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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: 1/1/2022 - 12/31/2022
The backtester displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $16.4   Total Trades: 63  
Capital Growth:0.16%   Profit Trades, % of Total:38%  
Profit Factor: [?] 1.01  Avg Trade Duration, days:4.24  
Payoff Ratio: [?] 1.64   Avg Profit per Trade:0.033%  
Max Drawdown:11%   Avg Profit per Day:0.0078%  
Max Drawdown, $: 1,259   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 0.01   Overall Viability Score: [?]
4 / 10
 
Avg Annual Return: 0.16%  
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2022 0.16 3.04 0.36 6.84 -7.98 -1.48
     
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 ARW 05/13/2022 125.07 05/13/2022 125.07 23 -5.75  Period End Minor
 CSL 05/12/2022 244.01 05/13/2022 245.65 12 13.79  Close Signal Minor
 EXPD 05/12/2022 111.14 05/13/2022 111.59 26 5.90  Period End Minor
 PM 05/11/2022 103.62 05/13/2022 104.43 28 16.84  Period End Minor
 ARW 05/06/2022 124.93 05/12/2022 122.15 24 -72.62  Close Signal Minor
 BKI 05/04/2022 72.84 05/06/2022 70.91 41 -84.98  Close Signal Minor
 LPX 05/03/2022 71.95 05/11/2022 68.60 42 -146.53  Close Signal Minor
 T 05/02/2022 19.12 05/03/2022 19.33 159 27.26  Close Signal Minor
 AVT 04/28/2022 43.82 05/12/2022 45.42 69 104.19  Close Signal Minor
 BSX 04/27/2022 43.06 04/28/2022 42.73 71 -29.51  Close Signal Minor
 HUBB 04/26/2022 195.29 05/02/2022 194.40 15 -19.19  Close Signal Minor
 BKI 04/25/2022 67.46 04/26/2022 65.18 46 -110.93  Close Signal Minor
 CHH 04/25/2022 144.57 04/26/2022 140.93 21 -82.40  Close Signal Minor
 KMB 04/22/2022 138.51 05/04/2022 139.14 22 7.74  Close Signal Minor
 LMT 04/22/2022 445.79 04/25/2022 442.89 7 -26.51  Close Signal Minor
 NOC 04/22/2022 447.40 04/25/2022 444.02 7 -29.89  Close Signal Minor
 CPA 04/21/2022 81.62 04/22/2022 78.55 39 -125.92  Close Signal Minor
 BKI 04/20/2022 69.06 04/21/2022 67.26 47 -90.96  Close Signal Minor
 AAPL 04/19/2022 167.40 04/20/2022 167.23 19 -9.59  Close Signal Minor
 CACC 04/18/2022 591.74 04/22/2022 556.51 5 -181.80  Close Signal Minor
 IT 04/14/2022 298.10 04/22/2022 293.33 10 -53.59  Close Signal Minor
 ALB 04/13/2022 212.50 04/14/2022 210.89 15 -30.49  Close Signal Minor
 AAPL 04/12/2022 167.66 04/13/2022 170.40 19 45.61  Close Signal Minor
 BDX 04/05/2022 262.94 04/18/2022 260.10 12 -40.34  Close Signal Minor
 AMT 04/04/2022 257.83 04/12/2022 257.18 12 -13.98  Close Signal Minor
 ALB 04/01/2022 224.92 04/05/2022 217.30 13 -104.76  Close Signal Minor
 CSGP 03/31/2022 66.61 04/01/2022 66.00 46 -34.15  Close Signal Minor
 AJG 03/16/2022 162.67 04/19/2022 179.50 18 296.63  Close Signal Minor
 AM 03/16/2022 9.95 03/31/2022 10.87 305 274.11  Close Signal Minor
 AMED 03/15/2022 151.63 04/04/2022 170.56 20 371.97  Close Signal Minor
 AEE 03/10/2022 87.55 03/16/2022 87.93 34 6.95  Close Signal Minor
 ACI 03/03/2022 35.70 03/16/2022 35.30 84 -39.55  Close Signal Minor
 DAR 03/01/2022 76.98 03/10/2022 75.12 39 -78.44  Close Signal Minor
 AVT 02/24/2022 40.88 03/01/2022 40.66 73 -22.00  Close Signal Minor
 EPR 02/23/2022 48.91 03/15/2022 51.68 62 165.42  Close Signal Minor
 NBIX 02/23/2022 85.55 03/03/2022 87.62 35 66.35  Close Signal Minor
 HIG 02/22/2022 70.31 02/23/2022 69.41 43 -44.69  Close Signal Minor
 CI 02/18/2022 228.65 02/22/2022 227.73 13 -17.89  Close Signal Minor
 GPK 02/17/2022 20.24 02/24/2022 19.51 153 -117.72  Close Signal Minor
 DTE 02/17/2022 118.55 02/23/2022 117.26 26 -39.65  Close Signal Minor
 HPP 02/17/2022 25.93 02/18/2022 25.48 119 -59.64  Close Signal Minor
 ADS 02/15/2022 72.42 02/17/2022 70.38 42 -91.63  Close Signal Minor
 HUM 02/14/2022 419.64 02/15/2022 422.10 7 11.32  Close Signal Minor
 AM 02/11/2022 10.22 02/14/2022 9.94 306 -91.81  Close Signal Minor
 AFG 02/10/2022 136.73 02/17/2022 135.62 23 -31.78  Close Signal Minor
 ADS 02/08/2022 72.90 02/10/2022 72.25 43 -34.18  Close Signal Minor
 EXEL 02/07/2022 19.10 02/11/2022 18.75 160 -62.03  Close Signal Minor
 TMUS 02/03/2022 120.78 02/17/2022 124.55 25 88.07  Close Signal Minor
 RGLD 01/31/2022 101.55 02/02/2022 103.93 29 63.03  Close Signal Minor
 DISCA 01/28/2022 27.15 01/31/2022 27.91 110 77.50  Close Signal Minor
 CCK 01/27/2022 112.49 02/02/2022 114.82 27 56.74  Close Signal Minor
 GPN 01/26/2022 140.48 01/27/2022 141.03 21 5.63  Close Signal Minor
 AGO 01/25/2022 52.26 01/26/2022 51.87 58 -28.65  Close Signal Minor
 CLR 01/24/2022 49.33 02/08/2022 54.79 61 326.54  Close Signal Minor
 CR 01/24/2022 102.01 01/25/2022 101.48 29 -21.26  Close Signal Minor
 NXST 01/21/2022 158.42 01/24/2022 159.53 19 15.04  Close Signal Minor
 MAR 01/20/2022 156.70 01/21/2022 156.99 19 -0.45  Close Signal Minor
 RGLD 01/19/2022 105.13 01/21/2022 102.25 29 -89.49  Close Signal Minor
 PKG 01/19/2022 137.12 01/20/2022 135.22 22 -47.77  Close Signal Minor
 ATVI 01/18/2022 82.31 01/28/2022 79.14 36 -119.88  Close Signal Minor
 BK 01/03/2022 58.17 01/19/2022 58.89 51 30.73  Close Signal Minor
 BKR 01/03/2022 24.87 01/19/2022 26.11 120 142.61  Close Signal Minor
 AMP 01/03/2022 304.26 01/18/2022 319.20 9 128.78  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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