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 | |||
BNDX | Vanguard Total International Bond Index Fund ETF Shares | 0 | 48.58 | 3248151 |
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: | 10919.99 |
Total net P/L: | 919.99 | Total ROI: | 9.20 % |
CAGR: | 2.08 % | Max. DD: | 23.63 % |
System Score: | 0.006 | Sharpe Ratio: | 0.511 |
Start Date: | 2013-08-19 | End Date: | 2017-11-30 |
Total days: | 1564 | ||
Commissions: | 870.66 | Comm.% P/L | 48.62 % |
Total Transactions: | 196 | Log. Linearity: | 14.514 % |
Total | Long | Short | VCIT | BNDX | |
---|---|---|---|---|---|
Total Profit/Loss | 1790.65 | -1051.11 | 2841.77 | 3350.61 | -1559.96 |
Total Profit | 7140.10 | 2606.08 | 4534.02 | 9448.02 | 6423.85 |
Total Loss | 5349.45 | 3657.19 | 1692.25 | 6097.41 | 7983.81 |
Profit Factor | 1.33 | 0.71 | 2.68 | 1.55 | 0.80 |
Trades | 49 | 26 | 23 | 49 | 49 |
Winning Trades | 32 | 15 | 17 | 29 | 21 |
Losing Trades | 17 | 11 | 6 | 20 | 28 |
% Profitable | 65.00 | 57.00 | 73.00 | 59.00 | 42.00 |
Profit/Loss Per Trade % | 0.33 | -0.28 | 1.03 | 0.60 | -0.35 |
Profit Per Trade % | 1.92 | 1.54 | 2.26 | 2.84 | 2.54 |
Loss Per Trade % | 2.56 | 2.69 | 2.34 | 2.49 | 2.42 |
Days In Trade | 721 | 405 | 316 | 721 | 721 |
Days In Trade (Avg. Per Trade) | 14.71 | 15.58 | 13.74 | 14.71 | 14.71 |
% Days In Trade | 46.10 | 25.90 | 20.20 | 46.10 | 46.10 |