Qc Ichimoku Energy

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

n/a

not a factor universe

Gate 2

Placebo ≥ P95

not run

Eliminated here

Gate 3

Cost-aware net

RF -0.12

net-negative after costs

Failed

Worst 12-month leg (RF)-1.00

−1.00 floor0

Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.

Rejected at the cost gate — the net edge turns negative once modelled costs are applied.

This is a technical trading rule that applies the Ichimoku cloud (a Japanese trend/momentum overlay) to the energy-sector ETF, taking long or flat positions based on where price sits relative to the cloud.

What we found

On the energy-sector ETF (XLE), the Ichimoku signals do not clear our cost-aware screen gate: risk-adjusted RF is negative (-0.12) and the worst year is fully negative (worst-year RF -1.0). After realistic costs the rule adds nothing over simply holding the sector, so there is no persistent edge here. This item is recorded as failed.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship na

Tested on the sector ETF (XLE), daily. Realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random). Not reached here — the rule failed the screen gate before robustness testing.

Source: Ichimoku cloud on energy-sector ETF (QuantConnect)
Read the paper ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.