Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
VCSH | Vanguard Short-Term Corporate Bond Index Fund ETF Shares | 0.0294 | 76.53 | 4518727 | |||
TIP | iShares TIPS Bond ETF | 22852 | 0.0118 | 105.51 | 2656474 |
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: | 14370.25 |
Total net P/L: | 4370.25 | Total ROI: | 43.70 % |
CAGR: | 4.75 % | Max. DD: | 27.56 % |
System Score: | 1.373 | Sharpe Ratio: | 1.022 |
Start Date: | 2010-02-09 | End Date: | 2017-11-30 |
Total days: | 2851 | ||
Commissions: | 1048.71 | Comm.% P/L | 19.35 % |
Total Transactions: | 356 | Log. Linearity: | 66.110 % |
Total | Long | Short | VCSH | TIP | |
---|---|---|---|---|---|
Total Profit/Loss | 5418.96 | 3712.49 | 1706.47 | -2480.12 | 7899.08 |
Total Profit | 16586.90 | 9253.75 | 7333.15 | 4975.99 | 20210.93 |
Total Loss | 11167.94 | 5541.26 | 5626.68 | 7456.11 | 12311.85 |
Profit Factor | 1.49 | 1.67 | 1.30 | 0.67 | 1.64 |
Trades | 89 | 45 | 44 | 89 | 89 |
Winning Trades | 62 | 31 | 31 | 35 | 64 |
Losing Trades | 27 | 14 | 13 | 54 | 25 |
% Profitable | 69.00 | 68.00 | 70.00 | 39.00 | 71.00 |
Profit/Loss Per Trade % | 0.52 | 0.72 | 0.30 | -0.27 | 0.75 |
Profit Per Trade % | 2.50 | 2.85 | 2.15 | 1.30 | 2.91 |
Loss Per Trade % | 3.79 | 3.75 | 3.83 | 1.26 | 4.44 |
Days In Trade | 1167 | 587 | 580 | 1167 | 1167 |
Days In Trade (Avg. Per Trade) | 13.11 | 13.04 | 13.18 | 13.11 | 13.11 |
% Days In Trade | 40.93 | 20.59 | 20.34 | 40.93 | 40.93 |