Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
XLK | Technology Select Sector SPDR® Fund | 0.0056 | 197.6 | 6715269 | |||
SOXX | iShares Semiconductor ETF | 0.0152 | 212.41 | 3241474 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 15 | ||||
Margin Req. 1: | 15.0 | Margin Req. 2: | 15.0 | High Leverage | |
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 100000.00 | Final Equity: | 187411.06 |
Total net P/L: | 87411.06 | Total ROI: | 87.41 % |
CAGR: | 19.22 % | Max. DD: | 49.78 % |
System Score: | 0.000 | Sharpe Ratio: | 1.311 |
Start Date: | 2016-01-04 | End Date: | 2019-07-31 |
Total days: | 1304 | ||
Commissions: | 10212.62 | Comm.% P/L | 10.46 % |
Total Transactions: | 332 | Log. Linearity: | 1.338 % |
Total | Long | Short | XLK | SOXX | |
---|---|---|---|---|---|
Total Profit/Loss | 97623.68 | 2734.34 | 94889.34 | 46760.87 | 50862.81 |
Total Profit | 326895.15 | 98210.61 | 228684.54 | 393371.46 | 560133.35 |
Total Loss | 229271.47 | 95476.27 | 133795.20 | 346610.59 | 509270.54 |
Profit Factor | 1.43 | 1.03 | 1.71 | 1.13 | 1.10 |
Trades | 83 | 35 | 48 | 83 | 83 |
Winning Trades | 49 | 18 | 31 | 46 | 42 |
Losing Trades | 34 | 17 | 17 | 36 | 41 |
% Profitable | 59.00 | 51.00 | 64.00 | 55.00 | 50.00 |
Profit/Loss Per Trade % | 0.84 | 0.21 | 1.30 | 0.12 | 0.02 |
Profit Per Trade % | 4.60 | 3.92 | 5.01 | 5.68 | 8.79 |
Loss Per Trade % | 4.22 | 3.49 | 4.95 | 6.28 | 7.80 |
Days In Trade | 679 | 250 | 429 | 679 | 679 |
Days In Trade (Avg. Per Trade) | 8.18 | 7.14 | 8.94 | 8.18 | 8.18 |
% Days In Trade | 52.07 | 19.17 | 32.90 | 52.07 | 52.07 |