| Strategy |
Ichimoku Kinko Hyo Backtest |
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The Ichimoku indicator was published in 1969 by a reporter, Ichimoku Kinko Hyo, in Japan. This indicator comprises five lines: 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". |
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| Type of Positions |
Long |
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| Criteria for Opening a Position: |
index(russell1000) and (ichimoku(9,26,52) ichi_pcac) and tenkan(9,26,52) > kijun(9,26,52)
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| Order Execution Model: |
Close Prices
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| 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)
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| Order Execution Model: |
Close Prices
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| Initial Capital: |
$10,000 |
| Capital at Risk: |
30%
per trade
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| Portfolio Max Size: |
20 positions |
| Comm. per Trade: |
0.05%
| |
| Avg Bid-Ask Spread: |
0.1% |
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| Period: |
1/1/2026 - 12/31/2026 |
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| Total Profit: |
$6,781 |
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Total Trades: |
129 |
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| Capital Growth: | 67.8% |
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Profit Trades, % of Total: | 29% |
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| Profit Factor: [?] |
1.82 | |
Avg Trade Duration, days: | 4.79 |
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| Payoff Ratio: [?] |
4.54 |
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Avg Profit per Trade: | 1.81% |
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| Max Drawdown: | 16% |
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Avg Profit per Day: | 0.38% |
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| Max Drawdown, $: |
1,711 |
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Avg Market Impact: [?] |
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| Restoration Factor: [?] |
3.96 |
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Overall Viability Score: [?] |
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| Avg Annual Return: |
67.8% |
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CAGR: [?] | 67.8% |
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| Year |
S&P 500 |
Equity |
Jan | Feb |
Mar | Apr | May |
Jun | Jul | Aug |
Sep | Oct | Nov |
Dec |
| 2026 |
10.73 |
67.81 |
1.00
|
6.37
|
-16.04
|
56.61
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12.00
|
2.46
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-2.10
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2.44
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-1.70
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5.00
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| Symbol |
Entry Date |
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Exit Date |
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Shares |
Profit, $ |
Exit On |
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MI
[?] |
| |
10/27/2026 |
108.74 |
10/30/2026 |
110.54 |
44 |
69.51 |
Period End |
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 |
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10/27/2026 |
121.99 |
10/30/2026 |
123.89 |
39 |
64.47 |
Period End |
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10/14/2026 |
426.11 |
10/30/2026 |
466.01 |
11 |
428.87 |
Period End |
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10/14/2026 |
247.74 |
10/27/2026 |
246.45 |
19 |
-33.89 |
Close Signal |
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10/14/2026 |
350.15 |
10/27/2026 |
356.25 |
13 |
70.08 |
Close Signal |
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10/13/2026 |
49.65 |
10/14/2026 |
49.40 |
97 |
-33.85 |
Close Signal |
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10/13/2026 |
26.73 |
10/14/2026 |
25.97 |
180 |
-146.22 |
Close Signal |
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10/09/2026 |
262.43 |
10/13/2026 |
258.58 |
17 |
-74.27 |
Close Signal |
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10/01/2026 |
404.60 |
10/09/2026 |
406.19 |
11 |
8.56 |
Close Signal |
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09/30/2026 |
567.53 |
10/14/2026 |
605.51 |
8 |
294.30 |
Close Signal |
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09/28/2026 |
59.69 |
09/30/2026 |
58.62 |
79 |
-93.83 |
Close Signal |
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09/28/2026 |
148.05 |
09/30/2026 |
144.32 |
32 |
-128.66 |
Close Signal |
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09/24/2026 |
256.92 |
10/13/2026 |
283.34 |
17 |
439.73 |
Close Signal |
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09/24/2026 |
194.26 |
09/28/2026 |
187.48 |
23 |
-164.64 |
Close Signal |
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09/23/2026 |
109.09 |
09/24/2026 |
107.83 |
42 |
-62.00 |
Close Signal |
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09/14/2026 |
51.19 |
09/23/2026 |
51.09 |
89 |
-18.00 |
Close Signal |
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09/11/2026 |
175.97 |
09/14/2026 |
175.07 |
26 |
-32.52 |
Close Signal |
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09/10/2026 |
326.57 |
09/24/2026 |
335.92 |
14 |
121.56 |
Close Signal |
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09/09/2026 |
37.13 |
09/10/2026 |
36.07 |
127 |
-143.85 |
Close Signal |
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09/08/2026 |
316.22 |
09/09/2026 |
315.34 |
14 |
-21.16 |
Close Signal |
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09/04/2026 |
616.29 |
09/28/2026 |
715.62 |
7 |
685.64 |
Close Signal |
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09/04/2026 |
1,740.00 |
09/11/2026 |
1,633.35 |
2 |
-219.94 |
Close Signal |
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09/04/2026 |
25.54 |
09/08/2026 |
24.90 |
186 |
-128.36 |
Close Signal |
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09/03/2026 |
175.87 |
09/04/2026 |
173.99 |
26 |
-57.95 |
Close Signal |
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09/03/2026 |
323.05 |
09/04/2026 |
321.26 |
14 |
-34.07 |
Close Signal |
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09/02/2026 |
607.77 |
09/03/2026 |
601.58 |
7 |
-51.77 |
Close Signal |
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08/31/2026 |
74.51 |
09/03/2026 |
73.52 |
63 |
-71.67 |
Close Signal |
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08/31/2026 |
76.59 |
09/02/2026 |
75.67 |
62 |
-66.45 |
Close Signal |
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08/28/2026 |
89.90 |
08/31/2026 |
87.48 |
53 |
-137.60 |
Close Signal |
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08/28/2026 |
183.13 |
08/31/2026 |
177.81 |
26 |
-147.64 |
Close Signal |
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08/27/2026 |
59.20 |
08/28/2026 |
57.03 |
83 |
-189.67 |
Close Signal |
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08/26/2026 |
22.35 |
08/28/2026 |
22.05 |
213 |
-73.33 |
Close Signal |
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08/24/2026 |
176.50 |
08/26/2026 |
173.87 |
27 |
-80.43 |
Close Signal |
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08/18/2026 |
57.31 |
09/04/2026 |
61.60 |
79 |
329.35 |
Close Signal |
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08/17/2026 |
66.51 |
08/18/2026 |
63.32 |
69 |
-228.96 |
Close Signal |
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08/06/2026 |
115.99 |
08/27/2026 |
129.52 |
39 |
517.83 |
Close Signal |
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08/05/2026 |
111.48 |
08/06/2026 |
109.42 |
41 |
-93.47 |
Close Signal |
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07/27/2026 |
237.75 |
08/17/2026 |
254.04 |
18 |
284.22 |
Close Signal |
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07/22/2026 |
126.70 |
07/27/2026 |
119.17 |
36 |
-279.80 |
Close Signal |
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07/21/2026 |
132.66 |
08/24/2026 |
153.20 |
34 |
688.29 |
Close Signal |
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07/21/2026 |
177.50 |
07/22/2026 |
172.46 |
25 |
-134.69 |
Close Signal |
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07/15/2026 |
58.12 |
08/05/2026 |
62.98 |
80 |
378.92 |
Close Signal |
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07/15/2026 |
1,087.77 |
07/21/2026 |
1,032.90 |
4 |
-227.85 |
Close Signal |
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07/15/2026 |
96.84 |
07/21/2026 |
95.46 |
48 |
-75.44 |
Close Signal |
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07/14/2026 |
60.14 |
07/15/2026 |
59.59 |
78 |
-52.22 |
Close Signal |
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07/09/2026 |
178.17 |
07/14/2026 |
178.46 |
26 |
-1.74 |
Close Signal |
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07/07/2026 |
321.59 |
07/09/2026 |
312.79 |
14 |
-132.02 |
Close Signal |
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07/02/2026 |
76.65 |
07/15/2026 |
76.48 |
61 |
-19.71 |
Close Signal |
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06/26/2026 |
97.54 |
07/15/2026 |
98.54 |
45 |
36.15 |
Close Signal |
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06/22/2026 |
14.31 |
06/26/2026 |
14.33 |
313 |
-2.71 |
Close Signal |
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06/18/2026 |
182.08 |
06/22/2026 |
173.76 |
24 |
-208.12 |
Close Signal |
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06/17/2026 |
35.75 |
07/07/2026 |
37.49 |
128 |
213.23 |
Close Signal |
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06/15/2026 |
98.02 |
06/18/2026 |
95.34 |
46 |
-132.11 |
Close Signal |
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06/12/2026 |
126.38 |
06/15/2026 |
122.24 |
36 |
-157.92 |
Close Signal |
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06/11/2026 |
68.68 |
06/12/2026 |
68.47 |
67 |
-23.25 |
Close Signal |
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06/09/2026 |
216.46 |
06/17/2026 |
215.50 |
21 |
-29.22 |
Close Signal |
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06/08/2026 |
71.58 |
07/02/2026 |
82.17 |
63 |
657.15 |
Close Signal |
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06/08/2026 |
68.17 |
06/09/2026 |
70.78 |
67 |
165.47 |
Close Signal |
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06/05/2026 |
130.76 |
06/08/2026 |
129.39 |
34 |
-55.40 |
Close Signal |
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05/29/2026 |
259.21 |
06/05/2026 |
251.44 |
17 |
-140.70 |
Close Signal |
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05/26/2026 |
11.98 |
06/08/2026 |
12.68 |
379 |
255.82 |
Close Signal |
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05/21/2026 |
89.42 |
05/26/2026 |
88.83 |
51 |
-39.17 |
Close Signal |
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05/20/2026 |
217.64 |
06/11/2026 |
222.65 |
21 |
95.91 |
Close Signal |
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05/19/2026 |
21.90 |
05/21/2026 |
21.36 |
198 |
-115.43 |
Close Signal |
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05/13/2026 |
422.89 |
05/29/2026 |
425.85 |
9 |
18.99 |
Close Signal |
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05/11/2026 |
37.94 |
05/13/2026 |
38.01 |
104 |
-0.62 |
Close Signal |
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05/08/2026 |
302.78 |
05/11/2026 |
301.27 |
13 |
-27.47 |
Close Signal |
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05/06/2026 |
98.10 |
05/19/2026 |
130.01 |
40 |
1,266.64 |
Close Signal |
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05/06/2026 |
176.57 |
05/08/2026 |
173.01 |
22 |
-85.97 |
Close Signal |
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05/05/2026 |
117.94 |
05/20/2026 |
143.55 |
34 |
861.41 |
Close Signal |
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05/04/2026 |
247.54 |
05/06/2026 |
243.08 |
16 |
-79.17 |
Close Signal |
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05/04/2026 |
424.77 |
05/06/2026 |
423.41 |
9 |
-19.87 |
Close Signal |
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04/30/2026 |
179.07 |
05/05/2026 |
174.57 |
23 |
-111.58 |
Close Signal |
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04/29/2026 |
205.69 |
05/04/2026 |
202.66 |
20 |
-68.74 |
Close Signal |
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04/29/2026 |
73.96 |
04/30/2026 |
73.41 |
57 |
-39.73 |
Close Signal |
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04/28/2026 |
97.06 |
04/29/2026 |
92.72 |
44 |
-199.21 |
Close Signal |
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04/27/2026 |
56.95 |
04/28/2026 |
56.26 |
76 |
-61.02 |
Close Signal |
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04/24/2026 |
101.55 |
05/04/2026 |
91.70 |
43 |
-431.65 |
Close Signal |
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04/23/2026 |
98.07 |
04/24/2026 |
96.19 |
44 |
-91.23 |
Close Signal |
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04/22/2026 |
231.28 |
04/29/2026 |
224.11 |
19 |
-144.81 |
Close Signal |
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04/22/2026 |
301.28 |
04/23/2026 |
284.37 |
14 |
-244.82 |
Close Signal |
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04/21/2026 |
95.55 |
04/27/2026 |
91.46 |
27 |
-115.42 |
Close Signal |
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04/02/2026 |
20.56 |
04/22/2026 |
22.60 |
128 |
255.47 |
Close Signal |
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03/30/2026 |
24.70 |
04/02/2026 |
24.32 |
107 |
-45.88 |
Close Signal |
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03/27/2026 |
112.13 |
03/30/2026 |
110.11 |
23 |
-51.55 |
Close Signal |
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03/26/2026 |
139.58 |
04/22/2026 |
443.94 |
19 |
5,768.86 |
Close Signal |
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03/25/2026 |
2.81 |
03/26/2026 |
2.75 |
962 |
-63.04 |
Close Signal |
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03/24/2026 |
280.85 |
04/21/2026 |
291.03 |
9 |
86.43 |
Close Signal |
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03/23/2026 |
36.95 |
03/27/2026 |
36.32 |
74 |
-52.02 |
Close Signal |
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03/23/2026 |
93.38 |
03/24/2026 |
90.92 |
29 |
-76.65 |
Close Signal |
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03/20/2026 |
174.20 |
03/25/2026 |
168.56 |
15 |
-89.70 |
Close Signal |
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03/20/2026 |
156.89 |
03/23/2026 |
155.91 |
17 |
-21.97 |
Close Signal |
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03/19/2026 |
290.30 |
03/20/2026 |
284.28 |
10 |
-65.92 |
Close Signal |
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03/19/2026 |
20.12 |
03/20/2026 |
19.38 |
144 |
-112.19 |
Close Signal |
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03/18/2026 |
316.23 |
03/20/2026 |
281.11 |
9 |
-321.30 |
Close Signal |
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03/18/2026 |
94.70 |
03/19/2026 |
91.74 |
31 |
-97.49 |
Close Signal |
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03/17/2026 |
240.80 |
03/18/2026 |
237.56 |
12 |
-44.60 |
Close Signal |
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03/16/2026 |
83.56 |
03/18/2026 |
82.61 |
35 |
-39.05 |
Close Signal |
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03/16/2026 |
349.50 |
03/17/2026 |
351.40 |
8 |
9.59 |
Close Signal |
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03/13/2026 |
90.81 |
03/18/2026 |
91.24 |
33 |
8.18 |
Close Signal |
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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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