Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
AGNC | AGNC Investment Corp | Real Estate | REIT - Mortgage | 6400 | 0.1574 | 9.2 | 13192833 |
PGRE | Paramount Group Inc | Real Estate | REIT - Office | 1082 | 0.0306 | 4.61 | 1483565 |
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: | 8897.24 |
Total net P/L: | -1102.76 | Total ROI: | -11.03 % |
CAGR: | -11.11 % | Max. DD: | 19.78 % |
System Score: | -4.567 | Sharpe Ratio: | -0.802 |
Start Date: | 2019-01-02 | End Date: | 2019-12-30 |
Total days: | 362 | ||
Commissions: | 142.73 | Comm.% P/L | 14.87 % |
Total Transactions: | 48 | Log. Linearity: | 74.345 % |
Total | Long | Short | AGNC | PGRE | |
---|---|---|---|---|---|
Total Profit/Loss | -960.03 | -731.43 | -228.60 | -1395.86 | 435.83 |
Total Profit | 1178.46 | 650.14 | 528.32 | 526.98 | 1321.40 |
Total Loss | 2138.49 | 1381.57 | 756.92 | 1922.84 | 885.57 |
Profit Factor | 0.55 | 0.47 | 0.70 | 0.27 | 1.49 |
Trades | 12 | 6 | 6 | 12 | 12 |
Winning Trades | 4 | 2 | 2 | 3 | 6 |
Losing Trades | 8 | 4 | 4 | 9 | 6 |
% Profitable | 33.00 | 33.00 | 33.00 | 25.00 | 50.00 |
Profit/Loss Per Trade % | -0.84 | -1.24 | -0.43 | -1.26 | 0.42 |
Profit Per Trade % | 3.40 | 3.86 | 2.95 | 2.05 | 2.49 |
Loss Per Trade % | 2.87 | 3.67 | 2.07 | 2.30 | 1.61 |
Days In Trade | 201 | 93 | 108 | 201 | 201 |
Days In Trade (Avg. Per Trade) | 16.75 | 15.50 | 18.00 | 16.75 | 16.75 |
% Days In Trade | 55.52 | 25.69 | 29.83 | 55.52 | 55.52 |