Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SPY | SPDR S&P 500 ETF Trust | 0.0113 | 499.52 | 77208153 | |||
VOO | Vanguard S&P 500 ETF | 0.0118 | 458.94 | 4783081 |
Entry Threshold: | 0.10 | Exit Threshold: | 0.00 | ||
Max Duration: | 60 | Entry Mode: | Simple | Reversals: | |
MA Period: | 300 | MA Type: | SMA | StdDev Period: | 300 |
RSI Period: | 100 | 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: | 1000000.00 | Final Equity: | 1342257.53 |
Total net P/L: | 342257.53 | Total ROI: | 34.23 % |
CAGR: | 3.46 % | Max. DD: | 1.07 % |
System Score: | 2.967 | Sharpe Ratio: | 6.075 |
Start Date: | 2011-11-03 | End Date: | 2020-06-30 |
Total days: | 3162 | ||
Commissions: | 38816.47 | Comm.% P/L | 10.19 % |
Total Transactions: | 1272 | Log. Linearity: | 95.045 % |
Total | Long | Short | SPY | VOO | |
---|---|---|---|---|---|
Total Profit/Loss | 381074.00 | 187559.66 | 193514.33 | 412586.22 | -31512.22 |
Total Profit | 390488.74 | 196274.03 | 194214.70 | 3020180.66 | 2846671.33 |
Total Loss | 9414.74 | 8714.37 | 700.37 | 2607594.44 | 2878183.55 |
Profit Factor | 41.48 | 22.52 | 277.30 | 1.16 | 0.99 |
Trades | 318 | 166 | 152 | 318 | 318 |
Winning Trades | 307 | 157 | 150 | 154 | 172 |
Losing Trades | 11 | 9 | 2 | 164 | 146 |
% Profitable | 96.00 | 94.00 | 98.00 | 48.00 | 54.00 |
Profit/Loss Per Trade % | 0.10 | 0.10 | 0.11 | 0.09 | -0.04 |
Profit Per Trade % | 0.11 | 0.11 | 0.11 | 1.67 | 1.41 |
Loss Per Trade % | 0.07 | 0.08 | 0.03 | 1.35 | 1.68 |
Days In Trade | 2899 | 1919 | 980 | 2899 | 2899 |
Days In Trade (Avg. Per Trade) | 9.12 | 11.56 | 6.45 | 9.12 | 9.12 |
% Days In Trade | 91.68 | 60.69 | 30.99 | 91.68 | 91.68 |