Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
FFBC | First Financial Bancorp | Financial Services | Banks - Regional | 2153 | 0.0408 | 22.36 | 324340 |
IXC | iShares Global Energy ETF | 0.0232 | 44.37 | 803344 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 40 | ||||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 20144.81 |
Total net P/L: | 10144.81 | Total ROI: | 101.45 % |
CAGR: | 12.98 % | Max. DD: | 24.08 % |
System Score: | 8.359 | Sharpe Ratio: | 1.818 |
Start Date: | 2013-01-02 | End Date: | 2018-09-28 |
Total days: | 2095 | ||
Commissions: | 792.99 | Comm.% P/L | 7.25 % |
Total Transactions: | 320 | Log. Linearity: | 86.360 % |
Total | Long | Short | FFBC | IXC | |
---|---|---|---|---|---|
Total Profit/Loss | 10937.80 | 8768.14 | 2169.66 | 11463.59 | -525.79 |
Total Profit | 23511.39 | 12130.69 | 11380.70 | 23156.07 | 13251.24 |
Total Loss | 12573.59 | 3362.55 | 9211.04 | 11692.48 | 13777.03 |
Profit Factor | 1.87 | 3.61 | 1.24 | 1.98 | 0.96 |
Trades | 80 | 37 | 43 | 80 | 80 |
Winning Trades | 55 | 29 | 26 | 55 | 42 |
Losing Trades | 25 | 8 | 17 | 25 | 38 |
% Profitable | 68.00 | 78.00 | 60.00 | 68.00 | 52.00 |
Profit/Loss Per Trade % | 0.96 | 1.82 | 0.22 | 0.93 | -0.04 |
Profit Per Trade % | 3.17 | 3.10 | 3.26 | 3.10 | 2.51 |
Loss Per Trade % | 3.61 | 2.59 | 4.09 | 3.49 | 2.74 |
Days In Trade | 1084 | 456 | 628 | 1084 | 1084 |
Days In Trade (Avg. Per Trade) | 13.55 | 12.32 | 14.60 | 13.55 | 13.55 |
% Days In Trade | 51.74 | 21.77 | 29.98 | 51.74 | 51.74 |