Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
ACRE | Ares Commercial Real Estate | Real Estate | REIT - Mortgage | 371 | 0.1468 | 6.81 | 585583 |
AQN | Algonquin Power & Utilities Corp | Utilities | Utilities - Renewable | 4186 | 0.0715 | 6.16 | 4615156 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 3 | 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: | 8484.02 |
Total net P/L: | -1515.98 | Total ROI: | -15.16 % |
CAGR: | -15.43 % | Max. DD: | 42.85 % |
System Score: | -0.329 | Sharpe Ratio: | -0.062 |
Start Date: | 2019-04-08 | End Date: | 2020-03-31 |
Total days: | 358 | ||
Commissions: | 408.76 | Comm.% P/L | 36.92 % |
Total Transactions: | 116 | Log. Linearity: | 27.734 % |
Total | Long | Short | ACRE | AQN | |
---|---|---|---|---|---|
Total Profit/Loss | -1107.22 | -1983.32 | 876.10 | -1602.85 | 495.63 |
Total Profit | 1875.99 | 766.82 | 1109.17 | 1367.03 | 2612.38 |
Total Loss | 2983.21 | 2750.14 | 233.07 | 2969.88 | 2116.75 |
Profit Factor | 0.63 | 0.28 | 4.76 | 0.46 | 1.23 |
Trades | 29 | 21 | 8 | 29 | 29 |
Winning Trades | 13 | 7 | 6 | 14 | 14 |
Losing Trades | 16 | 14 | 2 | 15 | 15 |
% Profitable | 44.00 | 33.00 | 75.00 | 48.00 | 48.00 |
Profit/Loss Per Trade % | -0.42 | -1.00 | 1.13 | -0.64 | 0.18 |
Profit Per Trade % | 1.52 | 1.18 | 1.93 | 1.01 | 1.97 |
Loss Per Trade % | 1.91 | 2.01 | 1.22 | 2.06 | 1.44 |
Days In Trade | 127 | 87 | 40 | 127 | 127 |
Days In Trade (Avg. Per Trade) | 4.38 | 4.14 | 5.00 | 4.38 | 4.38 |
% Days In Trade | 35.47 | 24.30 | 11.17 | 35.47 | 35.47 |