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: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 30 | Entry Mode: | Simple | Reversals: | |
MA Period: | 15 | MA Type: | SMA | StdDev Period: | 10 |
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: | 8980.30 |
Total net P/L: | -1019.70 | Total ROI: | -10.20 % |
CAGR: | -1.83 % | Max. DD: | 47.68 % |
System Score: | -0.000 | Sharpe Ratio: | 0.043 |
Start Date: | 2015-01-02 | End Date: | 2020-10-30 |
Total days: | 2128 | ||
Commissions: | 467.55 | Comm.% P/L | 84.68 % |
Total Transactions: | 380 | Log. Linearity: | 1.180 % |
Total | Long | Short | MS | EWJ | |
---|---|---|---|---|---|
Total Profit/Loss | -552.15 | -863.21 | 311.06 | -1307.33 | 755.18 |
Total Profit | 15960.20 | 7801.10 | 8159.10 | 22082.96 | 11655.83 |
Total Loss | 16512.35 | 8664.31 | 7848.04 | 23390.29 | 10900.65 |
Profit Factor | 0.97 | 0.90 | 1.04 | 0.94 | 1.07 |
Trades | 95 | 43 | 52 | 95 | 95 |
Winning Trades | 61 | 28 | 33 | 60 | 44 |
Losing Trades | 34 | 15 | 19 | 35 | 51 |
% Profitable | 64.00 | 65.00 | 63.00 | 63.00 | 46.00 |
Profit/Loss Per Trade % | -0.07 | -0.28 | 0.11 | -0.22 | 0.01 |
Profit Per Trade % | 2.45 | 2.63 | 2.31 | 3.38 | 2.35 |
Loss Per Trade % | 4.11 | 5.25 | 3.22 | 5.61 | 1.94 |
Days In Trade | 1424 | 692 | 732 | 1424 | 1424 |
Days In Trade (Avg. Per Trade) | 14.99 | 16.09 | 14.08 | 14.99 | 14.99 |
% Days In Trade | 66.92 | 32.52 | 34.40 | 66.92 | 66.92 |