Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
GDX | VanEck Gold Miners ETF | 0 | 30.96 | 22005510 | |||
AU | AngloGold Ashanti plc | Basic Materials | Gold | 9258 | 0.0178 | 21.99 | 2325301 |
Entry Threshold: | 2.80 | Exit Threshold: | -2.80 | ||
Max Duration: | 100 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 25 | ||||
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: | 21815.86 |
Total net P/L: | 11815.86 | Total ROI: | 118.16 % |
CAGR: | 9.62 % | Max. DD: | 54.86 % |
System Score: | 0.338 | Sharpe Ratio: | 1.396 |
Start Date: | 2009-01-02 | End Date: | 2017-06-30 |
Total days: | 3101 | ||
Commissions: | 603.65 | Comm.% P/L | 4.86 % |
Total Transactions: | 148 | Log. Linearity: | 32.770 % |
Total | Long | Short | GDX | AU | |
---|---|---|---|---|---|
Total Profit/Loss | 12419.51 | 6388.96 | 6030.55 | 43371.70 | -30952.19 |
Total Profit | 34254.69 | 14915.84 | 19338.85 | 71888.79 | 50197.29 |
Total Loss | 21835.18 | 8526.88 | 13308.30 | 28517.09 | 81149.48 |
Profit Factor | 1.57 | 1.75 | 1.45 | 2.52 | 0.62 |
Trades | 37 | 17 | 20 | 37 | 37 |
Winning Trades | 26 | 14 | 12 | 21 | 18 |
Losing Trades | 11 | 3 | 8 | 16 | 19 |
% Profitable | 70.00 | 82.00 | 60.00 | 56.00 | 48.00 |
Profit/Loss Per Trade % | 2.22 | 2.08 | 2.33 | 4.47 | -10.58 |
Profit Per Trade % | 7.38 | 5.77 | 9.30 | 16.54 | 14.53 |
Loss Per Trade % | 8.25 | 12.16 | 6.83 | 9.17 | 18.60 |
Days In Trade | 2691 | 1151 | 1540 | 2691 | 2691 |
Days In Trade (Avg. Per Trade) | 72.73 | 67.71 | 77.00 | 72.73 | 72.73 |
% Days In Trade | 86.78 | 37.12 | 49.66 | 86.78 | 86.78 |