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Model: Ratio
HQ Backtest XLP vs XLY
Symbol Title Sector Industry M.Cap.[M] Div Yield Last Close AvgVol 200d
XLP Consumer Staples Select Sector SPDR® Fund 15540 0.021 81.64 11597523
XLY Consumer Discretionary Select Sector SPDR® Fund 24517 0.0054 211.65 3562761
Entry Threshold: 2.00 Exit Threshold: 0.00
Max Duration: 20 Entry Mode: Uptick Reversals:
MA Period: 15 MA Type: EMA 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: 7853.85
Total net P/L: -2146.15 Total ROI: -21.46 %
CAGR: -4.06 % Max. DD: 32.54 %
System Score: -0.611 Sharpe Ratio: -0.934
Start Date: 2015-01-02 End Date: 2020-10-30
Total days: 2128
Commissions: 329.17 Comm.% P/L 18.12 %
Total Transactions: 328 Log. Linearity: 53.183 %
Total enabled Long enabled Short XLP XLY
Total Profit/Loss -1816.98 -940.92 -876.06 2248.61 -4065.59
Total Profit 6715.26 3131.39 3583.87 6800.58 6220.99
Total Loss 8532.24 4072.31 4459.93 4551.97 10286.58
Profit Factor 0.79 0.77 0.80 1.49 0.60
Trades 82 43 39 82 82
Winning Trades 52 24 28 48 52
Losing Trades 30 19 11 34 30
% Profitable 63.00 55.00 71.00 58.00 63.00
Profit/Loss Per Trade % -0.25 -0.24 -0.26 0.31 -0.61
Profit Per Trade % 1.35 1.39 1.31 1.49 1.21
Loss Per Trade % 2.85 2.23 3.94 1.31 3.48
Days In Trade 1024 590 434 1024 1024
Days In Trade (Avg. Per Trade) 12.49 13.72 11.13 12.49 12.49
% Days In Trade 48.12 27.73 20.39 48.12 48.12
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Trade Log
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Disclaimer: Backtested, simulated or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. There are numerous factors related to the stock market in general and to the implementation of any stock market timing program, which cannot be fully accounted for in the preparation of hypothetical performance results. The backtested results listed here do not take into consideration slippage, fees, taxes, or dividends and interest earned on cash positions. These factors would affect actual trading results. Simulated, backtested or hypothetical stock trading systems in general are also subject to the fact that they are designed with the benefit of hindsight. Backtested performance does not represent actual performance and should not be interpreted as an indication of such performance. No representation is being made that you will or is likely to achieve profits or losses similar to these being shown. This site provides impersonal educational stock trading information, and therefore, no consideration can or is made toward your financial circumstances. All material presented within is not to be regarded as investment advice, but for general informational purposes only.