Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SPY | SPDR S&P 500 ETF Trust | 0.0112 | 500.55 | 76976561 | |||
QQQ | Invesco QQQ Trust | 0.0041 | 425.84 | 47952519 |
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: | 8679.81 |
Total net P/L: | -1320.19 | Total ROI: | -13.20 % |
CAGR: | -2.62 % | Max. DD: | 16.93 % |
System Score: | -0.015 | Sharpe Ratio: | -1.128 |
Start Date: | 2015-01-02 | End Date: | 2020-04-30 |
Total days: | 1945 | ||
Commissions: | 288.00 | Comm.% P/L | 27.90 % |
Total Transactions: | 288 | Log. Linearity: | 18.023 % |
Total | Long | Short | SPY | QQQ | |
---|---|---|---|---|---|
Total Profit/Loss | -1032.19 | -2251.71 | 1219.53 | -4225.16 | 3192.97 |
Total Profit | 3130.47 | 1271.39 | 1859.09 | 5373.32 | 10931.71 |
Total Loss | 4162.66 | 3523.10 | 639.56 | 9598.47 | 7738.74 |
Profit Factor | 0.75 | 0.36 | 2.91 | 0.56 | 1.41 |
Trades | 72 | 45 | 27 | 72 | 72 |
Winning Trades | 42 | 21 | 21 | 33 | 41 |
Losing Trades | 30 | 24 | 6 | 39 | 31 |
% Profitable | 58.00 | 46.00 | 77.00 | 45.00 | 56.00 |
Profit/Loss Per Trade % | -0.15 | -0.54 | 0.49 | -0.73 | 0.41 |
Profit Per Trade % | 0.81 | 0.67 | 0.96 | 1.72 | 2.81 |
Loss Per Trade % | 1.47 | 1.56 | 1.12 | 2.54 | 2.64 |
Days In Trade | 957 | 679 | 278 | 957 | 957 |
Days In Trade (Avg. Per Trade) | 13.29 | 15.09 | 10.30 | 13.29 | 13.29 |
% Days In Trade | 49.20 | 34.91 | 14.29 | 49.20 | 49.20 |