Ichimoku Cloud Breakout

How this strategy trades, what it scored, and the measurements the score was read from: every symbol and timeframe, on real and resampled history.

At A Glance

56/ 100
Total Score
11of 52
Overall Rank
10of 28
In Trend
19,233
Trades Taken

Across 24 runs of real history, one for every market and bar size it trades, this strategy scored highest on SOLUSDT · 1d (83 / 100) and lowest on XRPUSDT · 30m (26 / 100).

What A $100.00 Stake Became

Score
Total Score Mean Of Real And Resampled 56 / 100
Real Data 59 / 100
Resampled Data 53 / 100
Overall Rank Top 22% 11 of 52
Rank In Trend Top 36% 10 of 28
By Metric
Beats Hold Real 60 · Resampled 68 64 / 100
Risk Adjusted Real 55 · Resampled 45 50 / 100
Profitability Real 82 · Resampled 61 72 / 100
Win Rate Real 21 · Resampled 20 20 / 100
Fee Efficiency Real 61 · Resampled 61 61 / 100

Where It Works

How It Trades

  1. Build the cloud from the bar extremes: midpoints of the 9-, 26- and 52-bar high-low ranges become the conversion line, base line and Span B, and the two spans are projected 26 bars ahead.
  2. Buy when the close rises above the top of the cloud: price has cleared the entire band the market built a month ago, which is Ichimoku's definition of a bullish regime.
  3. Sell when the close drops below the bottom of the cloud. Inside the cloud the strategy simply holds: that zone is explicitly treated as undecided, not as a signal.

Example Strategy

Pine Script

Paste it into TradingView’s Pine Editor to run these rules on any chart.

//@version=6
// Ichimoku Cloud Breakout — sort.finance. Fills at the signal bar's close, 0.02% fee a side,
// whole account per trade, as the backtest. History and indicator warm-up
// differ from the site's, so expect close to the same trades, not identical.
strategy("Ichimoku Cloud Breakout", overlay=true,
     initial_capital=100, default_qty_type=strategy.percent_of_equity,
     default_qty_value=100, commission_type=strategy.commission.percent,
     commission_value=0.02, process_orders_on_close=true, pyramiding=0)

// The bar the current position opened on, and the bar the last one closed on.
var int entryBar = na
var int exitBar = -1

// ── Signals ──────────────────────────────────────────────────────────────
midpoint(len) => (ta.highest(high, len) + ta.lowest(low, len)) / 2
conversion = midpoint(9)
base = midpoint(26)
// The cloud at this bar is the one drawn 26 bars ago.
spanA = ((conversion + base) / 2)[26]
spanB = midpoint(52)[26]
cloudTop = math.max(spanA, spanB)
cloudBottom = math.min(spanA, spanB)
enterNow = close[1] <= cloudTop[1] and close > cloudTop
exitNow = close[1] >= cloudBottom[1] and close < cloudBottom

// ── Orders ───────────────────────────────────────────────────────────────
// Open on the first bar the entry holds while flat; close on the first
// later bar the exit holds; never reopen on the bar a position closed.
inTrade = strategy.position_size != 0
if inTrade and bar_index > entryBar and exitNow
    strategy.close("Long")
    exitBar := bar_index
else if not inTrade and bar_index > exitBar and enterNow
    strategy.entry("Long", strategy.long)
    entryBar := bar_index

// ── Drawing ──────────────────────────────────────────────────────────────
plot(conversion, "Conversion", color=#4d8dff)
plot(base, "Base", color=#e0a03a)
plot(spanA, "Span A", color=#459b61)
plot(spanB, "Span B", color=#b54a48)
Show

Total Score

59 53 / 100

Score = 0.25 Sbeats_hold + 0.35 Srisk + 0.20 Sprofit + 0.10 Swin + 0.10 Sfee

One 0–100 number per symbol × timeframe cell. Every strategy is run on every cell, on both real and resampled price history, and the total beside its name is this number averaged over all of them.

Beats Hold

25% of the total

60 68 / 100

Sbeats_hold = clamp0100(50 + 25 log2EnetEhold)

Compares final net equity to what simply holding the asset would have returned over the same window. 50 is break-even; every doubling versus buy-and-hold adds 25 points.

Read From Net Equity · Price Change %

Net Equity

The account after fees, trade by trade.

Price Change %

What holding the asset made over the same stretch: the hold the account is measured against.

Risk Adjusted

35% of the total

55 45 / 100

Srisk = clamp0100(55 · Sharpe + 5)

A linear read on the rolling annualized Sharpe ratio at the last trade: 0 Sharpe scores 5, roughly 1.7 Sharpe maxes out the scale.

Read From Rolling Sharpe

Rolling Sharpe

The account's annualized Sharpe ratio at each trade's close.

Profitability

20% of the total

82 61 / 100

Sprofit = clamp0100(20 log2EnetE0)

How many times the starting cash multiplied, on a log scale: each doubling of capital is worth 20 points.

Read From Net Equity · Cumulative P&L %

Net Equity

The account after fees, against the cash it started with.

Cumulative P&L %

Not in the formula: every trade's return added up rather than compounded.

Win Rate

10% of the total

21 20 / 100

Swin = clamp0100(2.5 (W% − 20))

The share of trades that closed profitable, rescaled so a 20% win rate scores 0 and a 60% win rate maxes out the scale.

Read From Win Rate % · Trades

Win Rate %

The share of trades so far that closed in profit.

Trades

How many trades that share is taken over.

Fee Efficiency

10% of the total

61 61 / 100

Sfee = clamp0100(Enet/Egross − 0.40.6 × 100)

The share of the fee-free (gross) result that survives after fees: 60% survival scores 0, keeping the full gross result scores 100.

Read From Equity, Net And Gross · Cumulative Fees

Equity, Net And Gross

The account with the fees taken and, fainter, without them.

Cumulative Fees

Not in the formula: what the exchange took, which is the gap between net and gross above.