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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: 1/1/2020 - 12/31/2020
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $-225   Total Trades: 15  
Capital Growth:-2%   Profit Trades, % of Total:27%  
Profit Factor: [?] 0.53  Max Drawdown3%($347)  
Expected Payoff: [?] $-14.98  Abs Drawdown3%($347)  
Payoff Ratio: [?] 1.45  Avg Market Impact [?]
Minor  Minor Market Impact
 
Avg Annual Return, %: -2.25%   
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2020 -2.25 -2.25
    Export   
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 APD 01/28/2020 236.45 01/28/2020 236.45 12 -5.67  Period End Minor
 CASY 01/27/2020 166.03 01/28/2020 163.49 17 -48.78  Close Signal Minor
 CHD 01/27/2020 72.38 01/28/2020 72.02 41 -20.68  Period End Minor
 CTL 01/21/2020 14.72 01/28/2020 14.47 197 -55.00  Period End Minor
 ATR 01/09/2020 114.66 01/21/2020 115.63 25 18.49  Close Signal Minor
 AWI 01/08/2020 97.89 01/27/2020 101.57 29 100.94  Close Signal Minor
 BIIB 01/08/2020 292.66 01/09/2020 294.30 9 9.48  Close Signal Minor
 AKAM 01/07/2020 90.20 01/27/2020 94.23 32 123.06  Close Signal Minor
 AA 01/07/2020 21.32 01/08/2020 20.46 138 -124.45  Close Signal Minor
 D 01/06/2020 82.39 01/08/2020 81.69 35 -30.24  Close Signal Minor
 CMS 01/06/2020 62.59 01/07/2020 62.27 47 -20.91  Close Signal Minor
 AA 01/03/2020 21.50 01/06/2020 21.00 139 -75.41  Close Signal Minor
 DE 01/02/2020 176.86 01/07/2020 173.74 16 -55.53  Close Signal Minor
 DISH 01/02/2020 35.74 01/06/2020 35.64 83 -14.22  Close Signal Minor
 EXAS 01/02/2020 95.58 01/03/2020 94.94 31 -25.75  Close Signal Minor



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