Strategy Name
Ichimoku Kinko Hyo
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
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
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
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: 1/1/2026 - 12/31/2026
Total Profit: $5,831
Total Trades: 92
Capital Growth: 58.3%
Profit Trades, % of Total: 29%
Profit Factor: [?] 2.03
Avg Trade Duration, days: 4.64
Payoff Ratio: [?] 4.88
Avg Profit per Trade: 2.3%
Max Drawdown: 16%
Avg Profit per Day: 0.49%
Max Drawdown, $: 1,714
Avg Market Impact: [?]
Restoration Factor: [?] 3.40
Overall Viability Score: [?]
Avg Annual Return: 58.3%
CAGR: [?] 58.3%
Year S&P 500 Equity Jan Feb
Mar Apr May
Jun Jul Aug
Sep Oct Nov
Dec
2026
9.41 58.31
1.04
6.37
-16.05
56.59
12.00
2.32
-2.22
Symbol
Entry Date
Exit Date
Shares Profit, $ Exit On
MI
[?]
07/27/2026
237.75
07/31/2026
250.41
18
218.98
Period End
07/22/2026
127.35
07/27/2026
119.78
35
-273.47
Close Signal
07/21/2026
132.86
07/31/2026
138.37
34
178.02
Period End
07/21/2026
177.50
07/22/2026
172.46
25
-134.69
Close Signal
07/15/2026
58.72
07/31/2026
65.31
79
510.55
Period End
07/15/2026
1,093.40
07/21/2026
1,038.24
4
-229.06
Close Signal
07/15/2026
97.14
07/21/2026
95.75
48
-75.95
Close Signal
07/14/2026
60.50
07/15/2026
59.95
77
-52.11
Close Signal
07/09/2026
178.17
07/14/2026
178.46
26
-1.74
Close Signal
07/07/2026
321.59
07/09/2026
312.79
14
-132.02
Close Signal
07/02/2026
77.54
07/15/2026
77.37
60
-19.45
Close Signal
06/26/2026
97.54
07/15/2026
98.54
45
36.15
Close Signal
06/22/2026
14.48
06/26/2026
14.50
309
-2.85
Close Signal
06/18/2026
182.08
06/22/2026
173.76
24
-208.12
Close Signal
06/17/2026
36.16
07/07/2026
37.92
126
212.31
Close Signal
06/15/2026
98.32
06/18/2026
95.63
46
-132.60
Close Signal
06/12/2026
127.17
06/15/2026
123.00
36
-159.05
Close Signal
06/11/2026
68.98
06/12/2026
68.77
67
-23.29
Close Signal
06/09/2026
217.05
06/17/2026
216.09
21
-29.25
Close Signal
06/08/2026
143.38
07/02/2026
164.59
31
647.63
Close Signal
06/08/2026
68.29
06/09/2026
70.91
66
163.65
Close Signal
06/05/2026
131.62
06/08/2026
130.24
34
-55.80
Close Signal
05/29/2026
259.21
06/05/2026
251.44
17
-140.70
Close Signal
05/26/2026
11.98
06/08/2026
12.68
379
255.82
Close Signal
05/21/2026
89.92
05/26/2026
89.34
50
-37.95
Close Signal
05/20/2026
219.03
06/11/2026
224.07
20
91.89
Close Signal
05/19/2026
22.14
05/21/2026
21.59
195
-116.55
Close Signal
05/13/2026
423.45
05/29/2026
426.41
9
18.98
Close Signal
05/11/2026
38.37
05/13/2026
38.45
103
0.32
Close Signal
05/08/2026
302.79
05/11/2026
301.28
13
-27.47
Close Signal
05/06/2026
98.23
05/19/2026
130.18
40
1,268.22
Close Signal
05/06/2026
178.46
05/08/2026
174.86
22
-86.93
Close Signal
05/05/2026
117.94
05/20/2026
143.55
34
861.41
Close Signal
05/04/2026
247.54
05/06/2026
243.08
16
-79.17
Close Signal
05/04/2026
425.33
05/06/2026
423.97
9
-19.88
Close Signal
04/30/2026
180.98
05/05/2026
176.44
23
-112.59
Close Signal
04/29/2026
205.69
05/04/2026
202.66
20
-68.74
Close Signal
04/29/2026
148.15
04/30/2026
147.04
28
-39.33
Close Signal
04/28/2026
97.06
04/29/2026
92.72
44
-199.21
Close Signal
04/27/2026
57.28
04/28/2026
56.58
75
-61.01
Close Signal
04/24/2026
101.55
05/04/2026
91.70
43
-431.65
Close Signal
04/23/2026
98.07
04/24/2026
96.19
44
-91.23
Close Signal
04/22/2026
231.28
04/29/2026
224.11
19
-144.81
Close Signal
04/22/2026
301.29
04/23/2026
284.38
14
-244.82
Close Signal
04/21/2026
95.67
04/27/2026
91.58
27
-115.43
Close Signal
04/02/2026
20.70
04/22/2026
22.75
127
254.70
Close Signal
03/30/2026
24.78
04/02/2026
24.40
107
-45.90
Close Signal
03/27/2026
112.81
03/30/2026
110.78
23
-51.81
Close Signal
03/26/2026
139.58
04/22/2026
443.94
19
5,768.86
Close Signal
03/25/2026
2.81
03/26/2026
2.75
962
-63.04
Close Signal
03/24/2026
282.71
04/21/2026
292.96
9
87.02
Close Signal
03/23/2026
36.95
03/27/2026
36.32
74
-52.02
Close Signal
03/23/2026
93.38
03/24/2026
90.92
29
-76.65
Close Signal
03/20/2026
174.20
03/25/2026
168.56
15
-89.70
Close Signal
03/20/2026
156.89
03/23/2026
155.91
17
-21.97
Close Signal
03/19/2026
290.30
03/20/2026
284.28
10
-65.92
Close Signal
03/19/2026
20.27
03/20/2026
19.52
143
-112.89
Close Signal
03/18/2026
316.72
03/20/2026
281.55
9
-321.76
Close Signal
03/18/2026
94.70
03/19/2026
91.74
31
-97.49
Close Signal
03/17/2026
241.51
03/18/2026
238.25
12
-44.86
Close Signal
03/16/2026
83.56
03/18/2026
82.61
35
-39.05
Close Signal
03/16/2026
351.19
03/17/2026
353.11
8
9.72
Close Signal
03/13/2026
91.09
03/18/2026
91.51
33
7.83
Close Signal
03/13/2026
86.46
03/16/2026
86.51
34
-4.18
Close Signal
03/12/2026
352.06
03/13/2026
348.38
8
-35.03
Close Signal
03/12/2026
38.36
03/13/2026
38.11
79
-25.78
Close Signal
03/11/2026
114.41
03/16/2026
107.72
26
-179.63
Close Signal
03/09/2026
411.15
03/10/2026
396.06
7
-111.23
Close Signal
03/06/2026
89.50
03/12/2026
87.60
35
-72.67
Close Signal
03/06/2026
43.65
03/09/2026
43.32
71
-29.59
Close Signal
03/05/2026
79.08
03/06/2026
77.74
38
-56.85
Close Signal
03/04/2026
131.06
03/05/2026
129.86
23
-33.59
Close Signal
03/03/2026
14.93
03/10/2026
14.33
208
-130.82
Close Signal
02/20/2026
79.44
03/03/2026
78.08
39
-59.16
Close Signal
02/19/2026
53.11
02/20/2026
53.46
58
14.11
Close Signal
02/18/2026
83.40
03/04/2026
81.98
37
-58.63
Close Signal
02/18/2026
251.20
02/19/2026
249.49
12
-26.52
Close Signal
02/09/2026
43.54
03/06/2026
47.37
68
254.13
Close Signal
02/02/2026
357.34
02/18/2026
378.16
8
160.59
Close Signal
02/02/2026
62.91
02/09/2026
64.58
47
72.46
Close Signal
01/30/2026
117.98
02/02/2026
116.56
25
-41.35
Close Signal
01/29/2026
188.71
01/30/2026
190.44
15
20.25
Close Signal
01/28/2026
49.47
02/18/2026
54.96
60
323.17
Close Signal
01/28/2026
52.11
01/29/2026
52.31
56
5.35
Close Signal
01/14/2026
101.14
02/02/2026
101.00
29
-9.92
Close Signal
01/07/2026
68.67
01/28/2026
69.12
43
13.42
Close Signal
01/07/2026
64.56
01/28/2026
66.11
45
63.84
Close Signal
01/06/2026
240.93
01/14/2026
236.65
12
-57.07
Close Signal
01/05/2026
111.02
01/07/2026
109.04
26
-57.18
Close Signal
01/02/2026
276.04
01/07/2026
276.04
10
-5.52
Close Signal
01/02/2026
196.04
01/06/2026
194.58
15
-27.75
Close Signal
01/02/2026
48.88
01/05/2026
48.39
61
-35.81
Close Signal
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