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: | 20 | 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: | 14422.35 |
Total net P/L: | 4422.35 | Total ROI: | 44.22 % |
CAGR: | 6.59 % | Max. DD: | 12.03 % |
System Score: | 4.305 | Sharpe Ratio: | 1.805 |
Start Date: | 2013-01-02 | End Date: | 2018-09-28 |
Total days: | 2095 | ||
Commissions: | 383.74 | Comm.% P/L | 7.98 % |
Total Transactions: | 320 | Log. Linearity: | 86.778 % |
Total | Long | Short | FFBC | IXC | |
---|---|---|---|---|---|
Total Profit/Loss | 4806.09 | 3913.39 | 892.70 | 4864.63 | -58.54 |
Total Profit | 10132.99 | 5223.90 | 4909.09 | 9934.96 | 5908.59 |
Total Loss | 5326.90 | 1310.51 | 4016.39 | 5070.33 | 5967.13 |
Profit Factor | 1.90 | 3.99 | 1.22 | 1.96 | 0.99 |
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 % | 0.50 | 0.92 | 0.14 | 0.49 | -0.00 |
Profit Per Trade % | 1.59 | 1.55 | 1.63 | 1.55 | 1.26 |
Loss Per Trade % | 1.81 | 1.30 | 2.06 | 1.76 | 1.37 |
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 |