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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: $-1,418   Total Trades: 44  
Capital Growth:-14.2%   Profit Trades, % of Total:34%  
Profit Factor: [?] 0.50  Avg Trade Duration, days:3.89  
Payoff Ratio: [?] 0.96   Avg Profit per Trade:-1.13%  
Max Drawdown:17%   Avg Profit per Day:-0.29%  
Restoration Factor: [?] -0.84   Avg Market Impact: [?]
Minor  
 
Avg Annual Return: -14.2%   Overall Viability Score: [?]
1 / 10
 
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2020 -14.18 -5.08 -4.99 -5.17 0.34
    Export   
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 CAG 04/03/2020 31.21 04/08/2020 31.31 77 2.89  Period End Minor
 CY 04/01/2020 23.40 04/08/2020 23.82 101 37.65  Period End Minor
 HRL 03/31/2020 46.64 04/01/2020 46.35 51 -19.53  Close Signal Minor
 ERIE 03/30/2020 174.34 03/31/2020 148.24 14 -369.92  Close Signal Minor
 KR 03/27/2020 29.13 03/30/2020 29.65 85 39.20  Close Signal Minor
 SFM 03/26/2020 18.37 03/27/2020 17.97 135 -58.91  Close Signal Minor
 CTXS 03/24/2020 122.00 04/08/2020 146.82 20 491.02  Period End Minor
 COG 03/24/2020 16.35 03/25/2020 16.46 152 11.73  Close Signal Minor
 QGEN 03/23/2020 38.10 04/03/2020 40.27 65 135.96  Close Signal Minor
 CTXS 03/17/2020 127.46 03/20/2020 119.33 19 -159.16  Close Signal Minor
 COST 03/17/2020 306.99 03/18/2020 307.50 8 -0.84  Close Signal Minor
 CLX 03/13/2020 167.77 03/20/2020 177.40 15 139.27  Close Signal Minor
 CPB 03/13/2020 49.28 03/16/2020 49.30 51 -4.01  Close Signal Minor
 BMRN 03/10/2020 89.32 03/11/2020 86.90 28 -72.69  Close Signal Minor
 CASY 03/04/2020 170.06 03/05/2020 166.22 15 -62.64  Close Signal Minor
 QGEN 03/03/2020 41.45 03/16/2020 39.46 64 -132.54  Close Signal Minor
 CRL 03/02/2020 164.30 03/03/2020 161.51 16 -49.85  Close Signal Minor
 ETFC 03/02/2020 47.03 03/03/2020 45.00 57 -120.96  Close Signal Minor
 ALKS 02/28/2020 20.84 03/06/2020 18.99 129 -243.79  Close Signal Minor
 ROST 02/26/2020 119.20 02/27/2020 111.94 24 -179.79  Close Signal Minor
 TJX 02/26/2020 63.99 02/27/2020 60.12 45 -179.74  Close Signal Minor
 VTR 02/26/2020 59.49 02/27/2020 55.01 48 -220.54  Close Signal Minor
 CONE 02/25/2020 66.34 02/26/2020 66.28 43 -8.28  Close Signal Minor
 DE 02/21/2020 177.43 02/24/2020 171.86 16 -94.71  Close Signal Minor
 ACC 02/14/2020 47.96 02/26/2020 47.86 59 -11.55  Close Signal Minor
 ACN 02/03/2020 207.80 02/21/2020 211.89 13 47.71  Close Signal Minor
 IBM 01/31/2020 143.73 02/14/2020 150.70 19 126.84  Close Signal Minor
 AVY 01/29/2020 136.23 01/31/2020 131.24 21 -110.41  Close Signal Minor
 EVR 01/29/2020 80.83 01/31/2020 76.62 35 -152.86  Close Signal Minor
 APD 01/28/2020 236.45 01/29/2020 237.27 12 4.16  Close Signal Minor
 CHD 01/27/2020 72.38 02/24/2020 75.51 41 122.27  Close Signal Minor
 CASY 01/27/2020 166.03 01/28/2020 163.49 17 -48.78  Close Signal Minor
 CTL 01/21/2020 14.72 01/29/2020 13.83 197 -180.95  Close Signal 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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