Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
GDX | VanEck Gold Miners ETF | 0 | 33.55 | 23041482 | |||
AU | AngloGold Ashanti plc | Basic Materials | Gold | 9776 | 0.0163 | 23.85 | 2352569 |
Entry Threshold: | 3.00 | Exit Threshold: | -3.00 | ||
Max Duration: | 100 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 25 | ||||
Margin Req. 1: | 15.0 | Margin Req. 2: | 50.0 | High Leverage | |
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 28604.84 |
Total net P/L: | 18604.84 | Total ROI: | 186.05 % |
CAGR: | 13.17 % | Max. DD: | 70.95 % |
System Score: | 0.004 | Sharpe Ratio: | 1.497 |
Start Date: | 2009-01-02 | End Date: | 2017-06-30 |
Total days: | 3101 | ||
Commissions: | 691.35 | Comm.% P/L | 3.58 % |
Total Transactions: | 112 | Log. Linearity: | 6.632 % |
Total | Long | Short | GDX | AU | |
---|---|---|---|---|---|
Total Profit/Loss | 19296.19 | 12420.11 | 6876.08 | 78129.86 | -58833.67 |
Total Profit | 47203.59 | 24249.81 | 22953.78 | 99515.32 | 49675.54 |
Total Loss | 27907.40 | 11829.70 | 16077.70 | 21385.46 | 108509.21 |
Profit Factor | 1.69 | 2.05 | 1.43 | 4.65 | 0.46 |
Trades | 28 | 13 | 15 | 28 | 28 |
Winning Trades | 20 | 10 | 10 | 18 | 14 |
Losing Trades | 8 | 3 | 5 | 10 | 14 |
% Profitable | 71.00 | 76.00 | 66.00 | 64.00 | 50.00 |
Profit/Loss Per Trade % | 3.96 | 3.72 | 4.17 | 9.91 | 0.00 |
Profit Per Trade % | 13.54 | 13.07 | 14.01 | 25.32 | 20.40 |
Loss Per Trade % | 14.93 | 19.20 | 12.43 | 12.18 | 32.61 |
Days In Trade | 2147 | 997 | 1150 | 2147 | 2147 |
Days In Trade (Avg. Per Trade) | 76.68 | 76.69 | 76.67 | 76.68 | 76.68 |
% Days In Trade | 69.24 | 32.15 | 37.08 | 69.24 | 69.24 |