Model: | Ratio |
Symbol | Title | Sector | Exchange | M.Cap.[M] | Beta | Float | Avg.Price | Avg.Volume | Last volume |
SPY | SPDR SP 500 ETF | NYSEARCA | 244920 | 1.01 | 956.31 | 248.59 | 0 | 13380000 | |
NDAQ | NASDAQ OMX Group, Inc. | Financial | NASDAQ | 13990 | 0.71 | 134.22 | 80.74 | 1060000 | 1210000 |
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: | 11510.49 |
Total net P/L: | 1510.49 | Total ROI: | 15.10 % |
CAGR: | 2.44 % | Max. DD: | 25.22 % |
System Score: | 0.000 | Sharpe Ratio: | 0.656 |
Start Date: | 2014-01-02 | End Date: | 2019-10-31 |
Total days: | 2128 | ||
Commissions: | 357.68 | Comm.% P/L | 19.15 % |
Total Transactions: | 348 | Log. Linearity: | 0.076 % |
Total | ![]() |
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SPY | NDAQ | |
---|---|---|---|---|---|
Total Profit/Loss | 1868.17 | 943.91 | 924.27 | 2208.25 | -340.08 |
Total Profit | 11109.54 | 6101.92 | 5007.63 | 7970.07 | 10731.32 |
Total Loss | 9241.37 | 5158.01 | 4083.36 | 5761.82 | 11071.40 |
Profit Factor | 1.20 | 1.18 | 1.23 | 1.38 | 0.97 |
Trades | 87 | 46 | 41 | 87 | 87 |
Winning Trades | 57 | 31 | 26 | 51 | 50 |
Losing Trades | 30 | 15 | 15 | 36 | 37 |
% Profitable | 65.00 | 67.00 | 63.00 | 58.00 | 57.00 |
Profit/Loss Per Trade % | 0.20 | 0.18 | 0.23 | 0.20 | -0.03 |
Profit Per Trade % | 1.83 | 1.84 | 1.81 | 1.45 | 2.04 |
Loss Per Trade % | 2.76 | 3.12 | 2.40 | 1.50 | 2.71 |
Days In Trade | 1096 | 576 | 520 | 1096 | 1096 |
Days In Trade (Avg. Per Trade) | 12.60 | 12.52 | 12.68 | 12.60 | 12.60 |
% Days In Trade | 51.50 | 27.07 | 24.44 | 51.50 | 51.50 |