Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
DFS | Discover Financial Services | Financial Services | Credit Services | 31408 | 0.0223 | 125.35 | 2318592 |
COF | Capital One Financial Corporation | Financial Services | Credit Services | 54362 | 0.0168 | 142.91 | 2521640 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Inverted: | COF | Transformed: | DFS | A=1000.0 B=0.1 | |
Regression Per: | 15 | ||||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 2000.00 | Final Equity: | 1422.38 |
Total net P/L: | -577.62 | Total ROI: | -28.88 % |
CAGR: | -26.01 % | Max. DD: | 41.66 % |
System Score: | -0.943 | Sharpe Ratio: | -1.019 |
Start Date: | 2018-01-02 | End Date: | 2019-02-19 |
Total days: | 413 | ||
Commissions: | 72.00 | Comm.% P/L | 14.24 % |
Total Transactions: | 72 | Log. Linearity: | 33.102 % |
Total | Long | Short | DFS | COF | |
---|---|---|---|---|---|
Total Profit/Loss | -505.62 | -332.68 | -172.94 | -113.29 | -392.33 |
Total Profit | 755.16 | 459.61 | 295.55 | 481.09 | 334.87 |
Total Loss | 1260.78 | 792.29 | 468.49 | 594.38 | 727.20 |
Profit Factor | 0.60 | 0.58 | 0.63 | 0.81 | 0.46 |
Trades | 18 | 10 | 8 | 18 | 18 |
Winning Trades | 6 | 3 | 3 | 6 | 6 |
Losing Trades | 12 | 7 | 5 | 12 | 12 |
% Profitable | 33.00 | 30.00 | 37.00 | 33.00 | 33.00 |
Profit/Loss Per Trade % | -1.67 | -1.80 | -1.50 | -0.32 | -1.24 |
Profit Per Trade % | 6.63 | 8.06 | 5.23 | 4.46 | 2.94 |
Loss Per Trade % | 5.47 | 5.67 | 5.20 | 2.61 | 3.23 |
Days In Trade | 199 | 89 | 110 | 199 | 199 |
Days In Trade (Avg. Per Trade) | 11.06 | 8.90 | 13.75 | 11.06 | 11.06 |
% Days In Trade | 48.18 | 21.55 | 26.63 | 48.18 | 48.18 |