Model: | Ratio |
Entry Threshold: | 1.00 | 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: | 26614.39 |
Total net P/L: | 16614.39 | Total ROI: | 166.14 % |
CAGR: | 4.99 % | Max. DD: | 2.89 % |
System Score: | 4.455 | Sharpe Ratio: | 7.541 |
Start Date: | 2000-01-03 | End Date: | 2020-01-31 |
Total days: | 7333 | ||
Commissions: | 2629.40 | Comm.% P/L | 13.66 % |
Total Transactions: | 2556 | Log. Linearity: | 96.270 % |
Total | Long | Short | RDS.A | RDS.B | |
---|---|---|---|---|---|
Total Profit/Loss | 19243.79 | 8553.02 | 10690.77 | 7044.43 | 12199.36 |
Total Profit | 26442.16 | 12727.67 | 13714.50 | 80947.27 | 87264.50 |
Total Loss | 7198.37 | 4174.65 | 3023.72 | 73902.84 | 75065.14 |
Profit Factor | 3.67 | 3.05 | 4.54 | 1.10 | 1.16 |
Trades | 639 | 309 | 330 | 639 | 639 |
Winning Trades | 533 | 252 | 281 | 316 | 368 |
Losing Trades | 106 | 57 | 49 | 320 | 271 |
% Profitable | 83.00 | 81.00 | 85.00 | 49.00 | 57.00 |
Profit/Loss Per Trade % | 0.18 | 0.16 | 0.19 | 0.07 | 0.07 |
Profit Per Trade % | 0.29 | 0.29 | 0.28 | 1.37 | 1.23 |
Loss Per Trade % | 0.38 | 0.42 | 0.34 | 1.18 | 1.46 |
Days In Trade | 4992 | 2431 | 2561 | 4992 | 4992 |
Days In Trade (Avg. Per Trade) | 7.81 | 7.87 | 7.76 | 7.81 | 7.81 |
% Days In Trade | 68.08 | 33.15 | 34.92 | 68.08 | 68.08 |