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:	0.1%

Period:

1/1/2020 - 12/31/2020

The report displays results for the current year only. Please sign up to view the full report.

Results

Total Profit:

$310

Total Trades:

Capital Growth:

3.1%

Profit Trades, % of Total:

40%

Profit Factor: [?]

1.06

Avg Trade Duration, days:

4.07

Payoff Ratio: [?]

1.58

Avg Profit per Trade:

0.17%

Max Drawdown:

17%

Avg Profit per Day:

0.042%

Restoration Factor: [?]

0.18

Avg Market Impact: [?]

Minor

Avg Annual Return:

3.1%

Overall Viability Score: [?]

4 / 10

Equity Graph

Performance

Year

Total

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

2020

3.10

-5.08

-4.99

-5.17

11.76

7.74

0.48

-0.37

Export

Performed Trades:

All

Symbol	Entry Date	Entry Price, $	Exit Date	Exit Price, $	Shares	Profit, $	Exit On	MI [?]
NEM	07/07/2020	62.47	07/10/2020	61.88	46	-32.86	Period End
CAG	06/29/2020	33.70	07/10/2020	36.31	86	218.44	Period End
HPQ	06/26/2020	16.61	07/07/2020	16.63	168	-2.22	Close Signal
BA	06/26/2020	170.01	06/29/2020	194.49	16	385.85	Close Signal
DLR	06/25/2020	143.07	06/26/2020	140.41	20	-58.87	Close Signal
HBAN	06/25/2020	9.89	06/26/2020	8.80	293	-324.85	Close Signal
BA	06/23/2020	187.88	06/24/2020	176.69	15	-173.32	Close Signal
USB	06/23/2020	38.58	06/24/2020	36.87	77	-137.48	Close Signal
ATO	06/22/2020	100.12	06/23/2020	98.84	30	-44.37	Close Signal
CNP	06/22/2020	18.05	06/23/2020	18.18	166	15.57	Close Signal
ALL	06/19/2020	98.73	06/22/2020	97.16	30	-52.98	Close Signal
AES	06/18/2020	13.44	06/22/2020	13.98	225	115.33	Close Signal
CNP	06/17/2020	18.46	06/19/2020	17.79	163	-115.12	Close Signal
DISCA	06/17/2020	22.17	06/18/2020	22.52	135	41.22	Close Signal
ALKS	06/16/2020	17.18	07/10/2020	19.69	176	435.27	Period End
AIV	06/16/2020	40.51	06/17/2020	39.13	74	-108.01	Close Signal
BOKF	06/15/2020	58.68	06/17/2020	59.54	51	37.83	Close Signal
AFL	06/15/2020	37.12	06/16/2020	37.35	81	12.60	Close Signal
AIZ	06/15/2020	107.12	06/16/2020	108.52	28	33.16	Close Signal
AA	06/12/2020	11.53	06/15/2020	11.41	262	-37.45	Close Signal
AIG	06/12/2020	33.04	06/15/2020	33.19	91	7.62	Close Signal
AMTD	06/12/2020	39.28	06/15/2020	39.48	77	9.34	Close Signal
AA	06/04/2020	11.64	06/11/2020	10.42	246	-305.55	Close Signal
DKS	05/21/2020	30.84	06/11/2020	36.17	92	484.19	Close Signal
HEI	05/21/2020	93.11	06/11/2020	105.17	30	355.85	Close Signal
BRKR	05/15/2020	41.53	06/04/2020	42.79	66	77.60	Close Signal
AOS	05/15/2020	40.41	05/21/2020	42.68	68	148.71	Close Signal
ALGN	05/14/2020	206.09	05/15/2020	203.67	13	-36.79	Close Signal
AME	05/14/2020	78.75	05/15/2020	79.59	35	23.86	Close Signal
TREE	05/12/2020	242.55	05/13/2020	233.10	11	-109.18	Close Signal
A	05/05/2020	76.37	05/21/2020	80.75	32	135.13	Close Signal
ADP	05/04/2020	144.48	05/12/2020	141.73	17	-51.62	Close Signal
CERN	05/04/2020	67.06	05/05/2020	68.47	37	47.16	Close Signal
CHE	05/01/2020	427.28	05/04/2020	416.00	5	-60.62	Close Signal
STLD	05/01/2020	24.41	05/04/2020	24.32	102	-14.15	Close Signal
ARW	04/30/2020	62.92	05/01/2020	62.39	40	-26.21	Close Signal
ADP	04/28/2020	143.01	05/01/2020	140.42	17	-48.85	Close Signal
A	04/27/2020	76.25	04/28/2020	75.45	32	-30.45	Close Signal
ABMD	04/22/2020	166.73	04/27/2020	163.47	15	-53.85	Close Signal
AR	04/21/2020	2.09	05/12/2020	2.96	1,198	1,036.21	Close Signal
ABC	04/15/2020	88.33	04/21/2020	85.57	28	-82.15	Close Signal
AMD	04/13/2020	50.94	04/21/2020	52.92	48	90.05	Close Signal
CHE	04/09/2020	470.95	04/13/2020	453.58	5	-91.47	Close Signal
CAG	04/03/2020	31.21	04/30/2020	33.44	77	166.73	Close Signal
CY	04/01/2020	23.40	04/15/2020	23.82	101	37.65	Period End
HRL	03/31/2020	46.64	04/01/2020	46.35	51	-19.53	Close Signal
ERIE	03/30/2020	174.34	03/31/2020	148.24	14	-369.92	Close Signal
KR	03/27/2020	29.13	03/30/2020	29.65	85	39.20	Close Signal
SFM	03/26/2020	18.37	03/27/2020	17.97	135	-58.91	Close Signal
CTXS	03/24/2020	122.00	04/09/2020	139.40	20	342.77	Close Signal
COG	03/24/2020	16.35	03/25/2020	16.46	152	11.73	Close Signal
QGEN	03/23/2020	38.10	04/03/2020	40.27	65	135.96	Close Signal
CTXS	03/17/2020	127.46	03/20/2020	119.33	19	-159.16	Close Signal
COST	03/17/2020	306.99	03/18/2020	307.50	8	-0.84	Close Signal
CLX	03/13/2020	167.77	03/20/2020	177.40	15	139.27	Close Signal
CPB	03/13/2020	49.28	03/16/2020	49.30	51	-4.01	Close Signal
BMRN	03/10/2020	89.32	03/11/2020	86.90	28	-72.69	Close Signal
CASY	03/04/2020	170.06	03/05/2020	166.22	15	-62.64	Close Signal
QGEN	03/03/2020	41.45	03/16/2020	39.46	64	-132.54	Close Signal
CRL	03/02/2020	164.30	03/03/2020	161.51	16	-49.85	Close Signal
ETFC	03/02/2020	47.03	03/03/2020	45.00	57	-120.96	Close Signal
ALKS	02/28/2020	20.84	03/06/2020	18.99	129	-243.79	Close Signal
ROST	02/26/2020	119.20	02/27/2020	111.94	24	-179.79	Close Signal
TJX	02/26/2020	63.99	02/27/2020	60.12	45	-179.74	Close Signal
VTR	02/26/2020	59.49	02/27/2020	55.01	48	-220.54	Close Signal
CONE	02/25/2020	66.34	02/26/2020	66.28	43	-8.28	Close Signal
DE	02/21/2020	177.43	02/24/2020	171.86	16	-94.71	Close Signal
ACC	02/14/2020	47.96	02/26/2020	47.86	59	-11.55	Close Signal
ACN	02/03/2020	207.80	02/21/2020	211.89	13	47.71	Close Signal
IBM	01/31/2020	143.73	02/14/2020	150.70	19	126.84	Close Signal
AVY	01/29/2020	136.23	01/31/2020	131.24	21	-110.41	Close Signal
EVR	01/29/2020	80.83	01/31/2020	76.62	35	-152.86	Close Signal
APD	01/28/2020	236.45	01/29/2020	237.27	12	4.16	Close Signal
CHD	01/27/2020	72.38	02/24/2020	75.51	41	122.27	Close Signal
CASY	01/27/2020	166.03	01/28/2020	163.49	17	-48.78	Close Signal
CTL	01/21/2020	14.72	01/29/2020	13.83	197	-180.95	Close Signal
ATR	01/09/2020	114.66	01/21/2020	115.63	25	18.49	Close Signal
AWI	01/08/2020	97.89	01/27/2020	101.57	29	100.94	Close Signal
BIIB	01/08/2020	292.66	01/09/2020	294.30	9	9.48	Close Signal
AKAM	01/07/2020	90.20	01/27/2020	94.23	32	123.06	Close Signal
AA	01/07/2020	21.32	01/08/2020	20.46	138	-124.45	Close Signal
D	01/06/2020	82.39	01/08/2020	81.69	35	-30.24	Close Signal
CMS	01/06/2020	62.59	01/07/2020	62.27	47	-20.91	Close Signal
AA	01/03/2020	21.50	01/06/2020	21.00	139	-75.41	Close Signal
DE	01/02/2020	176.86	01/07/2020	173.74	16	-55.53	Close Signal
DISH	01/02/2020	35.74	01/06/2020	35.64	83	-14.22	Close Signal
EXAS	01/02/2020	95.58	01/03/2020	94.94	31	-25.75	Close Signal

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