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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: 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: $-70   Total Trades: 123  
Capital Growth:-1%   Profit Trades, % of Total:33%  
Profit Factor: [?] 0.99  Max Drawdown17%($1,950)  
Expected Payoff: [?] $-0.57  Abs Drawdown2%($213)  
Payoff Ratio: [?] 1.97  Avg Market Impact [?]
Minor  Minor Market Impact
 
Avg Annual Return, %: -0.70%   
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2019 -0.70 4.67 3.44 3.16 5.48 -3.90 2.49 -8.38 0.21 -2.62 -4.28
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 AMD 10/21/2019 32.03 10/21/2019 32.03 92 -0.64  Period End Minor
 AWI 10/16/2019 97.75 10/21/2019 100.23 30 72.42  Period End Minor
 FISV 10/15/2019 106.89 10/21/2019 104.44 27 -68.26  Close Signal Minor
 DTE 10/15/2019 129.03 10/16/2019 129.26 23 2.71  Close Signal Minor
 VTR 10/14/2019 72.65 10/15/2019 72.24 41 -18.26  Close Signal Minor
 ALB 10/11/2019 68.91 10/14/2019 67.56 43 -59.41  Close Signal Minor
 EXPE 10/10/2019 135.99 10/21/2019 136.26 21 2.95  Period End Minor
 HOG 10/10/2019 33.80 10/11/2019 35.10 88 113.71  Close Signal Minor
 C 10/09/2019 67.43 10/10/2019 68.62 43 49.81  Close Signal Minor
 CAH 10/09/2019 45.30 10/10/2019 46.05 65 47.84  Close Signal Minor
 ASH 10/08/2019 75.97 10/09/2019 74.81 39 -46.75  Close Signal Minor
 DPZ 10/08/2019 253.48 10/09/2019 248.19 11 -63.21  Close Signal Minor
 AGO 10/07/2019 44.14 10/08/2019 43.90 68 -17.20  Close Signal Minor
 KMX 10/07/2019 86.31 10/08/2019 85.10 34 -42.85  Close Signal Minor
 ANAT 10/04/2019 118.70 10/07/2019 118.00 25 -19.87  Close Signal Minor
 CAG 10/04/2019 28.86 10/07/2019 28.63 104 -24.50  Close Signal Minor
 ALB 10/03/2019 67.23 10/04/2019 66.32 44 -41.38  Close Signal Minor
 AME 10/03/2019 87.39 10/04/2019 88.83 34 47.20  Close Signal Minor
 MKC 10/01/2019 166.95 10/14/2019 163.01 18 -74.22  Close Signal Minor
 ALB 09/30/2019 69.52 10/01/2019 68.31 44 -54.62  Close Signal Minor
 AYI 09/27/2019 132.29 10/01/2019 129.46 23 -67.71  Close Signal Minor
 IEX 09/27/2019 164.54 09/30/2019 163.88 18 -15.16  Close Signal Minor
 AES 09/26/2019 16.22 10/02/2019 15.70 193 -100.68  Close Signal Minor
 BSX 09/26/2019 42.35 09/27/2019 40.31 74 -151.79  Close Signal Minor
 AA 09/25/2019 21.50 09/26/2019 20.99 147 -75.39  Close Signal Minor
 ALB 09/25/2019 68.30 09/26/2019 67.19 46 -52.41  Close Signal Minor
 HAIN 09/24/2019 21.55 09/27/2019 21.54 147 -1.90  Close Signal Minor
 KSS 09/24/2019 49.18 09/25/2019 49.78 64 37.41  Close Signal Minor
 AES 09/23/2019 16.25 09/25/2019 16.12 195 -25.67  Close Signal Minor
 AMTD 09/13/2019 49.74 09/24/2019 48.01 64 -111.70  Close Signal Minor
 ADI 09/12/2019 116.21 09/23/2019 114.29 27 -54.14  Close Signal Minor
 BBT 09/09/2019 50.36 09/24/2019 52.04 62 103.14  Close Signal Minor
 EXC 09/06/2019 48.12 09/12/2019 47.88 66 -16.80  Close Signal Minor
 AZO 09/06/2019 1,143.34 09/09/2019 1,127.19 2 -55.01  Close Signal Minor
 AEE 08/29/2019 76.66 09/06/2019 75.71 40 -39.52  Close Signal Minor
 IRM 08/28/2019 31.57 09/13/2019 32.55 97 94.42  Close Signal Minor
 HES 08/28/2019 61.43 08/29/2019 62.24 50 39.26  Close Signal Minor
 ADP 08/26/2019 166.81 08/28/2019 167.22 18 4.04  Close Signal Minor
 AIV 08/26/2019 50.65 08/28/2019 50.58 61 -5.28  Close Signal Minor
 DLR 08/15/2019 119.55 08/23/2019 119.71 25 1.61  Close Signal Minor
 KOS 08/12/2019 6.39 08/15/2019 6.11 484 -135.64  Close Signal Minor
 BC 08/08/2019 48.06 08/12/2019 46.30 65 -115.34  Close Signal Minor
 CHD 08/07/2019 75.66 08/23/2019 78.50 41 114.90  Close Signal Minor
 CAG 08/07/2019 27.97 08/08/2019 28.20 111 24.97  Close Signal Minor
 ADS 08/06/2019 152.69 08/07/2019 152.42 20 -8.45  Close Signal Minor
 ARE 08/06/2019 143.34 08/07/2019 143.42 21 -1.19  Close Signal Minor
 CAG 08/05/2019 28.00 08/06/2019 27.64 112 -40.88  Close Signal Minor
 ARE 08/02/2019 143.93 08/05/2019 141.74 22 -51.04  Close Signal Minor
 AMT 07/31/2019 210.72 09/06/2019 231.60 15 308.78  Close Signal Minor
 CNK 07/31/2019 39.57 08/06/2019 39.07 80 -40.79  Close Signal Minor
 ARE 07/30/2019 147.06 07/31/2019 145.41 21 -37.57  Close Signal Minor
 CHD 07/30/2019 76.41 07/31/2019 75.22 42 -51.50  Close Signal Minor
 PSA 07/29/2019 242.75 07/30/2019 243.10 13 -0.31  Close Signal Minor
 CTSH 07/25/2019 65.78 07/30/2019 65.33 49 -23.36  Close Signal Minor
 ALB 07/24/2019 75.13 07/25/2019 74.22 43 -40.62  Close Signal Minor
 CAG 07/23/2019 28.99 08/02/2019 28.27 113 -81.93  Close Signal Minor
 AMTD 07/22/2019 52.40 07/29/2019 51.41 62 -62.42  Close Signal Minor
 CRL 07/22/2019 136.46 07/23/2019 137.43 24 20.54  Close Signal Minor
 BA 07/19/2019 375.02 07/24/2019 359.19 8 -133.98  Close Signal Minor
 GGG 07/19/2019 50.12 07/22/2019 49.96 66 -11.56  Close Signal Minor
 CRL 07/18/2019 137.25 07/19/2019 135.64 24 -41.37  Close Signal Minor
 CAG 07/17/2019 28.75 07/22/2019 28.04 116 -82.93  Close Signal Minor
 IGT 07/16/2019 13.81 07/18/2019 13.28 245 -130.12  Close Signal Minor
 CHRW 07/16/2019 84.95 07/17/2019 82.25 39 -106.97  Close Signal Minor
 AES 07/12/2019 16.94 07/19/2019 17.08 202 27.94  Close Signal Minor
 ANAT 07/11/2019 121.71 07/16/2019 121.23 28 -15.87  Close Signal Minor
 CBSH 07/11/2019 59.12 07/12/2019 59.28 57 7.94  Close Signal Minor
 DLB 07/10/2019 63.41 07/11/2019 63.76 54 17.63  Close Signal Minor
 HPT 07/10/2019 25.37 07/11/2019 24.82 135 -74.75  Close Signal Minor
 AES 07/08/2019 17.01 07/10/2019 16.85 200 -32.34  Close Signal Minor
 ADM 07/03/2019 41.48 07/16/2019 40.44 82 -86.10  Close Signal Minor
 A 06/28/2019 74.35 07/08/2019 73.68 45 -31.63  Close Signal Minor
 CAT 06/25/2019 132.69 07/03/2019 134.55 25 43.83  Close Signal Minor
 ALXN 06/21/2019 132.39 06/28/2019 130.98 25 -37.88  Close Signal Minor
 AME 06/18/2019 86.38 07/10/2019 89.44 38 114.52  Close Signal Minor
 BDN 06/17/2019 15.08 06/18/2019 14.90 220 -39.90  Close Signal Minor
 CAG 06/13/2019 29.58 06/17/2019 29.13 112 -50.99  Close Signal Minor
 ABC 06/03/2019 80.00 06/21/2019 84.07 40 161.16  Close Signal Minor
 BG 05/31/2019 51.82 06/25/2019 55.38 63 223.21  Close Signal Minor
 ADP 05/30/2019 160.91 05/31/2019 160.12 20 -19.01  Close Signal Minor
 CNC 05/29/2019 56.23 06/03/2019 51.82 58 -256.86  Close Signal Minor
 TMK 05/29/2019 86.81 05/30/2019 86.49 38 -13.89  Close Signal Minor
 MOH 05/28/2019 132.00 06/13/2019 148.08 25 399.20  Close Signal Minor
 QGEN 05/28/2019 38.28 05/29/2019 37.76 87 -46.00  Close Signal Minor
 VZ 05/20/2019 59.01 05/29/2019 58.18 55 -46.82  Close Signal Minor
 COO 05/17/2019 292.70 05/20/2019 289.45 11 -41.57  Close Signal Minor
 VTR 05/13/2019 63.42 05/28/2019 64.70 52 65.28  Close Signal Minor
 AEE 05/10/2019 72.37 05/28/2019 73.39 46 45.46  Close Signal Minor
 CASY 05/08/2019 131.39 05/17/2019 131.74 25 6.12  Close Signal Minor
 SATS 05/08/2019 33.38 05/13/2019 31.84 100 -154.65  Close Signal Minor
 GE 05/08/2019 10.14 05/10/2019 10.11 331 -10.13  Close Signal Minor
 NUS 05/01/2019 64.32 05/07/2019 55.48 53 -469.72  Close Signal Minor
 CBSH 04/29/2019 61.09 05/01/2019 59.81 56 -72.89  Close Signal Minor
 BOH 04/25/2019 80.35 05/08/2019 80.35 41 -1.61  Close Signal Minor
 AFG 04/11/2019 95.13 05/08/2019 99.67 34 152.41  Close Signal Minor
 HSIC 04/09/2019 61.99 04/11/2019 60.93 53 -57.41  Close Signal Minor
 CLR 04/04/2019 45.23 04/25/2019 48.90 72 263.30  Close Signal Minor



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