06/18/2020 13.44 06/22/2020 13.98 225 115.27  Close Signal Minor
 CNP 06/17/2020 18.46 06/19/2020 17.79 163 -115.06  Close Signal Minor
 DISCA 06/17/2020 22.17 06/18/2020 22.52 135 41.19  Close Signal Minor
 ALKS 06/16/2020 17.18 07/13/2020 19.03 176 319.06  Close Signal Minor
 AIV 06/16/2020 40.51 06/17/2020 39.13 74 -107.96  Close Signal Minor
 BOKF 06/15/2020 58.68 06/17/2020 59.54 51 37.81  Close Signal Minor
 AFL 06/15/2020 37.12 06/16/2020 37.35 81 12.59  Close Signal Minor
 AIZ 06/15/2020 107.12 06/16/2020 108.52 28 33.14  Close Signal Minor
 AA 06/12/2020 11.53 06/15/2020 11.41 262 -37.43  Close Signal Minor
 AIG 06/12/2020 33.04 06/15/2020 33.19 91 7.62  Close Signal Minor
 AMTD 06/12/2020 39.28 06/15/2020 39.48 77 9.33  Close Signal Minor
 AA 06/04/2020 11.64 06/11/2020 10.42 246 -305.40  Close Signal Minor
 DKS 05/21/2020 30.84 06/11/2020 36.17 92 483.95  Close Signal Minor
 HEI 05/21/2020 93.11 06/11/2020 105.17 30 355.67  Close Signal Minor
 BRKR 05/15/2020 41.53 06/04/2020 42.79 66 77.55  Close Signal Minor
 AOS 05/15/2020 40.41 05/21/2020 42.68 68 148.63  Close Signal Minor
 ALGN 05/14/2020 206.09 05/15/2020 203.67 13 -36.77  Close Signal Minor
 AME 05/14/2020 78.75 05/15/2020 79.59 35 23.84  Close Signal Minor
 TREE 05/12/2020 242.55 05/13/2020 233.10 11 -109.13  Close Signal Minor
 A 05/05/2020 76.37 05/21/2020 80.75 32 135.06  Close Signal Minor
 ADP 05/04/2020 144.48 05/12/2020 141.73 17 -51.59  Close Signal Minor
 CERN 05/04/2020 67.06 05/05/2020 68.47 37 47.13  Close Signal Minor
 CHE 05/01/2020 427.28 05/04/2020 416.00 5 -60.59  Close Signal Minor
 STLD 05/01/2020 24.41 05/04/2020 24.32 102 -14.15  Close Signal Minor
 ARW 04/30/2020 62.92 05/01/2020 62.39 40 -26.20  Close Signal Minor
 ADP 04/28/2020 143.01 05/01/2020 140.42 17 -48.83  Close Signal Minor
 A 04/27/2020 76.25 04/28/2020 75.45 32 -30.44  Close Signal Minor
 ABMD 04/22/2020 166.73 04/27/2020 163.47 15 -53.83  Close Signal Minor
 AR 04/21/2020 2.09 05/12/2020 2.96 1,198 1,035.69  Close Signal Minor
 ABC 04/15/2020 88.33 04/21/2020 85.57 28 -82.11  Close Signal Minor
 AMD 04/13/2020 50.94 04/21/2020 52.92 48 90.01  Close Signal Minor
 CHE 04/09/2020 470.95 04/13/2020 453.58 5 -91.43  Close Signal Minor
 CAG 04/03/2020 31.21 04/30/2020 33.44 77 166.65  Close Signal Minor
 CY 04/01/2020 23.40 04/15/2020 23.82 101 37.63  Period End Minor
 HRL 03/31/2020 46.64 04/01/2020 46.35 51 -19.53  Close Signal Minor
 ERIE 03/30/2020 174.34 03/31/2020 148.24 14 -369.73  Close Signal Minor
 KR 03/27/2020 29.13 03/30/2020 29.65 85 39.18  Close Signal Minor
 SFM 03/26/2020 18.37 03/27/2020 17.97 135 -58.88  Close Signal Minor
 CTXS 03/24/2020 122.00 04/09/2020 139.40 20 342.60  Close Signal Minor
 COG 03/24/2020 16.35 03/25/2020 16.46 152 11.72  Close Signal Minor
 QGEN 03/23/2020 38.10 04/03/2020 40.27 65 135.89  Close Signal Minor
 CTXS 03/17/2020 127.46 03/20/2020 119.33 19 -159.08  Close Signal Minor
 COST 03/17/2020 306.99 03/18/2020 307.50 8 -0.84  Close Signal Minor
 CLX 03/13/2020 167.77 03/20/2020 177.40 15 139.20  Close Signal Minor
 CPB 03/13/2020 49.28 03/16/2020 49.30 51 -4.01  Close Signal Minor
 BMRN 03/10/2020 89.32 03/11/2020 86.90 28 -72.66  Close Signal Minor
 CASY 03/04/2020 170.06 03/05/2020 166.22 15 -62.62  Close Signal Minor
 QGEN 03/03/2020 41.45 03/16/2020 39.46 64 -132.47  Close Signal Minor
 CRL 03/02/2020 164.30 03/03/2020 161.51 16 -49.83  Close Signal Minor
 ETFC 03/02/2020 47.03 03/03/2020 45.00 57 -120.90  Close Signal Minor
 ALKS 02/28/2020 20.84 03/06/2020 18.99 129 -243.67  Close Signal Minor

Backtesting Results Disclaimer
Past hypothetical backtest results are neither an indicator nor a guarantee of future returns. Actual results may vary from the analysis. Hypothetical performance results have many inherent limitations and cannot fully account for market factors such as bid-ask spread, slippage, and commission costs. There are numerous other factors related to the markets, which cannot be fully accounted for in the backtesting algorithm, but all of which can adversely affect actual trading results.



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