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 | |||
MUB | iShares National Muni Bond ETF | 0 | 106.52 | 4290727 |
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: | 32044.95 |
Total net P/L: | 22044.95 | Total ROI: | 220.45 % |
CAGR: | 16.08 % | Max. DD: | 21.65 % |
System Score: | 11.295 | Sharpe Ratio: | 2.745 |
Start Date: | 2010-02-09 | End Date: | 2017-11-30 |
Total days: | 2851 | ||
Commissions: | 2222.77 | Comm.% P/L | 9.16 % |
Total Transactions: | 388 | Log. Linearity: | 88.896 % |
Total | Long | Short | VCIT | MUB | |
---|---|---|---|---|---|
Total Profit/Loss | 24267.72 | 10703.15 | 13564.58 | 18494.59 | 5773.14 |
Total Profit | 40411.45 | 16405.42 | 24006.03 | 38700.19 | 35960.74 |
Total Loss | 16143.72 | 5702.27 | 10441.45 | 20205.60 | 30187.60 |
Profit Factor | 2.50 | 2.88 | 2.30 | 1.92 | 1.19 |
Trades | 97 | 41 | 56 | 97 | 97 |
Winning Trades | 75 | 32 | 43 | 59 | 52 |
Losing Trades | 22 | 9 | 13 | 38 | 45 |
% Profitable | 77.00 | 78.00 | 76.00 | 60.00 | 53.00 |
Profit/Loss Per Trade % | 1.31 | 1.50 | 1.18 | 0.76 | 0.42 |
Profit Per Trade % | 2.79 | 2.65 | 2.90 | 3.09 | 3.71 |
Loss Per Trade % | 3.42 | 2.43 | 4.11 | 2.69 | 3.06 |
Days In Trade | 1179 | 499 | 680 | 1179 | 1179 |
Days In Trade (Avg. Per Trade) | 12.15 | 12.17 | 12.14 | 12.15 | 12.15 |
% Days In Trade | 41.35 | 17.50 | 23.85 | 41.35 | 41.35 |