Model: | Ratio |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
MA Period: | 15 | MA Type: | EMA | StdDev Period: | 15 |
RSI Period: | 14 | RSI Threshold: | 0 | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 55895.06 |
Total net P/L: | 45895.06 | Total ROI: | 458.95 % |
CAGR: | 24.59 % | Max. DD: | 41.89 % |
System Score: | 15.632 | Sharpe Ratio: | 2.463 |
Start Date: | 2010-01-04 | End Date: | 2017-10-31 |
Total days: | 2857 | ||
Commissions: | 2383.96 | Comm.% P/L | 4.94 % |
Total Transactions: | 508 | Log. Linearity: | 85.984 % |
Total | Long | Short | BOBE | AAN | |
---|---|---|---|---|---|
Total Profit/Loss | 48279.02 | 5293.25 | 42985.76 | 12245.29 | 36033.73 |
Total Profit | 127164.15 | 51224.70 | 75939.46 | 73337.78 | 120185.15 |
Total Loss | 78885.14 | 45931.45 | 32953.69 | 61092.49 | 84151.43 |
Profit Factor | 1.61 | 1.12 | 2.30 | 1.20 | 1.43 |
Trades | 127 | 60 | 67 | 127 | 127 |
Winning Trades | 93 | 41 | 52 | 74 | 86 |
Losing Trades | 34 | 19 | 15 | 53 | 40 |
% Profitable | 73.00 | 68.00 | 77.00 | 58.00 | 67.00 |
Profit/Loss Per Trade % | 1.43 | 0.59 | 2.19 | 0.25 | 1.06 |
Profit Per Trade % | 4.56 | 4.10 | 4.93 | 3.13 | 4.52 |
Loss Per Trade % | 6.29 | 6.20 | 6.41 | 3.53 | 5.55 |
Days In Trade | 1435 | 736 | 699 | 1435 | 1435 |
Days In Trade (Avg. Per Trade) | 11.30 | 12.27 | 10.43 | 11.30 | 11.30 |
% Days In Trade | 50.23 | 25.76 | 24.47 | 50.23 | 50.23 |