Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SHW | Sherwin-Williams Co | Basic Materials | Specialty Chemicals | 93674 | 0.0077 | 371.94 | 1668919 |
PFF | iShares Preferred and Income Securities ETF | 0.0561 | 32.47 | 3888842 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 20 | ||||
Version: | 4 | Model Version: | n/a | Bid-Ask 0.00 / 0.00 |
Initial Capital: | 10000.00 | Final Equity: | 23001.56 |
Total net P/L: | 13001.57 | Total ROI: | 130.02 % |
CAGR: | 26.21 % | Max. DD: | 5.13 % |
System Score: | 24.683 | Sharpe Ratio: | 4.790 |
Start Date: | 2012-01-02 | End Date: | 2015-07-31 |
Total days: | 1306 | Leverage: | 1:2 |
Commissions: | 205.06 | Comm.% P/L | 1.55 % |
Total Transactions: | 136 | Log. Linearity: | 98.015 % |
Total | Long | Short | SHW | PFF | |
---|---|---|---|---|---|
Total Profit/Loss | 13206.62 | 13206.62 | 0.00 | 12378.84 | 827.78 |
Total Profit | 13485.19 | 13485.19 | 0.00 | 12586.21 | 1779.87 |
Total Loss | 278.57 | 278.57 | 0.00 | 207.37 | 952.08 |
Profit Factor | 48.41 | 48.41 | 0.00 | 60.69 | 1.87 |
Trades | 34 | 34 | 0 | 34 | 34 |
Winning Trades | 33 | 33 | 0 | 33 | 18 |
Losing Trades | 1 | 1 | 0 | 1 | 16 |
% Profitable | 97.00 | 97.00 | 0.00 | 97.00 | 52.00 |
Profit/Loss Per Trade % | 2.52 | 2.52 | 0.00 | 2.36 | 0.16 |
Profit Per Trade % | 2.65 | 2.65 | 0.00 | 2.47 | 0.65 |
Loss Per Trade % | 1.61 | 1.61 | 0.00 | 1.20 | 0.40 |
Days In Trade | 223 | 223 | 0 | 223 | 223 |
Days In Trade (Avg. Per Trade) | 6.56 | 6.56 | 0.00 | 6.56 | 6.56 |
% Days In Trade | 17.08 | 17.08 | 0.00 | 17.08 | 17.08 |