TREND-10 · Trend Following

Ichimoku Cloud

Ichimoku Kinko Hyo (One Glance Equilibrium Chart). Uses multiple lines to identify trend, momentum, and support/resistance. Price above cloud is bullish, below is bearish.

TrendTechnicalJapanese

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At a glance

Best onTrending markets

Signal frequencyDaily

Typical holding periodWeeks

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 4 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 7 of 10 markets.
Best market by Sharpe ratio: GLD (Sharpe 0.91, CAGR 12.4%).
Weakest market: UNG (Sharpe -0.31, CAGR -15.9%).

Equity curve

Ichimoku Cloud Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 64.1SPY, 5 years

Return quality · 30%79

Drawdown control · 25%80

Consistency · 20%52

Robustness · 15%3

Significance · 10%94

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market57%

Ulcer index4.8%

Longest drawdown520 days

Daily VaR (95%)-0.99%

Probability Sharpe > 094%

Beta vs buy & hold0.29

Alpha (annual)+3.0%

Positive months48%

CAGR after 10 bp costs5.1%

Deflated Sharpe (luck-adjusted)54%

CAGR, 90% bootstrap range-1.0% to 13.0%

Max drawdown, 90% bootstrap range-22.6% to -8.2%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-4.6%	-19.2%
COVID crash (Feb–Mar 2020)	-7.6%	-33.7%
2022 bear market	-6.1%	-24.5%
Market above its 200-day average (annualized) · 81%	+5.5%	+12.5%
Market below its 200-day average (annualized) · 19%	+8.9%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	0.90
Same parameters in the following 6 months, when traded (Sharpe)	0.68
Default parameters over the same months (Sharpe)	0.64
Parameter re-selections / changes	28 / 6
Parameter settings with a positive Sharpe (full history)	9 of 9
Sharpe across settings: worst / median / best	0.53 / 0.59 / 0.65

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 9 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
GLDSPDR Gold Shares	12.4%	16.4%	0.91	-13.9%	-28.3%	14.2%	73
SPYSPDR S&P 500	6.3%	11.6%	0.69	-9.7%	-24.5%	9.3%	64
SLViShares Silver Trust	12.1%	15.2%	0.58	-36.8%	-57.8%	26.4%	65
DBAInvesco DB Agriculture	3.8%	8.8%	0.47	-17.6%	-15.9%	9.3%	53
USOUnited States Oil Fund	7.1%	20.2%	0.39	-42.0%	-36.2%	26.9%	52
BTC-USDBitcoin	10.1%	2.6%	0.38	-41.4%	-75.9%	23.3%	67
DBCInvesco DB Commodity Index	3.9%	10.8%	0.35	-33.8%	-27.3%	13.7%	48
EURUSD=XEUR/USD	0.9%	-0.7%	0.22	-8.8%	-17.2%	4.6%	56
ETH-USDEthereum	1.8%	-15.1%	0.18	-55.0%	-79.0%	29.7%	58
UNGUnited States Natural Gas	-15.9%	-30.7%	-0.31	-73.9%	-93.3%	35.4%	34

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	-7.3%	-7.3%	-0.66	-0.70	-9.7%	29%	21
3 years	+30.5%	9.3%	1.01	1.12	-9.7%	38%	39
5 years	+35.8%	6.3%	0.69	0.73	-9.7%	31%	59
Full history	+172.2%	6.1%	0.68	0.68	-15.1%	33%	190

Rules

Entry

Buy when price > Cloud AND Tenkan > Kijun
Strong signal if Chikou (lagging) also confirms

Exit

Price falls below Cloud OR Tenkan < Kijun

Indicators

Tenkan-sen = (9-day high + 9-day low) / 2
Kijun-sen = (26-day high + 26-day low) / 2
Senkou Span A = (Tenkan + Kijun) / 2, shifted 26 days forward
Senkou Span B = (52-day high + 52-day low) / 2, shifted 26 days forward

Inputs

Tenkan = 9
Kijun = 26
Senkou = 52

Position sizing

Fixed 100% allocation

Risk controls

Cloud acts as support/resistance

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Developed by Goichi Hosoda in 1930s Japan
Cloud (Kumo) provides visual support/resistance
Multiple confirmation signals reduce false entries

Related strategies

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.