Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
ACRE | Ares Commercial Real Estate | Real Estate | REIT - Mortgage | 408 | 0.1333 | 7.37 | 589960 |
AQN | Algonquin Power & Utilities Corp | Utilities | Utilities - Renewable | 4299 | 0.0721 | 6.25 | 4789867 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 30 | 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: | 9738.76 |
Total net P/L: | -261.24 | Total ROI: | -2.61 % |
CAGR: | -2.66 % | Max. DD: | 40.47 % |
System Score: | -0.002 | Sharpe Ratio: | 0.209 |
Start Date: | 2019-04-08 | End Date: | 2020-03-31 |
Total days: | 358 | ||
Commissions: | 296.62 | Comm.% P/L | 838.38 % |
Total Transactions: | 80 | Log. Linearity: | 9.245 % |
Total | Long | Short | ACRE | AQN | |
---|---|---|---|---|---|
Total Profit/Loss | 35.38 | -1634.01 | 1669.39 | -2236.27 | 2271.65 |
Total Profit | 1993.68 | 324.29 | 1669.39 | 2082.62 | 4096.84 |
Total Loss | 1958.30 | 1958.30 | 0.00 | 4318.89 | 1825.19 |
Profit Factor | 1.02 | 0.17 | 0.00 | 0.48 | 2.24 |
Trades | 20 | 13 | 7 | 20 | 20 |
Winning Trades | 12 | 5 | 7 | 14 | 8 |
Losing Trades | 8 | 8 | 0 | 6 | 12 |
% Profitable | 60.00 | 38.00 | 100.00 | 70.00 | 40.00 |
Profit/Loss Per Trade % | 0.02 | -1.24 | 2.39 | -1.25 | 0.97 |
Profit Per Trade % | 1.66 | 0.66 | 2.39 | 1.47 | 4.83 |
Loss Per Trade % | 2.38 | 2.38 | 0.00 | 6.54 | 1.51 |
Days In Trade | 200 | 141 | 59 | 200 | 200 |
Days In Trade (Avg. Per Trade) | 10.00 | 10.85 | 8.43 | 10.00 | 10.00 |
% Days In Trade | 55.87 | 39.39 | 16.48 | 55.87 | 55.87 |