Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
DTE | DTE Energy Company | Utilities | Utilities - Regulated Electric | 22168 | 0.0381 | 111.3 | 1321372 |
PNW | Pinnacle West Capital Corp | Utilities | Utilities - Regulated Electric | 8397 | 0.0475 | 74.03 | 1048726 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 15 | ||||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 10441.96 |
Total net P/L: | 441.96 | Total ROI: | 4.42 % |
CAGR: | 3.81 % | Max. DD: | 2.78 % |
System Score: | 1.723 | Sharpe Ratio: | 0.956 |
Start Date: | 2017-01-02 | End Date: | 2018-02-28 |
Total days: | 422 | ||
Commissions: | 76.00 | Comm.% P/L | 14.67 % |
Total Transactions: | 76 | Log. Linearity: | 76.751 % |
Total | Long | Short | DTE | PNW | |
---|---|---|---|---|---|
Total Profit/Loss | 517.96 | 350.05 | 167.91 | 702.38 | -184.42 |
Total Profit | 816.60 | 372.87 | 443.73 | 1944.19 | 1619.02 |
Total Loss | 298.64 | 22.82 | 275.82 | 1241.81 | 1803.44 |
Profit Factor | 2.73 | 16.34 | 1.61 | 1.57 | 0.90 |
Trades | 19 | 8 | 11 | 19 | 19 |
Winning Trades | 14 | 7 | 7 | 13 | 7 |
Losing Trades | 5 | 1 | 4 | 6 | 12 |
% Profitable | 73.00 | 87.00 | 63.00 | 68.00 | 36.00 |
Profit/Loss Per Trade % | 0.27 | 0.43 | 0.15 | 0.34 | -0.12 |
Profit Per Trade % | 0.57 | 0.52 | 0.63 | 1.45 | 2.25 |
Loss Per Trade % | 0.58 | 0.23 | 0.67 | 2.01 | 1.44 |
Days In Trade | 125 | 37 | 88 | 125 | 125 |
Days In Trade (Avg. Per Trade) | 6.58 | 4.62 | 8.00 | 6.58 | 6.58 |
% Days In Trade | 29.62 | 8.77 | 20.85 | 29.62 | 29.62 |