Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
ACRE | Ares Commercial Real Estate | Real Estate | REIT - Mortgage | 377 | 0.1443 | 6.77 | 586965 |
STWD | Starwood Property Trust Inc | Real Estate | REIT - Mortgage | 6279 | 0.099 | 19.11 | 2338125 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
MA Period: | 20 | MA Type: | EMA | 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: | 11401.79 |
Total net P/L: | 1401.79 | Total ROI: | 14.02 % |
CAGR: | 14.18 % | Max. DD: | 5.03 % |
System Score: | 10.046 | Sharpe Ratio: | 1.509 |
Start Date: | 2017-01-02 | End Date: | 2017-12-29 |
Total days: | 361 | ||
Commissions: | 217.88 | Comm.% P/L | 13.45 % |
Total Transactions: | 68 | Log. Linearity: | 89.140 % |
Total | Long | Short | ACRE | STWD | |
---|---|---|---|---|---|
Total Profit/Loss | 1619.67 | 413.52 | 1206.15 | 1280.31 | 339.36 |
Total Profit | 2195.18 | 828.52 | 1366.66 | 1964.76 | 941.70 |
Total Loss | 575.51 | 415.00 | 160.51 | 684.45 | 602.34 |
Profit Factor | 3.81 | 2.00 | 8.51 | 2.87 | 1.56 |
Trades | 17 | 7 | 10 | 17 | 17 |
Winning Trades | 13 | 5 | 8 | 10 | 10 |
Losing Trades | 4 | 2 | 2 | 7 | 7 |
% Profitable | 76.00 | 71.00 | 80.00 | 58.00 | 58.00 |
Profit/Loss Per Trade % | 0.90 | 0.51 | 1.16 | 0.72 | 0.17 |
Profit Per Trade % | 1.62 | 1.57 | 1.66 | 1.89 | 0.89 |
Loss Per Trade % | 1.41 | 2.05 | 0.78 | 0.93 | 0.83 |
Days In Trade | 150 | 66 | 84 | 150 | 150 |
Days In Trade (Avg. Per Trade) | 8.82 | 9.43 | 8.40 | 8.82 | 8.82 |
% Days In Trade | 41.55 | 18.28 | 23.27 | 41.55 | 41.55 |