Model: | Residual |
Symbol | Title | Sector | Exchange | M.Cap.[M] | Beta | Float | Avg.Price | Avg.Volume | Last volume |
CL | Colgate-Palmolive Company | Consumer non-cyclical | NYSE | 60940 | 0.78 | 872.14 | 72.28 | 3990000 | 7050000 |
SPY | SPDR SP 500 ETF | NYSEARCA | 244920 | 1.01 | 956.31 | 248.59 | 0 | 13380000 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 50 | 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: | 10000.00 | Final Equity: | 13439.88 |
Total net P/L: | 3439.88 | Total ROI: | 34.40 % |
CAGR: | 34.84 % | Max. DD: | 19.62 % |
System Score: | 16.851 | Sharpe Ratio: | 0.978 |
Start Date: | 2018-12-03 | End Date: | 2019-11-29 |
Total days: | 361 | ||
Commissions: | 129.76 | Comm.% P/L | 3.64 % |
Total Transactions: | 68 | Log. Linearity: | 78.497 % |
Total | ![]() |
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CL | SPY | |
---|---|---|---|---|---|
Total Profit/Loss | 3569.64 | 80.23 | 3489.41 | 6254.34 | -2684.70 |
Total Profit | 8040.12 | 2293.11 | 5747.01 | 8373.08 | 4135.43 |
Total Loss | 4470.48 | 2212.88 | 2257.60 | 2118.74 | 6820.13 |
Profit Factor | 1.80 | 1.04 | 2.55 | 3.95 | 0.61 |
Trades | 17 | 8 | 9 | 17 | 17 |
Winning Trades | 14 | 7 | 7 | 14 | 8 |
Losing Trades | 3 | 1 | 2 | 3 | 9 |
% Profitable | 82.00 | 87.00 | 77.00 | 82.00 | 47.00 |
Profit/Loss Per Trade % | 1.82 | 0.30 | 3.20 | 3.10 | -1.42 |
Profit Per Trade % | 4.92 | 2.68 | 7.21 | 5.07 | 4.75 |
Loss Per Trade % | 11.39 | 14.91 | 9.68 | 5.43 | 6.47 |
Days In Trade | 131 | 66 | 65 | 131 | 131 |
Days In Trade (Avg. Per Trade) | 7.71 | 8.25 | 7.22 | 7.71 | 7.71 |
% Days In Trade | 36.29 | 18.28 | 18.01 | 36.29 | 36.29 |