Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
CFR | Cullen/Frost Bankers Inc | Financial Services | Banks - Regional | 7149 | 0.0331 | 112.57 | 464581 |
ASB | Associated Banc-Corp | Financial Services | Banks - Regional | 3216 | 0.0414 | 21.51 | 1546527 |
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: | 11817.65 |
Total net P/L: | 1817.65 | Total ROI: | 18.18 % |
CAGR: | 2.95 % | Max. DD: | 30.17 % |
System Score: | 0.021 | Sharpe Ratio: | 0.686 |
Start Date: | 2015-01-02 | End Date: | 2020-09-30 |
Total days: | 2098 | ||
Commissions: | 476.37 | Comm.% P/L | 20.77 % |
Total Transactions: | 280 | Log. Linearity: | 19.353 % |
Total | Long | Short | CFR | ASB | |
---|---|---|---|---|---|
Total Profit/Loss | 2294.02 | 908.08 | 1385.94 | -10471.58 | 12765.60 |
Total Profit | 9911.36 | 4078.85 | 5832.51 | 12163.47 | 22521.06 |
Total Loss | 7617.34 | 3170.77 | 4446.57 | 22635.05 | 9755.46 |
Profit Factor | 1.30 | 1.29 | 1.31 | 0.54 | 2.31 |
Trades | 70 | 30 | 40 | 70 | 70 |
Winning Trades | 48 | 22 | 26 | 33 | 45 |
Losing Trades | 22 | 8 | 14 | 37 | 24 |
% Profitable | 68.00 | 73.00 | 65.00 | 47.00 | 64.00 |
Profit/Loss Per Trade % | 0.31 | 0.28 | 0.33 | -1.65 | 1.56 |
Profit Per Trade % | 2.13 | 1.85 | 2.38 | 3.70 | 4.85 |
Loss Per Trade % | 3.46 | 3.77 | 3.29 | 5.84 | 4.06 |
Days In Trade | 1046 | 443 | 603 | 1046 | 1046 |
Days In Trade (Avg. Per Trade) | 14.94 | 14.77 | 15.07 | 14.94 | 14.94 |
% Days In Trade | 49.86 | 21.12 | 28.74 | 49.86 | 49.86 |