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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'.
Position Type Long
 Strategy Definition 
Criteria for Opening a Position: index(russell1000) and (ichimoku(9,26,52) ichi_pcac) and tenkan(9,26,52) > kijun(9,26,52)
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)
 Backtest Parameters 
Initial Capital: $10,000
Capital at Risk: 30% per trade
Portfolio Max Size: 20 positions
Testing Model: Close prices
Comm. per Trade: 0.1%  
Period: 1/1/2019 - 12/31/2019
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $592   Total Trades: 130  
Capital Growth:6%   Profit Trades, % of Total:40%  
Profit Factor: [?] 1.12  Max Drawdown14%($1,739)  
Expected Payoff: [?] $4.55  Abs Drawdown0%($0)  
Payoff Ratio: [?] 1.68  Avg Market Impact [?]
Minor  Minor Market Impact
 
Avg Annual Return, %: 5.92%   
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2019 5.92 4.45 0.80 4.92 7.90 1.80 -1.55 0.25 0.17 -2.74 -8.93 1.61 -1.90
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 BKI 12/13/2019 63.14 12/13/2019 63.14 49 -6.19  Period End Minor
 BAX 12/11/2019 83.01 12/13/2019 83.96 37 28.97  Period End Minor
 F 12/10/2019 9.07 12/13/2019 9.23 349 49.45  Period End Minor
 CAG 12/09/2019 29.30 12/11/2019 28.63 108 -78.62  Close Signal Minor
 CCL 12/09/2019 45.41 12/10/2019 45.32 69 -12.47  Close Signal Minor
 CPB 12/02/2019 47.14 12/13/2019 47.86 65 40.63  Close Signal Minor
 GIS 12/02/2019 53.48 12/09/2019 53.16 57 -24.32  Close Signal Minor
 ALKS 11/22/2019 21.01 12/02/2019 20.57 146 -70.31  Close Signal Minor
 CVX 11/21/2019 118.77 11/22/2019 118.63 25 -9.43  Close Signal Minor
 ABMD 11/20/2019 185.25 11/21/2019 186.66 16 16.61  Close Signal Minor
 ALXN 11/19/2019 110.65 11/20/2019 108.53 27 -63.16  Close Signal Minor
 ABT 11/08/2019 83.74 11/19/2019 84.29 36 13.75  Close Signal Minor
 ADBE 11/07/2019 290.77 12/02/2019 302.75 10 113.86  Close Signal Minor
 AYI 11/05/2019 131.82 11/08/2019 128.08 23 -92.00  Close Signal Minor
 CIT 11/05/2019 45.92 11/07/2019 44.96 68 -71.46  Close Signal Minor
 BDX 10/30/2019 255.95 11/05/2019 246.68 12 -117.27  Close Signal Minor
 ABC 10/28/2019 87.39 10/30/2019 85.85 36 -61.68  Close Signal Minor
 CMCSA 10/25/2019 45.65 10/28/2019 45.44 69 -20.78  Close Signal Minor
 ALGN 10/24/2019 249.47 12/09/2019 273.46 13 305.07  Close Signal Minor
 AFL 10/24/2019 52.56 11/05/2019 52.94 61 16.74  Close Signal Minor
 ALB 10/23/2019 67.46 10/25/2019 63.59 48 -192.05  Close Signal Minor
 AKAM 10/23/2019 90.22 10/24/2019 89.58 36 -29.51  Close Signal Minor
 AMD 10/21/2019 32.03 10/23/2019 31.36 102 -74.81  Close Signal Minor
 AWI 10/16/2019 97.75 10/23/2019 98.01 33 2.12  Close Signal Minor
 FISV 10/15/2019 106.89 10/21/2019 104.44 30 -79.84  Close Signal Minor
 DTE 10/15/2019 129.03 10/16/2019 129.26 25 -0.71  Close Signal Minor
 LPT 10/14/2019 50.85 10/15/2019 50.89 64 -3.95  Close Signal Minor
 ALB 10/11/2019 68.91 10/14/2019 67.56 48 -71.35  Close Signal Minor
 EXPE 10/10/2019 135.99 10/24/2019 137.14 24 21.04  Close Signal Minor
 IBM 10/10/2019 141.13 10/11/2019 142.76 23 30.96  Close Signal Minor
 C 10/09/2019 67.43 10/10/2019 68.62 49 51.64  Close Signal Minor
 CAH 10/09/2019 45.30 10/10/2019 46.05 72 47.42  Close Signal Minor
 ASH 10/08/2019 75.97 10/09/2019 74.81 44 -57.67  Close Signal Minor
 DPZ 10/08/2019 253.48 10/09/2019 248.19 13 -75.29  Close Signal Minor
 AGO 10/07/2019 44.14 10/08/2019 43.90 76 -24.93  Close Signal Minor
 BPOP 10/04/2019 54.29 10/08/2019 52.72 62 -103.97  Close Signal Minor
 ANAT 10/04/2019 118.70 10/07/2019 118.00 28 -26.23  Close Signal Minor
 ALB 10/03/2019 67.23 10/04/2019 66.32 50 -52.18  Close Signal Minor
 AME 10/03/2019 87.39 10/04/2019 88.83 38 48.02  Close Signal Minor
 MKC 10/01/2019 166.95 10/14/2019 163.01 20 -85.40  Close Signal Minor
 ALB 09/30/2019 69.52 10/01/2019 68.31 49 -66.04  Close Signal Minor
 AYI 09/27/2019 132.29 10/01/2019 129.46 26 -80.39  Close Signal Minor
 FITB 09/27/2019 27.48 09/30/2019 27.38 126 -19.51  Close Signal Minor
 AES 09/26/2019 16.22 10/02/2019 15.70 217 -119.77  Close Signal Minor
 BSX 09/26/2019 42.35 09/27/2019 40.31 83 -176.18  Close Signal Minor
 AA 09/25/2019 21.50 09/26/2019 20.99 165 -91.16  Close Signal Minor
 ADI 09/25/2019 112.68 09/26/2019 113.14 31 7.26  Close Signal Minor
 HAIN 09/24/2019 21.55 09/27/2019 21.54 165 -8.76  Close Signal Minor
 DOW 09/19/2019 47.64 09/24/2019 46.60 74 -83.93  Close Signal Minor
 ASH 09/17/2019 77.49 09/24/2019 76.54 45 -49.68  Close Signal Minor
 ALKS 09/16/2019 22.83 09/17/2019 21.43 158 -228.19  Close Signal Minor
 BBT 09/09/2019 50.36 09/24/2019 52.04 70 110.43  Close Signal Minor
 FAST 09/06/2019 31.38 09/19/2019 32.21 114 87.37  Close Signal Minor
 AZO 09/06/2019 1,143.34 09/09/2019 1,127.19 3 -55.26  Close Signal Minor
 AEE 08/29/2019 76.66 09/06/2019 75.71 45 -49.61  Close Signal Minor
 IRM 08/28/2019 31.00 09/16/2019 32.28 112 136.27  Close Signal Minor
 HES 08/28/2019 61.19 08/29/2019 61.99 56 37.90  Close Signal Minor
 ADP 08/26/2019 165.99 08/28/2019 166.40 21 1.63  Close Signal Minor
 AIV 08/26/2019 50.65 08/28/2019 50.58 68 -11.64  Close Signal Minor
 DLR 08/15/2019 119.55 08/23/2019 119.71 28 -2.22  Close Signal Minor
 KOS 08/12/2019 6.32 08/15/2019 6.06 553 -150.63  Close Signal Minor
 BC 08/08/2019 48.06 08/12/2019 46.30 73 -135.37  Close Signal Minor
 CHD 08/07/2019 75.66 08/23/2019 78.50 46 123.55  Close Signal Minor
 CAG 08/07/2019 27.97 08/08/2019 28.20 126 21.90  Close Signal Minor
 ADS 08/06/2019 152.69 08/07/2019 152.42 23 -13.23  Close Signal Minor
 ARE 08/06/2019 143.34 08/07/2019 143.42 24 -4.96  Close Signal Minor
 CAG 08/05/2019 28.00 08/06/2019 27.64 127 -52.79  Close Signal Minor
 AMT 07/31/2019 210.72 09/06/2019 231.60 17 347.44  Close Signal Minor
 CNK 07/31/2019 39.57 08/06/2019 39.07 90 -52.08  Close Signal Minor
 ARE 07/30/2019 147.06 07/31/2019 145.41 24 -46.62  Close Signal Minor
 OGE 07/29/2019 42.67 08/05/2019 41.59 82 -95.47  Close Signal Minor
 TSLA 07/29/2019 235.77 07/30/2019 242.26 14 84.17  Close Signal Minor
 AES 07/26/2019 16.80 07/29/2019 16.92 210 18.12  Close Signal Minor
 JBHT 07/16/2019 97.27 07/31/2019 101.89 36 159.15  Close Signal Minor
 LEG 07/16/2019 38.92 07/29/2019 38.61 90 -34.88  Close Signal Minor
 EMN 07/11/2019 74.67 07/26/2019 77.01 47 102.85  Close Signal Minor
 ANAT 07/11/2019 120.87 07/16/2019 120.39 29 -20.92  Close Signal Minor
 DLB 07/10/2019 63.41 07/11/2019 63.76 56 12.48  Close Signal Minor
 AES 07/08/2019 17.01 07/10/2019 16.85 209 -40.52  Close Signal Minor
 ADM 07/03/2019 41.48 07/16/2019 40.44 86 -96.49  Close Signal Minor
 APH 07/01/2019 97.61 07/11/2019 96.65 36 -41.55  Close Signal Minor
 A 06/28/2019 74.35 07/08/2019 73.68 47 -38.45  Close Signal Minor
 AMP 06/28/2019 144.13 07/01/2019 144.71 24 6.99  Close Signal Minor
 AAPL 06/26/2019 198.45 06/28/2019 196.58 18 -40.77  Close Signal Minor
 CAT 06/25/2019 132.69 07/03/2019 134.55 27 43.00  Close Signal Minor
 CBT 06/25/2019 45.08 06/26/2019 45.29 79 9.45  Close Signal Minor
 ALXN 06/21/2019 132.39 06/28/2019 130.98 27 -45.18  Close Signal Minor
 AMAT 06/18/2019 42.12 06/25/2019 41.79 84 -34.77  Close Signal Minor
 BDN 06/17/2019 15.08 06/18/2019 14.90 235 -49.35  Close Signal Minor
 CAG 06/13/2019 29.58 06/17/2019 29.13 120 -61.05  Close Signal Minor
 DLTR 06/12/2019 108.05 06/25/2019 108.95 31 21.17  Close Signal Minor
 ABC 06/03/2019 80.00 06/21/2019 84.07 41 160.14  Close Signal Minor
 CNC 05/29/2019 56.23 06/03/2019 51.82 61 -275.60  Close Signal Minor
 MOH 05/28/2019 132.00 06/13/2019 148.08 26 410.80  Close Signal Minor
 ARMK 05/28/2019 31.54 06/12/2019 34.72 108 336.28  Close Signal Minor
 CCI 05/23/2019 125.60 05/28/2019 124.05 27 -48.59  Close Signal Minor
 ARMK 05/20/2019 31.51 05/23/2019 31.03 109 -59.14  Close Signal Minor



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