Model: | Ratio |
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: | 100.0 | Margin Req. 2: | 100.0 | ||
Version: | 5 | Model Version: | 2016.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 16288.52 |
Total net P/L: | 6288.52 | Total ROI: | 62.89 % |
CAGR: | 2.46 % | Max. DD: | 2.88 % |
System Score: | 2.229 | Sharpe Ratio: | 4.541 |
Start Date: | 2000-01-03 | End Date: | 2020-01-31 |
Total days: | 7333 | ||
Commissions: | 1160.00 | Comm.% P/L | 15.57 % |
Total Transactions: | 1160 | Log. Linearity: | 96.794 % |
Total | Long | Short | RDS.A | RDS.B | |
---|---|---|---|---|---|
Total Profit/Loss | 7448.52 | 3291.10 | 4157.42 | 4233.93 | 3214.59 |
Total Profit | 10712.90 | 5121.59 | 5591.31 | 33031.25 | 33513.55 |
Total Loss | 3264.38 | 1830.49 | 1433.89 | 28797.31 | 30298.96 |
Profit Factor | 3.28 | 2.80 | 3.90 | 1.15 | 1.11 |
Trades | 290 | 139 | 151 | 290 | 290 |
Winning Trades | 234 | 107 | 127 | 149 | 160 |
Losing Trades | 56 | 32 | 24 | 140 | 130 |
% Profitable | 80.00 | 76.00 | 84.00 | 51.00 | 55.00 |
Profit/Loss Per Trade % | 0.20 | 0.18 | 0.22 | 0.10 | 0.05 |
Profit Per Trade % | 0.35 | 0.36 | 0.34 | 1.64 | 1.53 |
Loss Per Trade % | 0.44 | 0.45 | 0.44 | 1.49 | 1.72 |
Days In Trade | 2857 | 1455 | 1402 | 2857 | 2857 |
Days In Trade (Avg. Per Trade) | 9.85 | 10.47 | 9.28 | 9.85 | 9.85 |
% Days In Trade | 38.96 | 19.84 | 19.12 | 38.96 | 38.96 |