Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
VCIT | Vanguard Intermediate-Term Corporate Bond Index Fund ETF Shares | 0.0346 | 78.34 | 7028212 | |||
VCSH | Vanguard Short-Term Corporate Bond Index Fund ETF Shares | 0.0294 | 76.46 | 4504961 |
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: | 17956.01 |
Total net P/L: | 7956.01 | Total ROI: | 79.56 % |
CAGR: | 7.78 % | Max. DD: | 19.80 % |
System Score: | 5.215 | Sharpe Ratio: | 1.825 |
Start Date: | 2010-02-09 | End Date: | 2017-11-30 |
Total days: | 2851 | ||
Commissions: | 1840.33 | Comm.% P/L | 18.79 % |
Total Transactions: | 412 | Log. Linearity: | 87.510 % |
Total | Long | Short | VCIT | VCSH | |
---|---|---|---|---|---|
Total Profit/Loss | 9796.34 | 5318.37 | 4477.97 | 10928.33 | -1131.98 |
Total Profit | 22763.81 | 10793.04 | 11970.77 | 30162.96 | 8176.32 |
Total Loss | 12967.47 | 5474.67 | 7492.80 | 19234.63 | 9308.31 |
Profit Factor | 1.76 | 1.97 | 1.60 | 1.57 | 0.88 |
Trades | 103 | 42 | 61 | 103 | 103 |
Winning Trades | 73 | 31 | 42 | 68 | 45 |
Losing Trades | 30 | 11 | 19 | 35 | 57 |
% Profitable | 70.00 | 73.00 | 68.00 | 66.00 | 43.00 |
Profit/Loss Per Trade % | 0.69 | 0.92 | 0.54 | 0.73 | -0.10 |
Profit Per Trade % | 2.21 | 2.49 | 2.01 | 3.13 | 1.26 |
Loss Per Trade % | 2.86 | 3.28 | 2.62 | 3.65 | 1.14 |
Days In Trade | 1330 | 493 | 837 | 1330 | 1330 |
Days In Trade (Avg. Per Trade) | 12.91 | 11.74 | 13.72 | 12.91 | 12.91 |
% Days In Trade | 46.65 | 17.29 | 29.36 | 46.65 | 46.65 |