Model: | Ratio |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
MA Period: | 20 | MA Type: | SMA | StdDev Period: | 20 |
RSI Period: | 14 | RSI Threshold: | 0 | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 17979.20 |
Total net P/L: | 7979.20 | Total ROI: | 79.79 % |
CAGR: | 12.46 % | Max. DD: | 34.10 % |
System Score: | 0.038 | Sharpe Ratio: | 1.504 |
Start Date: | 2016-01-04 | End Date: | 2020-12-31 |
Total days: | 1823 | ||
Commissions: | 292.71 | Comm.% P/L | 3.54 % |
Total Transactions: | 280 | Log. Linearity: | 14.535 % |
Total | Long | Short | CXO | PXD | |
---|---|---|---|---|---|
Total Profit/Loss | 8271.91 | -317.88 | 8589.79 | 3662.68 | 4609.23 |
Total Profit | 24648.82 | 9337.44 | 15311.38 | 28090.35 | 27206.95 |
Total Loss | 16376.91 | 9655.32 | 6721.59 | 24427.67 | 22597.72 |
Profit Factor | 1.51 | 0.97 | 2.28 | 1.15 | 1.20 |
Trades | 70 | 33 | 37 | 70 | 70 |
Winning Trades | 48 | 20 | 28 | 40 | 43 |
Losing Trades | 22 | 13 | 9 | 30 | 27 |
% Profitable | 68.00 | 60.00 | 75.00 | 57.00 | 61.00 |
Profit/Loss Per Trade % | 0.87 | 0.11 | 1.55 | 0.25 | 0.32 |
Profit Per Trade % | 3.59 | 3.45 | 3.69 | 4.70 | 4.26 |
Loss Per Trade % | 4.72 | 4.73 | 4.70 | 5.22 | 5.35 |
Days In Trade | 1025 | 517 | 508 | 1025 | 1025 |
Days In Trade (Avg. Per Trade) | 14.64 | 15.67 | 13.73 | 14.64 | 14.64 |
% Days In Trade | 56.23 | 28.36 | 27.87 | 56.23 | 56.23 |