| Model: | Ratio |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| SLYV | SPDR® S&P 600 Small Cap Value ETF | 0.01 | 94.69 | 221346 | |||
| IJR | iShares Core S&P Small-Cap ETF | 64835 | 0.0105 | 124.92 | 5509785 |
| 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: | 10245.57 |
| Total net P/L: | 245.57 | Total ROI: | 2.46 % |
| CAGR: | 0.44 % | Max. DD: | 7.48 % |
| System Score: | 0.018 | Sharpe Ratio: | 0.405 |
| Start Date: | 2015-01-02 | End Date: | 2020-06-30 |
| Total days: | 2006 | ||
| Commissions: | 346.02 | Comm.% P/L | 58.49 % |
| Total Transactions: | 340 | Log. Linearity: | 34.577 % |
| Total | Long |
Short |
SLYV | IJR | |
|---|---|---|---|---|---|
| Total Profit/Loss | 591.59 | 245.99 | 345.59 | -2135.86 | 2727.45 |
| Total Profit | 2559.51 | 1531.62 | 1027.89 | 11241.34 | 12558.26 |
| Total Loss | 1967.92 | 1285.62 | 682.30 | 13377.20 | 9830.81 |
| Profit Factor | 1.30 | 1.19 | 1.51 | 0.84 | 1.28 |
| Trades | 85 | 56 | 29 | 85 | 85 |
| Winning Trades | 62 | 40 | 22 | 45 | 41 |
| Losing Trades | 23 | 16 | 7 | 40 | 44 |
| % Profitable | 72.00 | 71.00 | 75.00 | 52.00 | 48.00 |
| Profit/Loss Per Trade % | 0.07 | 0.04 | 0.12 | -0.36 | 0.21 |
| Profit Per Trade % | 0.40 | 0.37 | 0.45 | 2.40 | 2.87 |
| Loss Per Trade % | 0.82 | 0.77 | 0.93 | 3.12 | 2.14 |
| Days In Trade | 965 | 647 | 318 | 965 | 965 |
| Days In Trade (Avg. Per Trade) | 11.35 | 11.55 | 10.97 | 11.35 | 11.35 |
| % Days In Trade | 48.11 | 32.25 | 15.85 | 48.11 | 48.11 |