Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
TLT | iShares 20+ Year Treasury Bond ETF | 0.025 | 86.3 | 39553064 | |||
VCLT | Vanguard Long-Term Corporate Bond Index Fund ETF Shares | 0.0399 | 73.56 | 2881045 |
Entry Threshold: | 3.50 | Exit Threshold: | 0.10 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
MA Period: | 15 | MA Type: | EMA | StdDev Period: | 15 |
RSI Period: | 14 | RSI Threshold: | 0 | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 4 | Model Version: | n/a | Bid-Ask 0.00 / 0.00 |
Initial Capital: | 10000.00 | Final Equity: | 8591.30 |
Total net P/L: | -1408.70 | Total ROI: | -14.09 % |
CAGR: | -2.65 % | Max. DD: | 17.25 % |
System Score: | -0.864 | Sharpe Ratio: | -1.636 |
Start Date: | 2011-01-03 | End Date: | 2016-08-31 |
Total days: | 2067 | ||
Commissions: | 76.00 | Comm.% P/L | 5.70 % |
Total Transactions: | 76 | Log. Linearity: | 68.858 % |
Total | ![]() |
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TLT | VCLT | |
---|---|---|---|---|---|
Total Profit/Loss | -1332.70 | 270.74 | -1603.44 | -547.97 | -784.73 |
Total Profit | 698.60 | 378.34 | 320.25 | 1497.86 | 748.00 |
Total Loss | 2031.30 | 107.60 | 1923.69 | 2045.83 | 1532.72 |
Profit Factor | 0.34 | 3.52 | 0.17 | 0.73 | 0.49 |
Trades | 19 | 7 | 12 | 19 | 19 |
Winning Trades | 10 | 5 | 5 | 11 | 9 |
Losing Trades | 9 | 2 | 7 | 8 | 10 |
% Profitable | 52.00 | 71.00 | 41.00 | 57.00 | 47.00 |
Profit/Loss Per Trade % | -0.75 | 0.40 | -1.42 | -0.33 | -0.45 |
Profit Per Trade % | 0.75 | 0.80 | 0.70 | 1.46 | 0.88 |
Loss Per Trade % | 2.36 | 0.61 | 2.86 | 2.70 | 1.62 |
Days In Trade | 281 | 75 | 206 | 281 | 281 |
Days In Trade (Avg. Per Trade) | 14.79 | 10.71 | 17.17 | 14.79 | 14.79 |
% Days In Trade | 13.59 | 3.63 | 9.97 | 13.59 | 13.59 |