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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: 1/1/2021 - 12/31/2021
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $-324   Total Trades: 48  
Capital Growth:-3.24%   Profit Trades, % of Total:35%  
Profit Factor: [?] 0.79  Avg Trade Duration, days:4.54  
Payoff Ratio: [?] 1.44   Avg Profit per Trade:-0.22%  
Max Drawdown:9%   Avg Profit per Day:-0.049%  
Max Drawdown, $: 940   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] -0.35   Overall Viability Score: [?]
1 / 10
 
Avg Annual Return: -3.24%  
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2021 -3.24 1.23 -7.10 3.83 -0.91
    Export   
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 BIIB 04/20/2021 272.24 04/20/2021 272.24 10 -5.44  Period End Minor
 REGN 04/20/2021 501.17 04/20/2021 501.17 5 -5.01  Period End Minor
 MKTX 04/19/2021 533.62 04/20/2021 530.84 5 -19.22  Close Signal Minor
 ABT 04/12/2021 121.04 04/20/2021 119.19 23 -48.05  Close Signal Minor
 AAPL 04/09/2021 133.00 04/12/2021 131.24 21 -42.49  Close Signal Minor
 ALGN 04/08/2021 575.75 04/20/2021 591.00 5 70.38  Period End Minor
 HUM 04/07/2021 411.73 04/08/2021 407.15 7 -37.78  Close Signal Minor
 ACC 04/01/2021 44.05 04/09/2021 43.32 65 -53.11  Close Signal Minor
 APH 03/31/2021 65.97 04/19/2021 67.51 44 61.85  Close Signal Minor
 BIIB 03/31/2021 279.75 04/01/2021 278.71 10 -15.98  Close Signal Minor
 ECL 03/30/2021 215.00 03/31/2021 214.07 13 -17.66  Close Signal Minor
 APD 03/19/2021 275.40 04/07/2021 282.49 10 65.29  Close Signal Minor
 HAS 03/18/2021 95.53 03/30/2021 96.88 30 34.71  Close Signal Minor
 IEX 03/18/2021 200.42 03/19/2021 199.14 14 -23.50  Close Signal Minor
 AIZ 03/10/2021 138.74 03/31/2021 141.77 20 54.96  Close Signal Minor
 CBOE 03/04/2021 98.22 03/18/2021 102.40 28 111.36  Close Signal Minor
 POST 03/04/2021 100.88 03/18/2021 103.76 27 72.20  Close Signal Minor
 FR 03/04/2021 42.40 03/10/2021 43.85 66 89.96  Close Signal Minor
 ANAT 03/03/2021 95.61 03/04/2021 95.10 29 -20.31  Close Signal Minor
 AJG 03/01/2021 122.30 03/03/2021 122.00 23 -12.52  Close Signal Minor
 SBUX 02/26/2021 108.03 03/04/2021 104.89 26 -87.14  Close Signal Minor
 NVDA 02/26/2021 548.58 03/01/2021 553.67 5 19.93  Close Signal Minor
 AJG 02/23/2021 123.13 02/26/2021 119.80 23 -82.14  Close Signal Minor
 ADP 02/22/2021 170.82 03/04/2021 171.01 16 -2.43  Close Signal Minor
 ADSK 02/19/2021 305.40 02/22/2021 297.70 9 -74.69  Close Signal Minor
 CHH 02/18/2021 107.01 02/25/2021 105.51 27 -46.22  Close Signal Minor
 ADP 02/18/2021 172.60 02/19/2021 169.29 17 -62.05  Close Signal Minor
 ACGL 02/17/2021 35.35 02/18/2021 34.92 82 -41.00  Close Signal Minor
 CCK 02/12/2021 98.96 02/23/2021 97.85 29 -37.88  Close Signal Minor
 ARE 02/12/2021 173.06 02/17/2021 169.50 17 -66.31  Close Signal Minor
 AXS 02/11/2021 51.42 02/12/2021 50.58 57 -53.67  Close Signal Minor
 BBY 02/04/2021 113.84 02/18/2021 116.76 26 69.89  Close Signal Minor
 EXR 01/29/2021 113.79 02/12/2021 116.88 26 74.30  Close Signal Minor
 DUK 01/29/2021 94.00 02/11/2021 90.42 31 -116.64  Close Signal Minor
 AIG 01/28/2021 38.48 01/29/2021 37.44 78 -87.00  Close Signal Minor
 AVB 01/28/2021 166.02 01/29/2021 163.67 18 -48.21  Close Signal Minor
 GD 01/27/2021 152.73 01/28/2021 150.43 19 -49.44  Close Signal Minor
 CCI 01/26/2021 163.45 01/28/2021 158.13 18 -101.50  Close Signal Minor
 AVB 01/26/2021 168.11 01/27/2021 163.87 18 -82.26  Close Signal Minor
 DLR 01/25/2021 142.63 02/04/2021 145.05 20 42.62  Close Signal Minor
 BBY 01/20/2021 112.23 01/25/2021 113.74 26 33.37  Close Signal Minor
 NKTR 01/19/2021 17.22 01/20/2021 16.91 173 -59.51  Close Signal Minor
 BRO 01/15/2021 46.20 01/19/2021 46.63 64 21.57  Close Signal Minor
 CHRW 01/14/2021 97.37 01/15/2021 95.21 30 -70.55  Close Signal Minor
 COG 01/11/2021 17.94 01/26/2021 18.39 166 68.63  Close Signal Minor
 LH 01/04/2021 204.88 01/26/2021 221.97 14 233.16  Close Signal Minor
 BIO 01/04/2021 575.26 01/14/2021 593.14 5 83.51  Close Signal Minor
 NEM 01/04/2021 63.15 01/11/2021 61.95 47 -62.25  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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