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Strategy Name Ichimoku Kinko Hyo
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The Ichimoku indicator was published in 1969 by a reporter, Ichimoku Kinko Hyo, in Japan. This indicator comprises five lines: 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: 1/1/2024 - 12/31/2024
The backtester displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $-13   Total Trades: 48  
Capital Growth:-0.13%   Profit Trades, % of Total:31%  
Profit Factor: [?] 0.99  Avg Trade Duration, days:5.96  
Payoff Ratio: [?] 2.18   Avg Profit per Trade:0.022%  
Max Drawdown:8%   Avg Profit per Day:0.0037%  
Max Drawdown, $: 769   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] -0.02   Overall Viability Score: [?]
3 / 10
 
Avg Annual Return: -0.13%   CAGR: [?]0%  
 Equity Graph 
 Performance 
Year S&P 500 Equity JanFeb MarAprMay JunJulAug SepOctNov Dec
2024 11.18 -0.13 -3.98 -0.29 5.86 -2.64 1.22
        
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 CCL 05/20/2024 16.09 05/21/2024 16.20 185 14.37  Period End Minor
 BLK 05/17/2024 812.22 05/21/2024 804.93 3 -26.71  Period End Minor
 ACI 05/16/2024 20.90 05/17/2024 20.62 143 -45.96  Close Signal Minor
 AMED 05/08/2024 94.08 05/21/2024 96.21 31 60.10  Period End Minor
 JPM 05/08/2024 195.65 05/20/2024 195.58 15 -6.92  Close Signal Minor
 CBSH 04/17/2024 53.07 05/16/2024 56.26 53 163.19  Close Signal Minor
 CHDN 04/16/2024 124.10 04/17/2024 121.08 22 -71.80  Close Signal Minor
 HEI 04/15/2024 193.73 05/08/2024 209.48 14 214.74  Close Signal Minor
 BYD 04/15/2024 64.56 04/16/2024 64.66 43 -1.26  Close Signal Minor
 BMRN 04/12/2024 92.22 04/15/2024 91.51 30 -26.80  Close Signal Minor
 STT 04/12/2024 75.78 04/15/2024 74.93 37 -37.01  Close Signal Minor
 ALB 04/11/2024 130.31 04/12/2024 122.58 22 -175.54  Close Signal Minor
 BX 04/11/2024 126.02 04/12/2024 122.64 23 -83.42  Close Signal Minor
 HEI-A 04/10/2024 154.65 05/08/2024 167.45 19 236.96  Close Signal Minor
 ADM 04/09/2024 63.38 04/11/2024 62.06 46 -66.46  Close Signal Minor
 ALB 04/08/2024 131.69 04/09/2024 129.16 22 -61.37  Close Signal Minor
 BX 04/05/2024 126.72 04/10/2024 125.23 23 -40.05  Close Signal Minor
 ADM 04/05/2024 62.95 04/08/2024 62.67 47 -19.06  Close Signal Minor
 ED 04/04/2024 89.42 04/05/2024 88.89 33 -23.37  Close Signal Minor
 PRGO 04/04/2024 31.45 04/05/2024 31.40 94 -10.61  Close Signal Minor
 BWA 03/26/2024 33.65 04/10/2024 34.83 87 96.65  Close Signal Minor
 AVT 03/21/2024 47.83 04/04/2024 48.13 60 12.23  Close Signal Minor
 BK 03/18/2024 54.54 04/04/2024 56.36 52 88.83  Close Signal Minor
 BKR 03/12/2024 31.28 03/26/2024 32.61 88 111.36  Close Signal Minor
 CCI 03/01/2024 109.48 03/12/2024 109.39 25 -7.72  Close Signal Minor
 A 02/27/2024 132.34 03/18/2024 145.85 20 264.50  Close Signal Minor
 ON 02/26/2024 77.57 02/27/2024 76.97 35 -26.40  Close Signal Minor
 BBY 02/22/2024 74.33 03/01/2024 77.00 37 93.14  Close Signal Minor
 BDX 02/21/2024 244.33 02/22/2024 242.64 11 -23.94  Close Signal Minor
 AJG 02/13/2024 235.74 03/21/2024 250.30 11 154.73  Close Signal Minor
 CE 02/12/2024 150.28 02/13/2024 144.18 18 -115.05  Close Signal Minor
 HAS 02/07/2024 49.36 02/26/2024 48.14 56 -73.75  Close Signal Minor
 FRT 02/06/2024 100.58 02/07/2024 99.77 27 -27.27  Close Signal Minor
 AJG 02/05/2024 235.68 02/12/2024 235.04 12 -13.32  Close Signal Minor
 COLM 02/01/2024 81.47 02/05/2024 77.02 35 -161.22  Close Signal Minor
 ACGL 01/31/2024 82.43 02/21/2024 84.71 35 73.91  Close Signal Minor
 MMC 01/31/2024 193.16 02/01/2024 193.06 14 -6.81  Close Signal Minor
 ADBE 01/25/2024 622.58 02/06/2024 607.14 4 -66.65  Close Signal Minor
 MMC 01/17/2024 194.96 01/25/2024 190.42 14 -68.92  Close Signal Minor
 VEEV 01/09/2024 193.00 01/31/2024 207.41 14 196.03  Close Signal Minor
 JBL 01/09/2024 128.21 01/16/2024 125.25 22 -70.66  Close Signal Minor
 AN 01/08/2024 143.14 01/09/2024 143.20 20 -4.53  Close Signal Minor
 JAZZ 01/05/2024 127.60 01/09/2024 122.38 23 -125.75  Close Signal Minor
 TW 01/04/2024 95.01 01/31/2024 95.30 31 3.09  Close Signal Minor
 STE 01/04/2024 215.52 01/05/2024 215.45 13 -6.51  Close Signal Minor
 CF 01/03/2024 81.61 01/08/2024 78.15 36 -130.25  Close Signal Minor
 COP 01/03/2024 118.52 01/04/2024 115.11 25 -91.05  Close Signal Minor
 DVN 01/03/2024 46.59 01/04/2024 45.42 64 -80.73  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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