This paper focuses on a Japanese technical analysis indicator, the Ichimoku system. The focus is to determine if the indicator is more profitable than a traditional investor’s buy and hold strategy. There is also a look into whether the indicator performs better when used with a small cap fund versus a large cap fund. The SPDR S&P 500 ETF Trust and the SPDR S&P 600 Small Cap ETF are analyzed. Back testing of an Ichimoku strategy and a buy and hold strategy was completed on a weekly timeframe from January 07, 2019 to December 28, 2020. The empirical results suggest the Ichimoku system performs poorly on a weekly timeframe and may be more profitable on a daily timeframe. The system was outperformed by a buy and hold strategy for both the large cap fund and the small cap fund. The results also suggest the Ichimoku system may perform better with large caps, due to price volatility impacting small caps more.
Vincenzo, Brandon David, "Is the Ichimoku Kinko Hyo System Beneficial to Investors?" (2021). Senior Independent Study Theses. Paper 9433.
Portfolio and Security Analysis
Stock Market, Ichimoku System, Stock Prices
Bachelor of Arts
Senior Independent Study Thesis
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