Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
GSK | GlaxoSmithKline PLC ADR | Healthcare | Drug Manufacturers - General | 89615 | 0.0348 | 43.94 | 3428811 |
NVS | Novartis AG ADR | Healthcare | Drug Manufacturers - General | 238902 | 0.0322 | 117.16 | 1413190 |
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: | 22539.01 |
Total net P/L: | 12539.01 | Total ROI: | 125.39 % |
CAGR: | 43.65 % | Max. DD: | 9.46 % |
System Score: | 31.386 | Sharpe Ratio: | 3.419 |
Start Date: | 2008-01-02 | End Date: | 2010-03-31 |
Total days: | 819 | ||
Commissions: | 300.32 | Comm.% P/L | 2.34 % |
Total Transactions: | 140 | Log. Linearity: | 89.592 % |
Total | Long | Short | GSK | NVS | |
---|---|---|---|---|---|
Total Profit/Loss | 12839.33 | 6773.73 | 6065.60 | 10801.67 | 2037.66 |
Total Profit | 15427.99 | 9258.10 | 6169.89 | 15812.24 | 7220.75 |
Total Loss | 2588.67 | 2484.37 | 104.29 | 5010.58 | 5183.09 |
Profit Factor | 5.96 | 3.73 | 59.16 | 3.16 | 1.39 |
Trades | 35 | 22 | 13 | 35 | 35 |
Winning Trades | 30 | 18 | 12 | 27 | 20 |
Losing Trades | 5 | 4 | 1 | 8 | 15 |
% Profitable | 85.00 | 81.00 | 92.00 | 77.00 | 57.00 |
Profit/Loss Per Trade % | 2.40 | 2.35 | 2.49 | 2.04 | 0.28 |
Profit Per Trade % | 3.23 | 3.57 | 2.74 | 3.76 | 2.17 |
Loss Per Trade % | 2.46 | 2.96 | 0.46 | 3.47 | 2.17 |
Days In Trade | 339 | 226 | 113 | 339 | 339 |
Days In Trade (Avg. Per Trade) | 9.69 | 10.27 | 8.69 | 9.69 | 9.69 |
% Days In Trade | 41.39 | 27.59 | 13.80 | 41.39 | 41.39 |