Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
MS | Morgan Stanley | Financial Services | Capital Markets | 152898 | 0.0364 | 93.5 | 8215406 |
EWJ | iShares MSCI Japan ETF | 16517 | 0.0098 | 71.61 | 7049511 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 30 | Entry Mode: | Simple | Reversals: | |
MA Period: | 15 | 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: | 8612.64 |
Total net P/L: | -1387.36 | Total ROI: | -13.87 % |
CAGR: | -2.53 % | Max. DD: | 33.64 % |
System Score: | -0.000 | Sharpe Ratio: | -0.094 |
Start Date: | 2015-01-02 | End Date: | 2020-10-30 |
Total days: | 2128 | ||
Commissions: | 309.87 | Comm.% P/L | 28.76 % |
Total Transactions: | 276 | Log. Linearity: | 1.864 % |
Total | Long | Short | MS | EWJ | |
---|---|---|---|---|---|
Total Profit/Loss | -1077.49 | -1708.35 | 630.86 | -1763.83 | 686.34 |
Total Profit | 12144.21 | 5771.84 | 6372.37 | 15961.03 | 7308.04 |
Total Loss | 13221.70 | 7480.19 | 5741.51 | 17724.86 | 6621.70 |
Profit Factor | 0.92 | 0.77 | 1.11 | 0.90 | 1.10 |
Trades | 69 | 35 | 34 | 69 | 69 |
Winning Trades | 46 | 23 | 23 | 41 | 32 |
Losing Trades | 23 | 12 | 11 | 28 | 37 |
% Profitable | 66.00 | 65.00 | 67.00 | 59.00 | 46.00 |
Profit/Loss Per Trade % | -0.17 | -0.53 | 0.20 | -0.33 | 0.01 |
Profit Per Trade % | 2.79 | 2.66 | 2.92 | 4.12 | 2.23 |
Loss Per Trade % | 5.42 | 6.10 | 4.69 | 5.93 | 1.85 |
Days In Trade | 1135 | 617 | 518 | 1135 | 1135 |
Days In Trade (Avg. Per Trade) | 16.45 | 17.63 | 15.24 | 16.45 | 16.45 |
% Days In Trade | 53.34 | 28.99 | 24.34 | 53.34 | 53.34 |