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 | |
DIA | SPDR Dow Jones Industrial Average ETF | NYSEARCA | 23000 | 1.03 | 92.24 | 253.04 | 0 | 0 |
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: | 9633.11 |
Total net P/L: | -366.89 | Total ROI: | -3.67 % |
CAGR: | -0.64 % | Max. DD: | 4.91 % |
System Score: | -0.015 | Sharpe Ratio: | -0.619 |
Start Date: | 2014-01-02 | End Date: | 2019-10-31 |
Total days: | 2128 | ||
Commissions: | 308.00 | Comm.% P/L | 522.97 % |
Total Transactions: | 308 | Log. Linearity: | 28.827 % |
Total | ![]() |
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SPY | DIA | |
---|---|---|---|---|---|
Total Profit/Loss | -58.89 | -289.83 | 230.94 | -517.83 | 458.94 |
Total Profit | 1905.38 | 796.58 | 1108.81 | 4601.45 | 5516.36 |
Total Loss | 1964.28 | 1086.41 | 877.86 | 5119.28 | 5057.43 |
Profit Factor | 0.97 | 0.73 | 1.26 | 0.90 | 1.09 |
Trades | 77 | 36 | 41 | 77 | 77 |
Winning Trades | 51 | 24 | 27 | 39 | 44 |
Losing Trades | 26 | 12 | 14 | 38 | 33 |
% Profitable | 66.00 | 66.00 | 65.00 | 50.00 | 57.00 |
Profit/Loss Per Trade % | -0.01 | -0.08 | 0.06 | -0.08 | 0.05 |
Profit Per Trade % | 0.39 | 0.34 | 0.42 | 1.21 | 1.29 |
Loss Per Trade % | 0.77 | 0.93 | 0.64 | 1.38 | 1.57 |
Days In Trade | 1004 | 468 | 536 | 1004 | 1004 |
Days In Trade (Avg. Per Trade) | 13.04 | 13.00 | 13.07 | 13.04 | 13.04 |
% Days In Trade | 47.18 | 21.99 | 25.19 | 47.18 | 47.18 |