Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
MS | Morgan Stanley | Financial Services | Capital Markets | 153977 | 0.0361 | 94.16 | 8213677 |
EWJ | iShares MSCI Japan ETF | 16517 | 0.0098 | 71.35 | 7080698 |
Entry Threshold: | 3.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 30 | Entry Mode: | Simple | Reversals: | |
MA Period: | 15 | MA Type: | SMA | StdDev Period: | 15 |
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: | 8468.60 |
Total net P/L: | -1531.40 | Total ROI: | -15.31 % |
CAGR: | -2.81 % | Max. DD: | 36.91 % |
System Score: | -0.026 | Sharpe Ratio: | -0.239 |
Start Date: | 2015-01-02 | End Date: | 2020-10-30 |
Total days: | 2128 | ||
Commissions: | 177.12 | Comm.% P/L | 13.08 % |
Total Transactions: | 168 | Log. Linearity: | 21.091 % |
Total | Long | Short | MS | EWJ | |
---|---|---|---|---|---|
Total Profit/Loss | -1354.28 | -3115.52 | 1761.24 | -1542.88 | 188.60 |
Total Profit | 6928.56 | 2010.64 | 4917.92 | 9345.34 | 4073.59 |
Total Loss | 8282.84 | 5126.16 | 3156.68 | 10888.22 | 3884.99 |
Profit Factor | 0.84 | 0.39 | 1.56 | 0.86 | 1.05 |
Trades | 42 | 19 | 23 | 42 | 42 |
Winning Trades | 29 | 10 | 19 | 28 | 18 |
Losing Trades | 13 | 9 | 4 | 14 | 24 |
% Profitable | 69.00 | 52.00 | 82.00 | 66.00 | 42.00 |
Profit/Loss Per Trade % | -0.34 | -1.82 | 0.89 | -0.47 | -0.08 |
Profit Per Trade % | 3.08 | 2.75 | 3.26 | 4.31 | 2.61 |
Loss Per Trade % | 7.00 | 6.29 | 8.63 | 8.51 | 2.02 |
Days In Trade | 728 | 383 | 345 | 728 | 728 |
Days In Trade (Avg. Per Trade) | 17.33 | 20.16 | 15.00 | 17.33 | 17.33 |
% Days In Trade | 34.21 | 18.00 | 16.21 | 34.21 | 34.21 |