Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SPY | SPDR S&P 500 ETF Trust | 0.0113 | 499.52 | 77208153 | |||
IWB | iShares Russell 1000 ETF | 31023 | 0.0105 | 274.48 | 850933 |
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: | 10814.89 |
Total net P/L: | 814.89 | Total ROI: | 8.15 % |
CAGR: | 1.50 % | Max. DD: | 0.92 % |
System Score: | 1.275 | Sharpe Ratio: | 2.624 |
Start Date: | 2015-01-02 | End Date: | 2020-03-31 |
Total days: | 1915 | ||
Commissions: | 308.00 | Comm.% P/L | 27.43 % |
Total Transactions: | 308 | Log. Linearity: | 94.640 % |
Total | Long | Short | SPY | IWB | |
---|---|---|---|---|---|
Total Profit/Loss | 1122.89 | 687.70 | 435.19 | 899.82 | 223.07 |
Total Profit | 1402.12 | 874.86 | 527.26 | 7257.61 | 7031.43 |
Total Loss | 279.24 | 187.17 | 92.07 | 6357.79 | 6808.36 |
Profit Factor | 5.02 | 4.67 | 5.73 | 1.14 | 1.03 |
Trades | 77 | 44 | 33 | 77 | 77 |
Winning Trades | 61 | 36 | 25 | 34 | 47 |
Losing Trades | 16 | 8 | 8 | 43 | 30 |
% Profitable | 79.00 | 81.00 | 75.00 | 44.00 | 61.00 |
Profit/Loss Per Trade % | 0.14 | 0.15 | 0.13 | 0.07 | -0.01 |
Profit Per Trade % | 0.22 | 0.23 | 0.20 | 2.01 | 1.43 |
Loss Per Trade % | 0.17 | 0.22 | 0.11 | 1.41 | 2.13 |
Days In Trade | 802 | 430 | 372 | 802 | 802 |
Days In Trade (Avg. Per Trade) | 10.42 | 9.77 | 11.27 | 10.42 | 10.42 |
% Days In Trade | 41.88 | 22.45 | 19.43 | 41.88 | 41.88 |