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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: $-2,044   Total Trades: 132  
Capital Growth:-20.4%   Profit Trades, % of Total:30%  
Profit Factor: [?] 0.64  Avg Trade Duration, days:3.88  
Payoff Ratio: [?] 1.47   Avg Profit per Trade:-0.56%  
Max Drawdown:29%   Avg Profit per Day:-0.14%  
Max Drawdown, $: 3,319   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] -0.62   Overall Viability Score: [?]
1 / 10
 
Avg Annual Return: -20.4%  
 Equity Graph 
 Performance 
Year S&P 500 Equity JanFeb MarAprMay JunJulAug SepOctNov Dec
2022 -18.73 -20.44 3.04 0.36 6.84 -7.98 -2.16 -12.24 -1.63 -1.24 -6.18
     
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 NCNO 09/21/2022 35.80 09/22/2022 33.97 67 -127.22  Close Signal Minor
 ALK 09/19/2022 45.78 09/20/2022 45.33 53 -28.67  Close Signal Minor
 MAR 09/19/2022 157.36 09/20/2022 157.01 15 -9.96  Close Signal Minor
 THG 09/19/2022 138.13 09/20/2022 136.13 17 -38.65  Close Signal Minor
 AXS 09/15/2022 54.01 09/16/2022 53.50 46 -28.39  Close Signal Minor
 APA 09/14/2022 41.74 09/16/2022 40.46 60 -81.69  Close Signal Minor
 PXD 09/14/2022 251.70 09/16/2022 239.50 10 -126.85  Close Signal Minor
 ZEN 09/13/2022 76.87 09/14/2022 76.70 33 -10.68  Close Signal Minor
 PXD 09/12/2022 248.68 09/13/2022 242.00 10 -71.67  Close Signal Minor
 AM 09/09/2022 10.16 09/12/2022 10.39 252 52.75  Close Signal Minor
 MOS 09/08/2022 54.16 09/09/2022 56.24 46 90.55  Close Signal Minor
 ACI 09/07/2022 29.21 09/14/2022 28.62 86 -55.69  Close Signal Minor
 ALL 09/07/2022 125.12 09/13/2022 122.54 20 -56.53  Close Signal Minor
 ABC 09/07/2022 147.84 09/08/2022 147.54 17 -10.12  Close Signal Minor
 WDAY 09/06/2022 159.90 09/07/2022 165.77 15 83.12  Close Signal Minor
 CVX 09/02/2022 157.85 09/06/2022 157.12 16 -16.71  Close Signal Minor
 EOG 09/02/2022 121.52 09/06/2022 120.31 20 -29.02  Close Signal Minor
 ABC 09/01/2022 147.61 09/06/2022 146.02 17 -32.01  Close Signal Minor
 AZO 09/01/2022 2,145.59 09/02/2022 2,120.88 1 -28.96  Close Signal Minor
 BKI 09/01/2022 67.31 09/02/2022 66.36 37 -40.08  Close Signal Minor
 JAZZ 08/31/2022 155.22 09/01/2022 157.15 16 25.87  Close Signal Minor
 VST 08/31/2022 24.75 09/01/2022 24.96 102 16.34  Close Signal Minor
 FIVE 08/30/2022 129.54 08/31/2022 127.88 19 -36.42  Close Signal Minor
 AA 08/24/2022 54.43 08/30/2022 50.79 46 -172.20  Close Signal Minor
 AMAT 08/23/2022 101.93 08/24/2022 101.48 24 -15.68  Close Signal Minor
 CLR 08/09/2022 67.53 08/30/2022 70.03 37 87.36  Close Signal Minor
 AFL 08/09/2022 60.42 08/22/2022 62.21 41 68.33  Close Signal Minor
 CF 08/04/2022 99.05 08/30/2022 106.00 25 168.54  Close Signal Minor
 BSX 08/02/2022 41.46 08/04/2022 41.23 60 -18.75  Close Signal Minor
 AMD 08/01/2022 96.78 08/09/2022 95.54 25 -35.79  Close Signal Minor
 AMAT 07/29/2022 105.98 08/02/2022 104.99 23 -27.61  Close Signal Minor
 AJG 07/25/2022 169.71 08/01/2022 172.52 14 34.53  Close Signal Minor
 AMGN 07/22/2022 245.95 07/29/2022 247.47 10 10.26  Close Signal Minor
 A 07/21/2022 127.19 07/25/2022 124.26 19 -60.42  Close Signal Minor
 ABMD 07/21/2022 284.81 07/22/2022 281.70 8 -29.40  Close Signal Minor
 ADI 07/20/2022 163.12 08/09/2022 170.37 15 103.69  Close Signal Minor
 AMGN 07/19/2022 247.32 07/21/2022 245.78 10 -20.32  Close Signal Minor
 AMT 07/19/2022 257.16 07/20/2022 249.74 9 -71.31  Close Signal Minor
 CLX 07/13/2022 147.60 07/18/2022 145.73 17 -36.76  Close Signal Minor
 PHM 07/12/2022 44.06 07/18/2022 43.46 58 -39.86  Close Signal Minor
 VZ 07/12/2022 50.78 07/13/2022 50.51 50 -18.56  Close Signal Minor
 ALNY 07/05/2022 150.73 07/12/2022 145.85 17 -87.96  Close Signal Minor
 QGEN 06/30/2022 47.20 07/12/2022 46.73 54 -30.44  Close Signal Minor
 THG 06/30/2022 146.25 07/05/2022 146.24 17 -5.14  Close Signal Minor
 ULTA 06/29/2022 391.64 06/30/2022 385.48 6 -41.60  Close Signal Minor
 NTRA 06/29/2022 36.87 06/30/2022 35.44 71 -106.61  Close Signal Minor
 AZO 06/22/2022 2,071.62 07/21/2022 2,138.75 1 62.89  Close Signal Minor
 ENPH 06/17/2022 184.75 06/29/2022 184.64 14 -6.71  Close Signal Minor
 VRTX 06/17/2022 263.09 06/22/2022 272.31 9 78.12  Close Signal Minor
 ERIE 06/15/2022 174.85 06/16/2022 170.28 15 -73.69  Close Signal Minor
 JBL 06/15/2022 58.81 06/16/2022 53.02 46 -271.35  Close Signal Minor
 FDX 06/14/2022 229.95 06/29/2022 233.81 11 37.34  Close Signal Minor
 NBIX 06/14/2022 91.22 06/15/2022 93.15 29 50.60  Close Signal Minor
 RNR 06/14/2022 150.90 06/15/2022 149.93 17 -21.60  Close Signal Minor
 ED 06/10/2022 95.15 06/13/2022 91.15 29 -121.34  Close Signal Minor
 HE 06/10/2022 42.53 06/13/2022 40.30 66 -152.57  Close Signal Minor
 WPC 06/10/2022 82.80 06/13/2022 80.50 33 -81.25  Close Signal Minor
 EXP 06/09/2022 130.35 06/10/2022 125.72 22 -107.44  Close Signal Minor
 JWN 06/09/2022 27.53 06/10/2022 26.74 105 -88.61  Close Signal Minor
 HUM 06/08/2022 450.52 06/09/2022 449.62 6 -10.80  Close Signal Minor
 AMT 06/02/2022 262.36 06/10/2022 251.01 11 -130.43  Close Signal Minor
 AM 06/01/2022 11.16 06/09/2022 10.94 260 -62.92  Close Signal Minor
 BWA 05/31/2022 40.32 06/01/2022 40.12 72 -20.18  Close Signal Minor
 AN 05/24/2022 110.20 05/31/2022 119.56 25 228.14  Close Signal Minor
 OC 05/23/2022 92.75 05/24/2022 90.63 30 -69.07  Close Signal Minor
 AMGN 05/20/2022 247.50 06/02/2022 248.40 11 4.44  Close Signal Minor
 ADI 05/19/2022 160.94 06/08/2022 165.01 18 67.36  Close Signal Minor
 GNTX 05/19/2022 29.89 05/23/2022 29.62 97 -31.95  Close Signal Minor
 MHK 05/19/2022 139.21 05/20/2022 135.12 20 -87.25  Close Signal Minor
 ARW 05/13/2022 125.07 05/18/2022 122.77 23 -58.57  Close Signal Minor
 EXPD 05/12/2022 111.14 05/18/2022 104.56 26 -176.60  Close Signal Minor
 CSL 05/12/2022 244.01 05/13/2022 245.65 12 13.79  Close Signal Minor
 PM 05/11/2022 103.62 05/19/2022 100.50 28 -93.03  Close Signal 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

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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