Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
ACRE | Ares Commercial Real Estate | Real Estate | REIT - Mortgage | 377 | 0.1443 | 6.77 | 586965 |
AQN | Algonquin Power & Utilities Corp | Utilities | Utilities - Renewable | 4188 | 0.0701 | 6.17 | 4594621 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 10 | Entry Mode: | Simple | Reversals: | |
Regression Per: | 20 | ||||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 9293.83 |
Total net P/L: | -706.17 | Total ROI: | -7.06 % |
CAGR: | -7.19 % | Max. DD: | 41.01 % |
System Score: | -0.001 | Sharpe Ratio: | 0.118 |
Start Date: | 2019-04-08 | End Date: | 2020-03-31 |
Total days: | 358 | ||
Commissions: | 320.64 | Comm.% P/L | 83.17 % |
Total Transactions: | 88 | Log. Linearity: | 5.147 % |
Total | Long | Short | ACRE | AQN | |
---|---|---|---|---|---|
Total Profit/Loss | -385.53 | -1809.57 | 1424.04 | -2317.78 | 1932.25 |
Total Profit | 2189.84 | 765.80 | 1424.04 | 2103.42 | 4021.58 |
Total Loss | 2575.37 | 2575.37 | 0.00 | 4421.20 | 2089.33 |
Profit Factor | 0.85 | 0.30 | 0.00 | 0.48 | 1.92 |
Trades | 22 | 15 | 7 | 22 | 22 |
Winning Trades | 14 | 7 | 7 | 14 | 10 |
Losing Trades | 8 | 8 | 0 | 8 | 12 |
% Profitable | 63.00 | 46.00 | 100.00 | 63.00 | 45.00 |
Profit/Loss Per Trade % | -0.18 | -1.21 | 2.06 | -1.23 | 0.82 |
Profit Per Trade % | 1.59 | 1.13 | 2.06 | 1.51 | 3.99 |
Loss Per Trade % | 3.14 | 3.14 | 0.00 | 5.29 | 1.75 |
Days In Trade | 167 | 112 | 55 | 167 | 167 |
Days In Trade (Avg. Per Trade) | 7.59 | 7.47 | 7.86 | 7.59 | 7.59 |
% Days In Trade | 46.65 | 31.28 | 15.36 | 46.65 | 46.65 |