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Finaxion Research · Ichimoku: buy above the cloud · single stocks · Recomputed 2026-09-10

Does Ichimoku: buy above the cloud work on CME?

Ichimoku: buy above the cloud does not beat buy-and-hold on CME: -10.0 points a year over 24 years.

Total return
777.9%
Buy and hold
×70
CAGR
9.6%
Sharpe
0.35
Max drawdown
-57.8%
Trades
321
Out of sample
partly
Years
24
1×10×76×200320052007200920112013201520172019202120232025
StrategyCME

Findings

  1. Ichimoku: buy above the cloud does not beat buy-and-hold on CME: -10.0 points a year over 24 years.
  2. Against the S&P 500 over the same window: -1.8 points a year.
  3. Total return +777.9% versus ×70 for buy-and-hold, with 321 trades.
  4. The result holds only partly out of sample.
  5. Maximum drawdown -57.8%.
  6. It beats in neither half of the history (split at 2014).
  7. It ranks #56 of 235 markets for this strategy by annual excess over the S&P 500.

Findings derived from the full panel. Each carries its number and its denominator; the computations are reproducible with artifact 3da70cf34031.

Exactly what was tested

Long while the close is above both cloud spans (Senkou A and B; 9/26/52); exit when the close drops below either.

How to read it

The verdict compares the strategy with buying and holding CME over the same window, with round-trip costs per asset class. “Out of sample” is walk-forward: the rule is fit on one stretch and judged on the next. A result that beats in the full sample but not out of it is overfit. Full methodology in the protocol. How we test.

Open this backtest with its trades   Trades (CSV)

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How to cite

Finaxion Research (2026). Does Ichimoku: buy above the cloud work on CME?. Daily backtest 1962-01-01–2026-08-31, artifact 3da70cf34031. https://finaxion.app/en/research/ichimoku-cloud/cme

Not a recommendation. Past performance does not guarantee future results.