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".
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:
1/1/2026 - 12/31/2026
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