Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
EWL | iShares MSCI Switzerland ETF | 1443 | 0.014 | 46.44 | 623733 | ||
FEZ | SPDR® EURO STOXX 50 ETF | 0.0162 | 51.59 | 1341771 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
MA Period: | 20 | MA Type: | EMA | StdDev Period: | 20 |
RSI Period: | 14 | RSI Threshold: | 0 | ||
Margin Req. 1: | 10.0 | Margin Req. 2: | 10.0 | High Leverage | |
Version: | 5 | Model Version: | 2016.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 84854.50 |
Total net P/L: | 74854.50 | Total ROI: | 748.55 % |
CAGR: | 31.04 % | Max. DD: | 68.12 % |
System Score: | 16.820 | Sharpe Ratio: | 2.183 |
Start Date: | 2010-01-04 | End Date: | 2017-11-30 |
Total days: | 2887 | ||
Commissions: | 9642.04 | Comm.% P/L | 11.41 % |
Total Transactions: | 392 | Log. Linearity: | 81.526 % |
Total | Long | Short | EWL | FEZ | |
---|---|---|---|---|---|
Total Profit/Loss | 84496.54 | 26841.44 | 57655.10 | 39041.59 | 45454.95 |
Total Profit | 160508.27 | 56450.45 | 104057.82 | 191365.11 | 251364.27 |
Total Loss | 76011.72 | 29609.01 | 46402.71 | 152323.51 | 205909.32 |
Profit Factor | 2.11 | 1.91 | 2.24 | 1.26 | 1.22 |
Trades | 98 | 42 | 56 | 98 | 98 |
Winning Trades | 69 | 28 | 41 | 48 | 59 |
Losing Trades | 29 | 14 | 15 | 50 | 39 |
% Profitable | 70.00 | 66.00 | 73.00 | 48.00 | 60.00 |
Profit/Loss Per Trade % | 2.53 | 2.69 | 2.41 | -0.73 | -0.92 |
Profit Per Trade % | 8.64 | 7.82 | 9.21 | 13.34 | 16.22 |
Loss Per Trade % | 9.83 | 6.63 | 12.89 | 11.64 | 18.31 |
Days In Trade | 1353 | 612 | 741 | 1353 | 1353 |
Days In Trade (Avg. Per Trade) | 13.81 | 14.57 | 13.23 | 13.81 | 13.81 |
% Days In Trade | 46.87 | 21.20 | 25.67 | 46.87 | 46.87 |