Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SCHW | Charles Schwab Corp | Financial Services | Capital Markets | 137368 | 0.0133 | 75.19 | 9219407 |
BK | Bank of New York Mellon | Financial Services | Asset Management | 42955 | 0.0292 | 57.95 | 4319714 |
Entry Threshold: | 1.00 | Exit Threshold: | -1.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
MA Period: | 10 | 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: | 6816.92 |
Total net P/L: | -3183.08 | Total ROI: | -31.83 % |
CAGR: | -6.36 % | Max. DD: | 49.63 % |
System Score: | -0.830 | Sharpe Ratio: | -0.489 |
Start Date: | 2015-01-02 | End Date: | 2020-10-30 |
Total days: | 2128 | ||
Commissions: | 549.66 | Comm.% P/L | 20.87 % |
Total Transactions: | 492 | Log. Linearity: | 50.719 % |
Total | Long | Short | SCHW | BK | |
---|---|---|---|---|---|
Total Profit/Loss | -2633.42 | 114.16 | -2747.58 | -7687.32 | 5053.90 |
Total Profit | 14994.24 | 6675.62 | 8318.62 | 20789.54 | 21260.38 |
Total Loss | 17627.66 | 6561.46 | 11066.20 | 28476.86 | 16206.48 |
Profit Factor | 0.85 | 1.02 | 0.75 | 0.73 | 1.31 |
Trades | 123 | 57 | 66 | 123 | 123 |
Winning Trades | 74 | 36 | 38 | 61 | 68 |
Losing Trades | 49 | 21 | 28 | 62 | 55 |
% Profitable | 60.00 | 63.00 | 57.00 | 49.00 | 55.00 |
Profit/Loss Per Trade % | -0.25 | 0.13 | -0.58 | -0.97 | 0.40 |
Profit Per Trade % | 2.67 | 2.50 | 2.84 | 4.37 | 3.98 |
Loss Per Trade % | 4.43 | 3.75 | 4.93 | 5.67 | 3.73 |
Days In Trade | 1837 | 836 | 1001 | 1837 | 1837 |
Days In Trade (Avg. Per Trade) | 14.93 | 14.67 | 15.17 | 14.93 | 14.93 |
% Days In Trade | 86.33 | 39.29 | 47.04 | 86.33 | 86.33 |