Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
CMS | CMS Energy Corporation | Utilities | Utilities - Regulated Electric | 17902 | 0.0344 | 60.28 | 2374617 |
WEC | WEC Energy Group Inc | Utilities | Utilities - Regulated Electric | 26096 | 0.0404 | 82.63 | 1867942 |
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: | 14035.92 |
Total net P/L: | 4035.92 | Total ROI: | 40.36 % |
CAGR: | 6.08 % | Max. DD: | 14.75 % |
System Score: | 5.286 | Sharpe Ratio: | 1.878 |
Start Date: | 2015-01-02 | End Date: | 2020-09-30 |
Total days: | 2098 | ||
Commissions: | 395.29 | Comm.% P/L | 8.92 % |
Total Transactions: | 332 | Log. Linearity: | 95.463 % |
Total | Long | Short | CMS | WEC | |
---|---|---|---|---|---|
Total Profit/Loss | 4431.21 | 1904.15 | 2527.06 | -1090.84 | 5522.05 |
Total Profit | 9747.37 | 6143.94 | 3603.43 | 12336.70 | 16795.32 |
Total Loss | 5316.16 | 4239.79 | 1076.37 | 13427.54 | 11273.27 |
Profit Factor | 1.83 | 1.45 | 3.35 | 0.92 | 1.49 |
Trades | 83 | 46 | 37 | 83 | 83 |
Winning Trades | 64 | 33 | 31 | 49 | 43 |
Losing Trades | 19 | 13 | 6 | 34 | 40 |
% Profitable | 77.00 | 71.00 | 83.00 | 59.00 | 51.00 |
Profit/Loss Per Trade % | 0.45 | 0.38 | 0.54 | -0.09 | 0.41 |
Profit Per Trade % | 1.20 | 1.47 | 0.92 | 2.03 | 2.95 |
Loss Per Trade % | 1.97 | 2.22 | 1.43 | 2.95 | 2.20 |
Days In Trade | 1086 | 613 | 473 | 1086 | 1086 |
Days In Trade (Avg. Per Trade) | 13.08 | 13.33 | 12.78 | 13.08 | 13.08 |
% Days In Trade | 51.76 | 29.22 | 22.55 | 51.76 | 51.76 |