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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: 1/1/2023 - 12/31/2023
The backtester displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $1,201   Total Trades: 6  
Capital Growth:12%   Profit Trades, % of Total:67%  
Profit Factor: [?] 8.11  Avg Trade Duration, days:8.33  
Payoff Ratio: [?] 4.06   Avg Profit per Trade:6.72%  
Max Drawdown:1%   Avg Profit per Day:0.81%  
Max Drawdown, $: 138   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 8.72   Overall Viability Score: [?]
10 / 10
 
Avg Annual Return: 12%  
 Equity Graph 
 Performance 
Year S&P 500 Equity JanFeb MarAprMay JunJulAug SepOctNov Dec
2023 6.02 12.01 12.01
     
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 CHH 01/19/2023 121.51 01/27/2023 124.08 24 55.75  Period End Minor
 C 01/09/2023 47.54 01/27/2023 51.86 62 261.54  Period End Minor
 AFG 01/06/2023 140.54 01/09/2023 139.34 21 -31.06  Close Signal Minor
 HAYW 01/03/2023 9.94 01/27/2023 13.12 301 949.76  Period End Minor
 CCK 01/03/2023 82.49 01/19/2023 85.52 36 102.98  Close Signal Minor
 FIVN 01/03/2023 69.54 01/05/2023 66.47 43 -137.79  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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