Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
AGNC | AGNC Investment Corp | Real Estate | REIT - Mortgage | 6749 | 0.1537 | 9.36 | 13262377 |
NLY | Annaly Capital Management Inc | Real Estate | REIT - Mortgage | 9328 | 0.1399 | 18.58 | 4085021 |
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: | 10612.75 |
Total net P/L: | 612.75 | Total ROI: | 6.13 % |
CAGR: | 6.18 % | Max. DD: | 4.46 % |
System Score: | 1.908 | Sharpe Ratio: | 0.866 |
Start Date: | 2019-01-02 | End Date: | 2019-12-30 |
Total days: | 362 | ||
Commissions: | 236.48 | Comm.% P/L | 27.85 % |
Total Transactions: | 56 | Log. Linearity: | 67.592 % |
Total | Long | Short | AGNC | NLY | |
---|---|---|---|---|---|
Total Profit/Loss | 849.22 | 539.30 | 309.92 | -2283.99 | 3133.21 |
Total Profit | 1303.22 | 545.84 | 757.38 | 330.42 | 3643.70 |
Total Loss | 454.00 | 6.54 | 447.45 | 2614.41 | 510.49 |
Profit Factor | 2.87 | 83.46 | 1.69 | 0.13 | 7.14 |
Trades | 14 | 6 | 8 | 14 | 14 |
Winning Trades | 10 | 5 | 5 | 3 | 11 |
Losing Trades | 4 | 1 | 3 | 11 | 3 |
% Profitable | 71.00 | 83.00 | 62.00 | 21.00 | 78.00 |
Profit/Loss Per Trade % | 0.59 | 0.88 | 0.37 | -1.62 | 2.15 |
Profit Per Trade % | 1.28 | 1.07 | 1.48 | 1.04 | 3.21 |
Loss Per Trade % | 1.09 | 0.06 | 1.44 | 2.28 | 1.63 |
Days In Trade | 175 | 81 | 94 | 175 | 175 |
Days In Trade (Avg. Per Trade) | 12.50 | 13.50 | 11.75 | 12.50 | 12.50 |
% Days In Trade | 48.34 | 22.38 | 25.97 | 48.34 | 48.34 |