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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: 1/1/2023 - 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: 52  
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: [?]0%  
 Equity Graph 
 Performance 
Year S&P 500 Equity JanFeb MarAprMay JunJulAug SepOctNov 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 Minor
 ARW 05/25/2023 125.98 05/26/2023 128.54 27 62.21  Period End Minor
 AIG 05/23/2023 55.77 05/25/2023 53.68 53 -116.52  Close Signal Minor
 IONS 05/19/2023 39.19 05/25/2023 39.17 86 -8.46  Close Signal Minor
 ADI 05/18/2023 192.26 05/23/2023 187.92 16 -75.49  Close Signal Minor
 ARW 05/18/2023 123.91 05/19/2023 123.22 27 -25.29  Close Signal Minor
 CCL 05/17/2023 11.04 05/26/2023 11.28 296 64.40  Period End Minor
 FSLR 05/12/2023 231.69 05/18/2023 206.28 13 -335.86  Close Signal Minor
 CCK 05/11/2023 83.41 05/12/2023 82.02 38 -59.08  Close Signal Minor
 ALNY 05/10/2023 210.97 05/11/2023 206.09 15 -79.42  Close Signal Minor
 HON 05/09/2023 196.10 05/10/2023 196.31 16 -2.92  Close Signal Minor
 ATO 05/04/2023 117.21 05/17/2023 116.04 27 -37.87  Close Signal Minor
 CCK 05/04/2023 84.56 05/09/2023 83.17 39 -60.72  Close Signal Minor
 PLNT 04/26/2023 79.90 05/04/2023 68.29 46 -540.61  Close Signal Minor
 BAX 04/21/2023 45.29 05/04/2023 45.29 74 -6.70  Close Signal Minor
 EL 04/20/2023 258.48 04/21/2023 256.23 13 -35.93  Close Signal Minor
 BR 04/12/2023 145.53 04/20/2023 142.61 24 -76.96  Close Signal Minor
 BRO 04/11/2023 58.80 04/12/2023 58.38 60 -32.22  Close Signal Minor
 KO 03/27/2023 61.35 04/26/2023 63.55 58 120.29  Close Signal Minor
 DLB 03/27/2023 83.17 04/11/2023 84.00 42 27.82  Close Signal Minor
 GIS 03/23/2023 81.64 05/18/2023 88.50 43 287.52  Close Signal Minor
 INTC 03/23/2023 28.91 03/27/2023 29.06 122 11.22  Close Signal Minor
 LEN 03/23/2023 103.02 03/27/2023 101.84 34 -47.07  Close Signal Minor
 EXAS 03/21/2023 66.45 03/22/2023 64.17 53 -127.70  Close Signal Minor
 ED 03/15/2023 94.85 03/21/2023 92.42 38 -99.41  Close Signal Minor
 ATR 03/14/2023 114.72 03/15/2023 111.03 33 -129.16  Close Signal Minor
 PNW 03/13/2023 74.63 03/22/2023 74.52 50 -12.95  Close Signal Minor
 EXAS 03/13/2023 63.54 03/14/2023 64.46 58 45.91  Close Signal Minor
 AZPN 03/08/2023 216.73 03/10/2023 214.12 15 -45.59  Close Signal Minor
 GPC 03/06/2023 173.61 03/07/2023 170.23 19 -70.72  Close Signal Minor
 ATVI 03/02/2023 77.71 03/22/2023 78.64 44 34.02  Close Signal Minor
 DXCM 03/02/2023 121.24 03/06/2023 113.25 29 -238.39  Close Signal Minor
 PSX 03/01/2023 106.07 03/02/2023 104.66 43 -69.66  Close Signal Minor
 RARE 02/28/2023 44.49 03/01/2023 45.65 101 108.00  Close Signal Minor
 NTRS 02/27/2023 93.49 02/28/2023 94.50 47 38.61  Close Signal Minor
 BOKF 02/24/2023 102.90 03/02/2023 101.35 24 -42.08  Close Signal Minor
 AGO 02/22/2023 61.58 02/27/2023 61.42 72 -20.37  Close Signal Minor
 LMT 02/21/2023 476.19 03/09/2023 475.85 9 -11.63  Close Signal Minor
 AIZ 02/17/2023 130.95 02/21/2023 130.10 36 -39.98  Close Signal Minor
 AGO 02/16/2023 61.93 02/21/2023 61.07 65 -63.87  Close Signal Minor
 AZO 02/09/2023 2,490.28 02/24/2023 2,540.56 1 45.22  Close Signal Minor
 AMED 02/08/2023 93.58 02/17/2023 97.16 49 165.99  Close Signal Minor
 BG 02/06/2023 98.27 02/08/2023 96.90 47 -73.53  Close Signal Minor
 CLX 02/03/2023 153.66 02/16/2023 151.58 21 -50.07  Close Signal Minor
 FCN 02/03/2023 164.63 02/09/2023 161.60 21 -70.45  Close Signal Minor
 AMED 01/30/2023 93.68 02/03/2023 92.14 36 -62.10  Close Signal Minor
 CHH 01/19/2023 121.21 01/30/2023 121.38 28 -2.03  Close Signal Minor
 C 01/09/2023 46.57 02/03/2023 50.40 67 249.98  Close Signal Minor
 AFG 01/06/2023 135.79 01/09/2023 134.63 23 -32.89  Close Signal Minor
 HAYW 01/03/2023 9.94 02/06/2023 13.59 340 1,232.38  Close Signal Minor
 CCK 01/03/2023 82.02 01/19/2023 85.04 40 114.06  Close Signal Minor
 FIVN 01/03/2023 69.54 01/05/2023 66.47 48 -153.81  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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