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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: $323   Total Trades: 102  
Capital Growth:3.23%   Profit Trades, % of Total:30%  
Profit Factor: [?] 1.06  Avg Trade Duration, days:5.36  
Payoff Ratio: [?] 2.43   Avg Profit per Trade:0.14%  
Max Drawdown:16%   Avg Profit per Day:0.026%  
Max Drawdown, $: 1,847   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 0.18   Overall Viability Score: [?]
4 / 10
 
Avg Annual Return: 3.23%   CAGR: [?]3.23%  
 Equity Graph 
 Performance 
Year S&P 500 Equity JanFeb MarAprMay JunJulAug SepOctNov Dec
2023 11.68 3.23 15.51 -2.26 -3.83 3.40 -12.88 17.63 1.77 -6.49 -5.71
     
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 MU 09/29/2023 68.03 09/29/2023 68.03 40 -5.44  Period End Minor
 LULU 09/29/2023 385.61 09/29/2023 385.61 7 -5.40  Period End Minor
 CE 09/27/2023 123.30 09/29/2023 125.52 20 39.40  Close Signal Minor
 CVS 09/25/2023 72.57 09/27/2023 69.78 36 -105.51  Close Signal Minor
 ACN 09/22/2023 316.09 09/25/2023 316.99 8 2.13  Close Signal Minor
 AYI 09/21/2023 163.85 09/29/2023 170.31 28 171.43  Period End Minor
 AZO 09/20/2023 2,583.36 09/22/2023 2,570.27 1 -18.24  Close Signal Minor
 ACGL 09/15/2023 79.00 09/29/2023 79.71 38 20.94  Close Signal Minor
 ACN 09/14/2023 316.59 09/15/2023 312.53 9 -42.18  Close Signal Minor
 GRMN 09/13/2023 105.75 09/21/2023 105.04 35 -32.22  Close Signal Minor
 APD 09/08/2023 296.69 09/20/2023 293.02 12 -51.09  Close Signal Minor
 ALNY 09/07/2023 201.10 09/14/2023 193.06 16 -134.88  Close Signal Minor
 ALGN 09/06/2023 369.70 09/07/2023 340.93 9 -265.20  Close Signal Minor
 NFLX 09/05/2023 448.68 09/06/2023 445.76 8 -30.50  Close Signal Minor
 CIEN 08/31/2023 49.98 09/13/2023 48.64 75 -107.85  Close Signal Minor
 BSX 08/28/2023 53.79 09/08/2023 53.87 66 -1.83  Close Signal Minor
 ACM 08/25/2023 86.87 09/05/2023 86.72 41 -13.26  Close Signal Minor
 DBX 08/25/2023 27.29 08/28/2023 27.65 130 39.63  Close Signal Minor
 HUM 08/24/2023 481.76 08/25/2023 478.08 7 -32.47  Close Signal Minor
 INCY 08/24/2023 64.23 08/25/2023 63.86 59 -29.38  Close Signal Minor
 BMRN 08/23/2023 91.07 08/31/2023 91.38 41 5.22  Close Signal Minor
 NVAX 08/22/2023 9.16 08/24/2023 8.23 414 -392.03  Close Signal Minor
 POST 08/22/2023 88.70 08/23/2023 88.11 42 -32.19  Close Signal Minor
 NFE 08/17/2023 28.98 08/24/2023 28.67 131 -48.14  Close Signal Minor
 CVX 08/16/2023 157.12 08/22/2023 159.04 24 38.47  Close Signal Minor
 PGR 08/16/2023 136.14 08/22/2023 130.53 29 -170.34  Close Signal Minor
 BJ 08/15/2023 69.34 08/17/2023 68.57 55 -49.91  Close Signal Minor
 AMAT 08/14/2023 141.58 08/15/2023 139.78 28 -58.25  Close Signal Minor
 CVX 08/10/2023 159.30 08/15/2023 157.72 24 -45.51  Close Signal Minor
 BMRN 08/09/2023 93.23 08/14/2023 90.29 43 -134.25  Close Signal Minor
 CBSH 07/28/2023 52.73 08/10/2023 52.31 75 -39.36  Close Signal Minor
 CINF 07/28/2023 108.89 08/09/2023 107.86 37 -46.11  Close Signal Minor
 LSCC 07/27/2023 89.25 07/28/2023 90.95 44 66.83  Close Signal Minor
 AEE 07/19/2023 84.51 07/28/2023 85.15 47 22.09  Close Signal Minor
 ALNY 07/17/2023 202.83 07/19/2023 205.32 19 39.53  Close Signal Minor
 CME 07/14/2023 185.12 08/16/2023 204.89 19 368.03  Close Signal Minor
 AEE 07/13/2023 84.57 07/17/2023 83.76 46 -44.98  Close Signal Minor
 ACGL 07/07/2023 74.79 07/27/2023 79.67 49 231.43  Close Signal Minor
 ADM 07/07/2023 77.60 07/14/2023 77.79 47 1.62  Close Signal Minor
 DGX 07/06/2023 138.76 07/07/2023 138.29 26 -19.42  Close Signal Minor
 EXEL 07/06/2023 19.33 07/07/2023 19.31 194 -11.37  Close Signal Minor
 ABT 07/05/2023 106.86 07/06/2023 106.69 32 -12.27  Close Signal Minor
 AFG 07/03/2023 118.83 07/05/2023 116.90 30 -64.94  Close Signal Minor
 ABT 06/30/2023 108.50 07/03/2023 106.71 33 -66.14  Close Signal Minor
 CASY 06/28/2023 235.04 07/13/2023 242.60 16 113.26  Close Signal Minor
 AWI 06/26/2023 71.06 07/06/2023 71.58 54 20.36  Close Signal Minor
 ATO 06/26/2023 115.61 06/28/2023 114.53 33 -43.22  Close Signal Minor
 DGX 06/23/2023 140.77 06/30/2023 139.84 26 -31.46  Close Signal Minor
 CRL 06/23/2023 207.81 06/26/2023 206.30 16 -30.77  Close Signal Minor
 CHE 06/22/2023 549.34 06/23/2023 541.45 6 -53.86  Close Signal Minor
 ARW 05/25/2023 125.98 06/23/2023 135.08 27 238.53  Close Signal Minor
 ADBE 05/25/2023 392.06 06/22/2023 477.58 7 592.25  Close Signal Minor
 AIG 05/23/2023 55.08 05/25/2023 53.02 54 -117.02  Close Signal Minor
 IONS 05/19/2023 39.19 05/25/2023 39.17 86 -8.46  Close Signal Minor
 ADI 05/18/2023 190.44 05/23/2023 186.14 16 -74.79  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 06/26/2023 14.60 299 1,056.24  Close Signal Minor
 FSLR 05/12/2023 231.69 05/18/2023 206.28 13 -335.86  Close Signal Minor
 CCK 05/11/2023 83.19 05/12/2023 81.80 37 -57.51  Close Signal Minor
 ALNY 05/10/2023 210.97 05/11/2023 206.09 15 -79.42  Close Signal Minor
 HON 05/09/2023 195.03 05/10/2023 195.24 16 -2.89  Close Signal Minor
 ATO 05/04/2023 116.46 05/17/2023 115.30 28 -38.95  Close Signal Minor
 CCK 05/04/2023 84.33 05/09/2023 82.95 39 -60.32  Close Signal Minor
 PLNT 04/26/2023 79.90 05/04/2023 68.29 47 -552.36  Close Signal Minor
 BAX 04/21/2023 44.66 05/04/2023 44.66 75 -6.70  Close Signal Minor
 EL 04/20/2023 256.54 04/21/2023 254.30 13 -35.75  Close Signal Minor
 BR 04/12/2023 144.25 04/20/2023 141.35 24 -76.42  Close Signal Minor
 BRO 04/11/2023 58.71 04/12/2023 58.28 59 -32.26  Close Signal Minor
 KO 03/27/2023 60.41 04/26/2023 62.57 60 122.16  Close Signal Minor
 DLB 03/27/2023 82.88 04/11/2023 83.70 42 27.43  Close Signal Minor
 GIS 03/23/2023 81.01 05/18/2023 87.82 43 285.42  Close Signal Minor
 INTC 03/23/2023 28.81 03/27/2023 28.96 124 11.43  Close Signal Minor
 LEN 03/23/2023 102.71 03/27/2023 101.53 34 -47.04  Close Signal Minor
 EXAS 03/21/2023 66.45 03/22/2023 64.17 52 -125.29  Close Signal Minor
 ED 03/15/2023 94.00 03/21/2023 91.59 38 -98.59  Close Signal Minor
 ATR 03/14/2023 114.33 03/15/2023 110.65 32 -124.90  Close Signal Minor
 PNW 03/13/2023 73.86 03/22/2023 73.75 51 -13.14  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 171.42 03/07/2023 168.09 19 -69.69  Close Signal Minor
 ATVI 03/02/2023 76.88 03/22/2023 77.80 45 34.42  Close Signal Minor
 DXCM 03/02/2023 121.24 03/06/2023 113.25 29 -238.39  Close Signal Minor
 PSX 03/01/2023 105.09 03/02/2023 103.69 43 -69.15  Close Signal Minor
 RARE 02/28/2023 44.49 03/01/2023 45.65 101 108.00  Close Signal Minor
 NTRS 02/27/2023 91.65 02/28/2023 92.65 48 39.13  Close Signal Minor
 BOKF 02/24/2023 102.26 03/02/2023 100.72 25 -43.56  Close Signal Minor
 AGO 02/22/2023 61.29 02/27/2023 61.13 73 -20.61  Close Signal Minor
 LMT 02/21/2023 469.87 03/09/2023 469.53 9 -11.51  Close Signal Minor
 AIZ 02/17/2023 130.30 02/21/2023 129.45 36 -39.94  Close Signal Minor
 AGO 02/16/2023 61.63 02/21/2023 60.78 66 -64.15  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 97.68 02/08/2023 96.32 48 -74.56  Close Signal Minor
 CLX 02/03/2023 152.54 02/16/2023 150.47 22 -52.18  Close Signal Minor
 FCN 02/03/2023 164.63 02/09/2023 161.60 20 -67.09  Close Signal Minor
 AMED 01/30/2023 93.68 02/03/2023 92.14 36 -62.10  Close Signal Minor
 CHH 01/19/2023 120.63 01/30/2023 120.80 28 -2.00  Close Signal Minor
 C 01/09/2023 46.03 02/03/2023 49.82 68 251.07  Close Signal Minor
 AFG 01/06/2023 135.06 01/09/2023 133.91 23 -32.62  Close Signal Minor
 HAYW 01/03/2023 9.94 02/06/2023 13.59 341 1,236.00  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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