Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
BMO | Bank of Montreal | Financial Services | Banks - Diversified | 66023 | 0.0492 | 91.01 | 676518 |
RY | Royal Bank of Canada | Financial Services | Banks - Diversified | 137067 | 0.0421 | 96.9 | 1134773 |
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: | 12324.23 |
Total net P/L: | 2324.23 | Total ROI: | 23.24 % |
CAGR: | 4.00 % | Max. DD: | 21.86 % |
System Score: | 1.927 | Sharpe Ratio: | 1.148 |
Start Date: | 2015-01-02 | End Date: | 2020-04-30 |
Total days: | 1945 | ||
Commissions: | 330.75 | Comm.% P/L | 12.46 % |
Total Transactions: | 328 | Log. Linearity: | 78.393 % |
Total | Long | Short | BMO | RY | |
---|---|---|---|---|---|
Total Profit/Loss | 2654.98 | 1081.55 | 1573.43 | -3890.75 | 6545.73 |
Total Profit | 8969.22 | 5220.53 | 3748.69 | 11878.21 | 16331.74 |
Total Loss | 6314.24 | 4138.98 | 2175.26 | 15768.96 | 9786.01 |
Profit Factor | 1.42 | 1.26 | 1.72 | 0.75 | 1.67 |
Trades | 82 | 40 | 42 | 82 | 82 |
Winning Trades | 63 | 29 | 34 | 43 | 45 |
Losing Trades | 19 | 11 | 8 | 39 | 37 |
% Profitable | 76.00 | 72.00 | 80.00 | 52.00 | 54.00 |
Profit/Loss Per Trade % | 0.29 | 0.26 | 0.32 | -0.51 | 0.61 |
Profit Per Trade % | 1.20 | 1.52 | 0.93 | 2.28 | 2.96 |
Loss Per Trade % | 2.60 | 2.90 | 2.20 | 3.17 | 2.15 |
Days In Trade | 961 | 514 | 447 | 961 | 961 |
Days In Trade (Avg. Per Trade) | 11.72 | 12.85 | 10.64 | 11.72 | 11.72 |
% Days In Trade | 49.41 | 26.43 | 22.98 | 49.41 | 49.41 |