Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
FFBC | First Financial Bancorp | Financial Services | Banks - Regional | 1977 | 0.0443 | 20.86 | 321775 |
IXC | iShares Global Energy ETF | 0.0234 | 43.14 | 793706 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 50 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 40 | ||||
Margin Req. 1: | 100.0 | Margin Req. 2: | 100.0 | ||
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 12956.68 |
Total net P/L: | 2956.68 | Total ROI: | 29.57 % |
CAGR: | 4.62 % | Max. DD: | 13.58 % |
System Score: | 1.460 | Sharpe Ratio: | 1.207 |
Start Date: | 2013-01-02 | End Date: | 2018-09-28 |
Total days: | 2095 | ||
Commissions: | 336.96 | Comm.% P/L | 10.23 % |
Total Transactions: | 292 | Log. Linearity: | 68.135 % |
Total | Long | Short | FFBC | IXC | |
---|---|---|---|---|---|
Total Profit/Loss | 3293.64 | 3665.57 | -371.93 | 3776.86 | -483.22 |
Total Profit | 10047.37 | 5360.76 | 4686.61 | 9270.37 | 5644.77 |
Total Loss | 6753.73 | 1695.19 | 5058.54 | 5493.51 | 6127.99 |
Profit Factor | 1.49 | 3.16 | 0.93 | 1.69 | 0.92 |
Trades | 73 | 36 | 37 | 73 | 73 |
Winning Trades | 52 | 29 | 23 | 50 | 37 |
Losing Trades | 21 | 7 | 14 | 23 | 36 |
% Profitable | 71.00 | 80.00 | 62.00 | 68.00 | 50.00 |
Profit/Loss Per Trade % | 0.40 | 0.99 | -0.17 | 0.46 | -0.08 |
Profit Per Trade % | 1.81 | 1.74 | 1.90 | 1.75 | 1.47 |
Loss Per Trade % | 2.94 | 2.05 | 3.39 | 2.21 | 1.62 |
Days In Trade | 1231 | 478 | 753 | 1231 | 1231 |
Days In Trade (Avg. Per Trade) | 16.86 | 13.28 | 20.35 | 16.86 | 16.86 |
% Days In Trade | 58.76 | 22.82 | 35.94 | 58.76 | 58.76 |