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:	0.05%
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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	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
LULU	09/29/2023	385.61	09/29/2023	385.61	7	-5.40	Period End
CE	09/27/2023	123.30	09/29/2023	125.52	20	39.40	Close Signal
CVS	09/25/2023	72.57	09/27/2023	69.78	36	-105.51	Close Signal
ACN	09/22/2023	316.09	09/25/2023	316.99	8	2.13	Close Signal
AYI	09/21/2023	163.85	09/29/2023	170.31	28	171.43	Period End
AZO	09/20/2023	2,583.36	09/22/2023	2,570.27	1	-18.24	Close Signal
ACGL	09/15/2023	79.00	09/29/2023	79.71	38	20.94	Close Signal
ACN	09/14/2023	316.59	09/15/2023	312.53	9	-42.18	Close Signal
GRMN	09/13/2023	105.75	09/21/2023	105.04	35	-32.22	Close Signal
APD	09/08/2023	296.69	09/20/2023	293.02	12	-51.09	Close Signal
ALNY	09/07/2023	201.10	09/14/2023	193.06	16	-134.88	Close Signal
ALGN	09/06/2023	369.70	09/07/2023	340.93	9	-265.20	Close Signal
NFLX	09/05/2023	448.68	09/06/2023	445.76	8	-30.50	Close Signal
CIEN	08/31/2023	49.98	09/13/2023	48.64	75	-107.85	Close Signal
BSX	08/28/2023	53.79	09/08/2023	53.87	66	-1.83	Close Signal
ACM	08/25/2023	86.87	09/05/2023	86.72	41	-13.26	Close Signal
DBX	08/25/2023	27.29	08/28/2023	27.65	130	39.63	Close Signal
HUM	08/24/2023	481.76	08/25/2023	478.08	7	-32.47	Close Signal
INCY	08/24/2023	64.23	08/25/2023	63.86	59	-29.38	Close Signal
BMRN	08/23/2023	91.07	08/31/2023	91.38	41	5.22	Close Signal
NVAX	08/22/2023	9.16	08/24/2023	8.23	414	-392.03	Close Signal
POST	08/22/2023	88.70	08/23/2023	88.11	42	-32.19	Close Signal
NFE	08/17/2023	28.98	08/24/2023	28.67	131	-48.14	Close Signal
CVX	08/16/2023	157.12	08/22/2023	159.04	24	38.47	Close Signal
PGR	08/16/2023	136.14	08/22/2023	130.53	29	-170.34	Close Signal
BJ	08/15/2023	69.34	08/17/2023	68.57	55	-49.91	Close Signal
AMAT	08/14/2023	141.58	08/15/2023	139.78	28	-58.25	Close Signal
CVX	08/10/2023	159.30	08/15/2023	157.72	24	-45.51	Close Signal
BMRN	08/09/2023	93.23	08/14/2023	90.29	43	-134.25	Close Signal
CBSH	07/28/2023	52.73	08/10/2023	52.31	75	-39.36	Close Signal
CINF	07/28/2023	108.89	08/09/2023	107.86	37	-46.11	Close Signal
LSCC	07/27/2023	89.25	07/28/2023	90.95	44	66.83	Close Signal
AEE	07/19/2023	84.51	07/28/2023	85.15	47	22.09	Close Signal
ALNY	07/17/2023	202.83	07/19/2023	205.32	19	39.53	Close Signal
CME	07/14/2023	185.12	08/16/2023	204.89	19	368.03	Close Signal
AEE	07/13/2023	84.57	07/17/2023	83.76	46	-44.98	Close Signal
ACGL	07/07/2023	74.79	07/27/2023	79.67	49	231.43	Close Signal
ADM	07/07/2023	77.60	07/14/2023	77.79	47	1.62	Close Signal
DGX	07/06/2023	138.76	07/07/2023	138.29	26	-19.42	Close Signal
EXEL	07/06/2023	19.33	07/07/2023	19.31	194	-11.37	Close Signal
ABT	07/05/2023	106.86	07/06/2023	106.69	32	-12.27	Close Signal
AFG	07/03/2023	118.83	07/05/2023	116.90	30	-64.94	Close Signal
ABT	06/30/2023	108.50	07/03/2023	106.71	33	-66.14	Close Signal
CASY	06/28/2023	235.04	07/13/2023	242.60	16	113.26	Close Signal
AWI	06/26/2023	71.06	07/06/2023	71.58	54	20.36	Close Signal
ATO	06/26/2023	115.61	06/28/2023	114.53	33	-43.22	Close Signal
DGX	06/23/2023	140.77	06/30/2023	139.84	26	-31.46	Close Signal
CRL	06/23/2023	207.81	06/26/2023	206.30	16	-30.77	Close Signal
CHE	06/22/2023	549.34	06/23/2023	541.45	6	-53.86	Close Signal
ARW	05/25/2023	125.98	06/23/2023	135.08	27	238.53	Close Signal
ADBE	05/25/2023	392.06	06/22/2023	477.58	7	592.25	Close Signal
AIG	05/23/2023	55.08	05/25/2023	53.02	54	-117.02	Close Signal
IONS	05/19/2023	39.19	05/25/2023	39.17	86	-8.46	Close Signal
ADI	05/18/2023	190.44	05/23/2023	186.14	16	-74.79	Close Signal
ARW	05/18/2023	123.91	05/19/2023	123.22	27	-25.29	Close Signal
CCL	05/17/2023	11.04	06/26/2023	14.60	299	1,056.24	Close Signal
FSLR	05/12/2023	231.69	05/18/2023	206.28	13	-335.86	Close Signal
CCK	05/11/2023	83.19	05/12/2023	81.80	37	-57.51	Close Signal
ALNY	05/10/2023	210.97	05/11/2023	206.09	15	-79.42	Close Signal
HON	05/09/2023	195.03	05/10/2023	195.24	16	-2.89	Close Signal
ATO	05/04/2023	116.46	05/17/2023	115.30	28	-38.95	Close Signal
CCK	05/04/2023	84.33	05/09/2023	82.95	39	-60.32	Close Signal
PLNT	04/26/2023	79.90	05/04/2023	68.29	47	-552.36	Close Signal
BAX	04/21/2023	44.66	05/04/2023	44.66	75	-6.70	Close Signal
EL	04/20/2023	256.54	04/21/2023	254.30	13	-35.75	Close Signal
BR	04/12/2023	144.25	04/20/2023	141.35	24	-76.42	Close Signal
BRO	04/11/2023	58.71	04/12/2023	58.28	59	-32.26	Close Signal
KO	03/27/2023	60.41	04/26/2023	62.57	60	122.16	Close Signal
DLB	03/27/2023	82.88	04/11/2023	83.70	42	27.43	Close Signal
GIS	03/23/2023	81.01	05/18/2023	87.82	43	285.42	Close Signal
INTC	03/23/2023	28.81	03/27/2023	28.96	124	11.43	Close Signal
LEN	03/23/2023	102.71	03/27/2023	101.53	34	-47.04	Close Signal
EXAS	03/21/2023	66.45	03/22/2023	64.17	52	-125.29	Close Signal
ED	03/15/2023	94.00	03/21/2023	91.59	38	-98.59	Close Signal
ATR	03/14/2023	114.33	03/15/2023	110.65	32	-124.90	Close Signal
PNW	03/13/2023	73.86	03/22/2023	73.75	51	-13.14	Close Signal
EXAS	03/13/2023	63.54	03/14/2023	64.46	58	45.91	Close Signal
AZPN	03/08/2023	216.73	03/10/2023	214.12	15	-45.59	Close Signal
GPC	03/06/2023	171.42	03/07/2023	168.09	19	-69.69	Close Signal
ATVI	03/02/2023	76.88	03/22/2023	77.80	45	34.42	Close Signal
DXCM	03/02/2023	121.24	03/06/2023	113.25	29	-238.39	Close Signal
PSX	03/01/2023	105.09	03/02/2023	103.69	43	-69.15	Close Signal
RARE	02/28/2023	44.49	03/01/2023	45.65	101	108.00	Close Signal
NTRS	02/27/2023	91.65	02/28/2023	92.65	48	39.13	Close Signal
BOKF	02/24/2023	102.26	03/02/2023	100.72	25	-43.56	Close Signal
AGO	02/22/2023	61.29	02/27/2023	61.13	73	-20.61	Close Signal
LMT	02/21/2023	469.87	03/09/2023	469.53	9	-11.51	Close Signal
AIZ	02/17/2023	130.30	02/21/2023	129.45	36	-39.94	Close Signal
AGO	02/16/2023	61.63	02/21/2023	60.78	66	-64.15	Close Signal
AZO	02/09/2023	2,490.28	02/24/2023	2,540.56	1	45.22	Close Signal
AMED	02/08/2023	93.58	02/17/2023	97.16	49	165.99	Close Signal
BG	02/06/2023	97.68	02/08/2023	96.32	48	-74.56	Close Signal
CLX	02/03/2023	152.54	02/16/2023	150.47	22	-52.18	Close Signal
FCN	02/03/2023	164.63	02/09/2023	161.60	20	-67.09	Close Signal
AMED	01/30/2023	93.68	02/03/2023	92.14	36	-62.10	Close Signal
CHH	01/19/2023	120.63	01/30/2023	120.80	28	-2.00	Close Signal
C	01/09/2023	46.03	02/03/2023	49.82	68	251.07	Close Signal
AFG	01/06/2023	135.06	01/09/2023	133.91	23	-32.62	Close Signal
HAYW	01/03/2023	9.94	02/06/2023	13.59	341	1,236.00	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.