Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
IYE | iShares U.S. Energy ETF | 0.017 | 49.4 | 515040 | |||
IXC | iShares Global Energy ETF | 0.0241 | 42.95 | 785964 |
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: | 17344.75 |
Total net P/L: | 7344.75 | Total ROI: | 73.45 % |
CAGR: | 7.21 % | Max. DD: | 32.06 % |
System Score: | 4.379 | Sharpe Ratio: | 1.287 |
Start Date: | 2010-01-04 | End Date: | 2017-11-30 |
Total days: | 2887 | ||
Commissions: | 3061.27 | Comm.% P/L | 29.42 % |
Total Transactions: | 384 | Log. Linearity: | 84.686 % |
Total | Long | Short | IYE | IXC | |
---|---|---|---|---|---|
Total Profit/Loss | 10406.02 | 4983.79 | 5422.23 | 25628.77 | -15222.75 |
Total Profit | 29181.83 | 13551.94 | 15629.89 | 87393.01 | 66376.96 |
Total Loss | 18775.81 | 8568.15 | 10207.66 | 61764.24 | 81599.71 |
Profit Factor | 1.55 | 1.58 | 1.53 | 1.41 | 0.81 |
Trades | 96 | 41 | 55 | 96 | 96 |
Winning Trades | 71 | 29 | 42 | 53 | 49 |
Losing Trades | 25 | 12 | 13 | 43 | 47 |
% Profitable | 73.00 | 70.00 | 76.00 | 55.00 | 51.00 |
Profit/Loss Per Trade % | 0.84 | 1.14 | 0.61 | 0.91 | -3.78 |
Profit Per Trade % | 3.39 | 3.59 | 3.25 | 13.43 | 11.31 |
Loss Per Trade % | 5.89 | 4.45 | 7.24 | 11.76 | 14.25 |
Days In Trade | 1160 | 497 | 663 | 1160 | 1160 |
Days In Trade (Avg. Per Trade) | 12.08 | 12.12 | 12.05 | 12.08 | 12.08 |
% Days In Trade | 40.18 | 17.22 | 22.97 | 40.18 | 40.18 |