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 | 78.62 | 7058936 | |||
BND | Vanguard Total Bond Market Index Fund ETF Shares | 0.0257 | 70.95 | 7323222 |
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: | 11263.70 |
Total net P/L: | 1263.70 | Total ROI: | 12.64 % |
CAGR: | 1.54 % | Max. DD: | 29.85 % |
System Score: | 0.000 | Sharpe Ratio: | 0.579 |
Start Date: | 2010-02-09 | End Date: | 2017-11-30 |
Total days: | 2851 | ||
Commissions: | 1407.21 | Comm.% P/L | 52.69 % |
Total Transactions: | 392 | Log. Linearity: | 1.468 % |
Total | Long | Short | VCIT | BND | |
---|---|---|---|---|---|
Total Profit/Loss | 2670.91 | 2863.57 | -192.66 | 2283.66 | 387.24 |
Total Profit | 12180.21 | 6002.34 | 6177.87 | 19603.44 | 13094.50 |
Total Loss | 9509.30 | 3138.77 | 6370.53 | 17319.78 | 12707.25 |
Profit Factor | 1.28 | 1.91 | 0.97 | 1.13 | 1.03 |
Trades | 98 | 38 | 60 | 98 | 98 |
Winning Trades | 65 | 27 | 38 | 55 | 47 |
Losing Trades | 33 | 11 | 22 | 43 | 50 |
% Profitable | 66.00 | 71.00 | 63.00 | 56.00 | 47.00 |
Profit/Loss Per Trade % | 0.24 | 0.66 | -0.02 | 0.16 | -0.02 |
Profit Per Trade % | 1.58 | 1.87 | 1.38 | 2.99 | 2.31 |
Loss Per Trade % | 2.31 | 2.21 | 2.37 | 3.27 | 2.12 |
Days In Trade | 1345 | 490 | 855 | 1345 | 1345 |
Days In Trade (Avg. Per Trade) | 13.72 | 12.89 | 14.25 | 13.72 | 13.72 |
% Days In Trade | 47.18 | 17.19 | 29.99 | 47.18 | 47.18 |