Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
AGNC | AGNC Investment Corp | Real Estate | REIT - Mortgage | 6303 | 0.1593 | 9.06 | 13198976 |
NLY | Annaly Capital Management Inc | Real Estate | REIT - Mortgage | 9003 | 0.1445 | 17.99 | 4130726 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
MA Period: | 20 | MA Type: | SMA | StdDev Period: | 20 |
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: | 12202.94 |
Total net P/L: | 2202.95 | Total ROI: | 22.03 % |
CAGR: | 51.12 % | Max. DD: | 16.26 % |
System Score: | 30.279 | Sharpe Ratio: | 0.874 |
Start Date: | 2020-01-02 | End Date: | 2020-06-26 |
Total days: | 176 | ||
Commissions: | 170.76 | Comm.% P/L | 7.19 % |
Total Transactions: | 32 | Log. Linearity: | 83.982 % |
Total | Long | Short | AGNC | NLY | |
---|---|---|---|---|---|
Total Profit/Loss | 2373.70 | 202.26 | 2171.44 | -7117.30 | 9491.00 |
Total Profit | 2684.91 | 391.12 | 2293.78 | 235.70 | 9491.00 |
Total Loss | 311.20 | 188.86 | 122.34 | 7352.99 | 0.00 |
Profit Factor | 8.63 | 2.07 | 18.75 | 0.03 | 0.00 |
Trades | 8 | 3 | 5 | 8 | 8 |
Winning Trades | 6 | 2 | 4 | 2 | 8 |
Losing Trades | 2 | 1 | 1 | 6 | 0 |
% Profitable | 75.00 | 66.00 | 80.00 | 25.00 | 100.00 |
Profit/Loss Per Trade % | 2.72 | 0.75 | 3.92 | -9.10 | 10.50 |
Profit Per Trade % | 4.12 | 1.90 | 5.25 | 1.19 | 10.50 |
Loss Per Trade % | 1.37 | 1.52 | 1.22 | 10.95 | 0.00 |
Days In Trade | 109 | 45 | 64 | 109 | 109 |
Days In Trade (Avg. Per Trade) | 13.62 | 15.00 | 12.80 | 13.62 | 13.62 |
% Days In Trade | 61.93 | 25.57 | 36.36 | 61.93 | 61.93 |