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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: $140   Total Trades: 85  
Capital Growth:1.4%   Profit Trades, % of Total:33%  
Profit Factor: [?] 1.05  Avg Trade Duration, days:5.01  
Payoff Ratio: [?] 2.14   Avg Profit per Trade:0.075%  
Max Drawdown:9%   Avg Profit per Day:0.015%  
Max Drawdown, $: 940   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 0.15   Overall Viability Score: [?]
4 / 10
 
Avg Annual Return: 1.4%  
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2021 1.40 -0.94 -3.73 2.39 -0.56 -1.26 3.29 2.39
    Export   
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 VMC 07/28/2021 182.98 07/30/2021 179.99 16 -53.62  Period End Minor
 FE 07/22/2021 39.15 07/28/2021 38.14 77 -83.68  Close Signal Minor
 AFG 07/21/2021 129.60 07/22/2021 127.82 23 -46.84  Close Signal Minor
 AME 07/20/2021 136.73 07/30/2021 139.05 22 44.95  Period End Minor
 ANSS 07/20/2021 350.87 07/30/2021 368.46 8 134.89  Period End Minor
 AMG 07/20/2021 166.62 07/21/2021 170.00 18 54.75  Close Signal Minor
 CL 07/14/2021 83.23 07/20/2021 82.69 35 -24.70  Close Signal Minor
 ACN 06/24/2021 291.56 07/19/2021 309.18 9 153.09  Close Signal Minor
 FSLR 06/23/2021 80.19 07/14/2021 90.04 35 338.62  Close Signal Minor
 CDNS 06/22/2021 134.04 06/23/2021 133.00 21 -27.44  Close Signal Minor
 ALB 06/21/2021 161.41 06/22/2021 161.58 17 -2.60  Close Signal Minor
 ABMD 06/18/2021 318.57 06/24/2021 311.81 8 -59.10  Close Signal Minor
 AAPL 06/17/2021 131.79 07/19/2021 142.45 21 217.99  Close Signal Minor
 CRUS 06/16/2021 80.77 06/18/2021 79.46 34 -49.97  Close Signal Minor
 CRI 06/15/2021 107.70 06/16/2021 106.30 26 -41.95  Close Signal Minor
 BMRN 06/09/2021 82.05 06/21/2021 80.76 34 -49.37  Close Signal Minor
 CIEN 06/03/2021 58.38 06/15/2021 57.63 48 -41.55  Close Signal Minor
 BIIB 06/02/2021 269.35 06/03/2021 272.55 10 26.56  Close Signal Minor
 HP 06/01/2021 30.06 06/17/2021 32.04 95 182.11  Close Signal Minor
 JBLU 06/01/2021 20.24 06/02/2021 19.92 141 -50.76  Close Signal Minor
 CASY 05/28/2021 220.84 06/01/2021 217.69 13 -46.63  Close Signal Minor
 BA 05/27/2021 250.70 06/09/2021 248.06 11 -34.51  Close Signal Minor
 ATVI 05/26/2021 97.30 06/01/2021 96.45 29 -30.26  Close Signal Minor
 ALK 05/26/2021 69.64 05/28/2021 69.20 41 -23.72  Close Signal Minor
 MSGS 05/18/2021 185.76 05/27/2021 187.13 15 14.95  Close Signal Minor
 CHE 05/18/2021 487.02 05/25/2021 492.62 5 23.09  Close Signal Minor
 CPB 05/17/2021 49.36 05/18/2021 48.81 58 -37.58  Close Signal Minor
 NKE 05/17/2021 136.41 05/18/2021 135.56 21 -23.55  Close Signal Minor
 ALB 05/13/2021 157.69 05/17/2021 157.79 17 -3.66  Close Signal Minor
 MRK 05/12/2021 78.00 05/25/2021 77.50 36 -23.59  Close Signal Minor
 HLF 05/11/2021 51.13 05/12/2021 48.97 55 -124.25  Close Signal Minor
 LDOS 04/30/2021 101.28 05/12/2021 101.47 28 -0.36  Close Signal Minor
 CB 04/29/2021 169.50 05/11/2021 167.76 17 -35.30  Close Signal Minor
 CBSH 04/29/2021 79.37 04/30/2021 77.81 36 -61.79  Close Signal Minor
 ICUI 04/28/2021 212.49 04/29/2021 208.33 13 -59.52  Close Signal Minor
 CGNX 04/27/2021 88.20 04/28/2021 87.91 32 -14.91  Close Signal Minor
 ABMD 04/21/2021 342.64 04/27/2021 340.63 8 -21.54  Close Signal Minor
 DVA 04/20/2021 112.20 05/17/2021 124.34 25 297.43  Close Signal Minor
 BIIB 04/20/2021 273.20 04/21/2021 269.85 10 -38.91  Close Signal Minor
 MKTX 04/19/2021 533.62 04/20/2021 529.12 5 -27.80  Close Signal Minor
 ABT 04/12/2021 121.04 04/20/2021 120.00 23 -29.45  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 04/29/2021 604.34 5 136.98  Close Signal 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 137.15 03/01/2021 138.42 20 19.88  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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