Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
XLK | Technology Select Sector SPDR® Fund | 0.0057 | 197.13 | 6729213 | |||
SOXX | iShares Semiconductor ETF | 0.0158 | 205.87 | 3222328 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.30 | ||
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: | 227279.59 |
Total net P/L: | 127279.59 | Total ROI: | 127.28 % |
CAGR: | 25.84 % | Max. DD: | 31.84 % |
System Score: | 4.875 | Sharpe Ratio: | 1.832 |
Start Date: | 2016-01-04 | End Date: | 2019-07-31 |
Total days: | 1304 | ||
Commissions: | 6655.02 | Comm.% P/L | 4.97 % |
Total Transactions: | 232 | Log. Linearity: | 57.357 % |
Total | Long | Short | XLK | SOXX | |
---|---|---|---|---|---|
Total Profit/Loss | 133934.61 | 54192.23 | 79742.38 | 48964.63 | 84969.98 |
Total Profit | 273264.23 | 107380.73 | 165883.50 | 297622.35 | 460965.53 |
Total Loss | 139329.62 | 53188.50 | 86141.12 | 248657.72 | 375995.55 |
Profit Factor | 1.96 | 2.02 | 1.93 | 1.20 | 1.23 |
Trades | 58 | 28 | 30 | 58 | 58 |
Winning Trades | 41 | 19 | 22 | 31 | 31 |
Losing Trades | 17 | 9 | 8 | 27 | 27 |
% Profitable | 70.00 | 67.00 | 73.00 | 53.00 | 53.00 |
Profit/Loss Per Trade % | 1.51 | 1.32 | 1.68 | 0.01 | 0.64 |
Profit Per Trade % | 4.49 | 4.06 | 4.86 | 6.15 | 10.07 |
Loss Per Trade % | 5.16 | 4.14 | 6.32 | 6.29 | 8.69 |
Days In Trade | 373 | 142 | 231 | 373 | 373 |
Days In Trade (Avg. Per Trade) | 6.43 | 5.07 | 7.70 | 6.43 | 6.43 |
% Days In Trade | 28.60 | 10.89 | 17.71 | 28.60 | 28.60 |