Strategy Tester

Strategy Name

Ichimoku Kinko Hyo

The Ichimoku indicator was published in 1969 by a reporter, Ichimoku Kinko Hyo, in Japan. This indicator comprises five lines: 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:

1/1/2024 - 12/31/2024

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

Results

Total Profit:

$-140

Total Trades:

Capital Growth:

-1.4%

Profit Trades, % of Total:

32%

Profit Factor: [?]

0.96

Avg Trade Duration, days:

5.51

Payoff Ratio: [?]

2.08

Avg Profit per Trade:

-0.022%

Max Drawdown:

Avg Profit per Day:

-0.004%

Max Drawdown, $:

866

Avg Market Impact: [?]

Minor

Restoration Factor: [?]

-0.16

Overall Viability Score: [?]

3 / 10

Avg Annual Return:

-1.4%

CAGR: [?]

Equity Graph

Performance

Year	S&P 500	Equity	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2024	13.39	-1.40	-3.97	-0.32	5.88	-2.63	-2.40	0.41	1.02	3.25	-2.26

Performed Trades:

All

Symbol	Entry Date	Entry Price, $	Exit Date	Exit Price, $	Shares	Profit, $	Exit On	MI [?]
NYCB	09/06/2024	10.81	09/06/2024	10.81	274	-5.92	Period End
AAPL	09/05/2024	222.38	09/06/2024	220.82	13	-26.03	Close Signal
FLO	09/05/2024	23.43	09/06/2024	23.44	126	-4.65	Period End
COHR	09/04/2024	73.90	09/05/2024	74.26	38	8.04	Close Signal
CHD	09/03/2024	105.29	09/06/2024	105.18	27	-8.65	Period End
CPRT	09/03/2024	53.52	09/04/2024	53.05	54	-31.12	Close Signal
CAH	08/12/2024	100.66	09/05/2024	111.77	27	294.08	Close Signal
IP	08/12/2024	44.06	09/03/2024	47.77	62	224.21	Close Signal
AFG	08/09/2024	127.29	08/12/2024	125.14	21	-50.43	Close Signal
ACM	08/06/2024	91.02	09/03/2024	97.61	30	191.94	Close Signal
GIS	08/02/2024	69.28	08/06/2024	67.93	40	-59.46	Close Signal
APD	08/01/2024	287.47	08/09/2024	278.23	9	-88.21	Close Signal
ARW	08/01/2024	128.94	08/02/2024	125.76	21	-72.10	Close Signal
BA	07/25/2024	184.35	08/01/2024	178.31	15	-95.99	Close Signal
BYD	07/25/2024	58.53	08/01/2024	57.78	48	-41.56	Close Signal
CMS	07/24/2024	61.99	08/12/2024	65.78	46	168.38	Close Signal
BDX	07/24/2024	237.34	07/25/2024	232.78	12	-60.33	Close Signal
BMRN	07/19/2024	84.09	07/24/2024	84.63	33	12.24	Close Signal
ALL	07/17/2024	169.87	07/25/2024	164.59	16	-89.79	Close Signal
AXP	07/09/2024	237.75	07/19/2024	242.38	11	45.62	Close Signal
AMD	07/05/2024	171.90	07/17/2024	159.43	16	-204.72	Close Signal
LFUS	07/03/2024	251.84	07/05/2024	248.78	11	-39.15	Close Signal
EGP	06/26/2024	167.35	07/24/2024	185.40	16	283.01	Close Signal
ADSK	06/24/2024	239.17	07/09/2024	243.96	11	47.35	Close Signal
ELS	06/21/2024	63.87	07/03/2024	63.60	44	-17.48	Close Signal
ADSK	06/18/2024	244.12	06/21/2024	242.31	11	-25.25	Close Signal
ICLR	06/17/2024	316.39	06/18/2024	318.63	8	12.83	Close Signal
ADBE	06/14/2024	525.31	06/17/2024	518.74	5	-38.05	Close Signal
LITE	06/13/2024	47.55	06/24/2024	47.58	59	-3.84	Close Signal
KIM	06/12/2024	18.34	06/14/2024	18.56	154	28.18	Close Signal
LNG	06/12/2024	158.08	06/13/2024	158.84	17	7.53	Close Signal
SCI	06/11/2024	71.65	06/26/2024	72.51	40	28.62	Close Signal
ADM	06/06/2024	60.65	06/12/2024	59.96	47	-38.08	Close Signal
BA	06/04/2024	188.62	06/12/2024	182.67	15	-94.77	Close Signal
AMT	05/30/2024	189.21	06/11/2024	191.68	14	29.23	Close Signal
BIIB	05/30/2024	220.07	06/04/2024	234.13	12	163.19	Close Signal
DOCU	05/29/2024	58.50	05/30/2024	54.69	49	-192.14	Close Signal
CNA	05/28/2024	44.14	06/06/2024	44.18	65	-3.14	Close Signal
AMZN	05/28/2024	182.15	05/29/2024	182.02	15	-7.41	Close Signal
BIIB	05/28/2024	218.73	05/29/2024	214.41	13	-61.76	Close Signal
ALB	05/24/2024	127.12	05/28/2024	127.29	22	-1.86	Close Signal
CME	05/23/2024	209.65	05/28/2024	206.12	13	-51.27	Close Signal
BR	05/22/2024	203.13	05/24/2024	199.72	14	-53.36	Close Signal
EPR	05/22/2024	40.32	05/23/2024	39.43	72	-69.79	Close Signal
CCL	05/20/2024	16.09	05/22/2024	15.65	185	-87.23	Close Signal
BLK	05/17/2024	806.90	05/22/2024	794.37	3	-42.38	Close Signal
ACI	05/16/2024	20.78	05/17/2024	20.50	144	-46.24	Close Signal
AMED	05/08/2024	94.08	05/28/2024	95.60	31	41.22	Close Signal
JPM	05/08/2024	194.57	05/20/2024	194.50	15	-6.89	Close Signal
CBSH	04/17/2024	52.58	05/16/2024	55.74	53	161.66	Close Signal
CHDN	04/16/2024	124.10	04/17/2024	121.08	22	-71.80	Close Signal
HEI	04/15/2024	193.63	05/08/2024	209.38	14	214.75	Close Signal
BYD	04/15/2024	64.36	04/16/2024	64.46	44	-1.27	Close Signal
BMRN	04/12/2024	92.22	04/15/2024	91.51	30	-26.80	Close Signal
STT	04/12/2024	75.07	04/15/2024	74.23	38	-37.58	Close Signal
ALB	04/11/2024	129.83	04/12/2024	122.13	22	-174.86	Close Signal
BX	04/11/2024	125.29	04/12/2024	121.93	23	-82.93	Close Signal
HEI-A	04/10/2024	154.56	05/08/2024	167.35	19	236.77	Close Signal
ADM	04/09/2024	62.84	04/11/2024	61.54	46	-65.49	Close Signal
ALB	04/08/2024	131.20	04/09/2024	128.68	22	-61.13	Close Signal
BX	04/05/2024	125.99	04/10/2024	124.51	23	-39.78	Close Signal
ADM	04/05/2024	62.41	04/08/2024	62.14	47	-18.54	Close Signal
ED	04/04/2024	88.69	04/05/2024	88.16	33	-23.32	Close Signal
PRGO	04/04/2024	30.84	04/05/2024	30.79	96	-10.71	Close Signal
BWA	03/26/2024	33.44	04/10/2024	34.61	87	95.82	Close Signal
AVT	03/21/2024	47.55	04/04/2024	47.85	61	12.47	Close Signal
BK	03/18/2024	54.13	04/04/2024	55.94	52	88.35	Close Signal
BKR	03/12/2024	31.09	03/26/2024	32.42	89	112.66	Close Signal
CCI	03/01/2024	107.76	03/12/2024	107.68	25	-7.39	Close Signal
A	02/27/2024	132.09	03/18/2024	145.58	20	264.11	Close Signal
ON	02/26/2024	77.57	02/27/2024	76.97	35	-26.40	Close Signal
BBY	02/22/2024	73.58	03/01/2024	76.23	37	92.46	Close Signal
BDX	02/21/2024	243.37	02/22/2024	241.68	11	-23.92	Close Signal
AJG	02/13/2024	234.70	03/21/2024	249.20	11	154.10	Close Signal
CE	02/12/2024	149.52	02/13/2024	143.46	18	-114.30	Close Signal
HAS	02/07/2024	48.83	02/26/2024	47.63	57	-73.86	Close Signal
FRT	02/06/2024	99.50	02/07/2024	98.69	28	-28.22	Close Signal
AJG	02/05/2024	234.64	02/12/2024	234.01	12	-13.18	Close Signal
COLM	02/01/2024	81.17	02/05/2024	76.73	35	-160.85	Close Signal
ACGL	01/31/2024	82.43	02/21/2024	84.71	35	73.91	Close Signal
MMC	01/31/2024	192.44	02/01/2024	192.34	15	-7.27	Close Signal
ADBE	01/25/2024	622.58	02/06/2024	607.14	4	-66.65	Close Signal
MMC	01/17/2024	194.23	01/25/2024	189.71	14	-68.62	Close Signal
VEEV	01/09/2024	193.00	01/31/2024	207.41	14	196.03	Close Signal
JBL	01/09/2024	128.11	01/16/2024	125.16	22	-70.44	Close Signal
AN	01/08/2024	143.14	01/09/2024	143.20	20	-4.53	Close Signal
JAZZ	01/05/2024	127.60	01/09/2024	122.38	23	-125.75	Close Signal
TW	01/04/2024	94.84	01/31/2024	95.13	31	3.10	Close Signal
STE	01/04/2024	214.51	01/05/2024	214.44	13	-6.49	Close Signal
CF	01/03/2024	81.10	01/08/2024	77.66	36	-129.49	Close Signal
COP	01/03/2024	118.30	01/04/2024	114.90	25	-90.79	Close Signal
DVN	01/03/2024	46.46	01/04/2024	45.29	64	-80.71	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.