Strategy Tester

Strategy Name

Ichimoku Kinko Hyo

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:

$-192

Total Trades:

Capital Growth:

-1.92%

Profit Trades, % of Total:

31%

Profit Factor: [?]

0.93

Avg Trade Duration, days:

5.6

Payoff Ratio: [?]

2.10

Avg Profit per Trade:

-0.096%

Max Drawdown:

16%

Avg Profit per Day:

-0.017%

Max Drawdown, $:

1,844

Avg Market Impact: [?]

Minor

Restoration Factor: [?]

-0.10

Overall Viability Score: [?]

3 / 10

Avg Annual Return:

-1.92%

CAGR: [?]

Equity Graph

Performance

Year

S&P 500

Equity

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

2023

9.53

-1.92

15.46

-2.27

-3.89

3.37

-12.52

Performed Trades:

All

Symbol	Entry Date	Entry Price, $	Exit Date	Exit Price, $	Shares	Profit, $	Exit On	MI [?]
ADBE	05/25/2023	392.06	05/26/2023	415.39	7	157.58	Period End
ARW	05/25/2023	125.98	05/26/2023	128.54	27	62.21	Period End
AIG	05/23/2023	55.77	05/25/2023	53.68	53	-116.52	Close Signal
IONS	05/19/2023	39.19	05/25/2023	39.17	86	-8.46	Close Signal
ADI	05/18/2023	192.26	05/23/2023	187.92	16	-75.49	Close Signal
ARW	05/18/2023	123.91	05/19/2023	123.22	27	-25.29	Close Signal
CCL	05/17/2023	11.04	05/26/2023	11.28	296	64.40	Period End
FSLR	05/12/2023	231.69	05/18/2023	206.28	13	-335.86	Close Signal
CCK	05/11/2023	83.41	05/12/2023	82.02	38	-59.08	Close Signal
ALNY	05/10/2023	210.97	05/11/2023	206.09	15	-79.42	Close Signal
HON	05/09/2023	196.10	05/10/2023	196.31	16	-2.92	Close Signal
ATO	05/04/2023	117.21	05/17/2023	116.04	27	-37.87	Close Signal
CCK	05/04/2023	84.56	05/09/2023	83.17	39	-60.72	Close Signal
PLNT	04/26/2023	79.90	05/04/2023	68.29	46	-540.61	Close Signal
BAX	04/21/2023	45.29	05/04/2023	45.29	74	-6.70	Close Signal
EL	04/20/2023	258.48	04/21/2023	256.23	13	-35.93	Close Signal
BR	04/12/2023	145.53	04/20/2023	142.61	24	-76.96	Close Signal
BRO	04/11/2023	58.80	04/12/2023	58.38	60	-32.22	Close Signal
KO	03/27/2023	61.35	04/26/2023	63.55	58	120.29	Close Signal
DLB	03/27/2023	83.17	04/11/2023	84.00	42	27.82	Close Signal
GIS	03/23/2023	81.64	05/18/2023	88.50	43	287.52	Close Signal
INTC	03/23/2023	28.91	03/27/2023	29.06	122	11.22	Close Signal
LEN	03/23/2023	103.02	03/27/2023	101.84	34	-47.07	Close Signal
EXAS	03/21/2023	66.45	03/22/2023	64.17	53	-127.70	Close Signal
ED	03/15/2023	94.85	03/21/2023	92.42	38	-99.41	Close Signal
ATR	03/14/2023	114.72	03/15/2023	111.03	33	-129.16	Close Signal
PNW	03/13/2023	74.63	03/22/2023	74.52	50	-12.95	Close Signal
EXAS	03/13/2023	63.54	03/14/2023	64.46	58	45.91	Close Signal
AZPN	03/08/2023	216.73	03/10/2023	214.12	15	-45.59	Close Signal
GPC	03/06/2023	173.61	03/07/2023	170.23	19	-70.72	Close Signal
ATVI	03/02/2023	77.71	03/22/2023	78.64	44	34.02	Close Signal
DXCM	03/02/2023	121.24	03/06/2023	113.25	29	-238.39	Close Signal
PSX	03/01/2023	106.07	03/02/2023	104.66	43	-69.66	Close Signal
RARE	02/28/2023	44.49	03/01/2023	45.65	101	108.00	Close Signal
NTRS	02/27/2023	93.49	02/28/2023	94.50	47	38.61	Close Signal
BOKF	02/24/2023	102.90	03/02/2023	101.35	24	-42.08	Close Signal
AGO	02/22/2023	61.58	02/27/2023	61.42	72	-20.37	Close Signal
LMT	02/21/2023	476.19	03/09/2023	475.85	9	-11.63	Close Signal
AIZ	02/17/2023	130.95	02/21/2023	130.10	36	-39.98	Close Signal
AGO	02/16/2023	61.93	02/21/2023	61.07	65	-63.87	Close Signal
AZO	02/09/2023	2,490.28	02/24/2023	2,540.56	1	45.22	Close Signal
AMED	02/08/2023	93.58	02/17/2023	97.16	49	165.99	Close Signal
BG	02/06/2023	98.27	02/08/2023	96.90	47	-73.53	Close Signal
CLX	02/03/2023	153.66	02/16/2023	151.58	21	-50.07	Close Signal
FCN	02/03/2023	164.63	02/09/2023	161.60	21	-70.45	Close Signal
AMED	01/30/2023	93.68	02/03/2023	92.14	36	-62.10	Close Signal
CHH	01/19/2023	121.21	01/30/2023	121.38	28	-2.03	Close Signal
C	01/09/2023	46.57	02/03/2023	50.40	67	249.98	Close Signal
AFG	01/06/2023	135.79	01/09/2023	134.63	23	-32.89	Close Signal
HAYW	01/03/2023	9.94	02/06/2023	13.59	340	1,232.38	Close Signal
CCK	01/03/2023	82.02	01/19/2023	85.04	40	114.06	Close Signal
FIVN	01/03/2023	69.54	01/05/2023	66.47	48	-153.81	Close Signal

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.