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: | 2.00 | Exit Threshold: | 0.30 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 70 | ||||
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: | 151601.19 |
Total net P/L: | 51601.19 | Total ROI: | 51.60 % |
CAGR: | 12.35 % | Max. DD: | 30.06 % |
System Score: | 0.134 | Sharpe Ratio: | 1.077 |
Start Date: | 2016-01-04 | End Date: | 2019-07-31 |
Total days: | 1304 | ||
Commissions: | 2938.03 | Comm.% P/L | 5.39 % |
Total Transactions: | 116 | Log. Linearity: | 22.111 % |
Total | Long | Short | XLK | SOXX | |
---|---|---|---|---|---|
Total Profit/Loss | 54539.22 | -9650.18 | 64189.40 | -33452.67 | 87991.89 |
Total Profit | 150689.87 | 48913.03 | 101776.84 | 128519.85 | 266666.14 |
Total Loss | 96150.65 | 58563.21 | 37587.44 | 161972.52 | 178674.25 |
Profit Factor | 1.57 | 0.84 | 2.71 | 0.79 | 1.49 |
Trades | 29 | 11 | 18 | 29 | 29 |
Winning Trades | 17 | 5 | 12 | 13 | 18 |
Losing Trades | 12 | 6 | 6 | 16 | 11 |
% Profitable | 58.00 | 45.00 | 66.00 | 44.00 | 62.00 |
Profit/Loss Per Trade % | 1.53 | -0.94 | 3.07 | -1.28 | 1.51 |
Profit Per Trade % | 7.47 | 8.14 | 7.20 | 7.80 | 11.89 |
Loss Per Trade % | 6.09 | 7.53 | 4.67 | 7.85 | 12.33 |
Days In Trade | 446 | 159 | 287 | 446 | 446 |
Days In Trade (Avg. Per Trade) | 15.38 | 14.45 | 15.94 | 15.38 | 15.38 |
% Days In Trade | 34.20 | 12.19 | 22.01 | 34.20 | 34.20 |