Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
MS | Morgan Stanley | Financial Services | Capital Markets | 152659 | 0.0362 | 93.85 | 8291381 |
GS | Goldman Sachs Group Inc | Financial Services | Capital Markets | 137600 | 0.026 | 423.04 | 2195859 |
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: | 1000.00 | Final Equity: | 971.34 |
Total net P/L: | -28.66 | Total ROI: | -2.87 % |
CAGR: | -4.84 % | Max. DD: | 11.13 % |
System Score: | -0.760 | Sharpe Ratio: | -0.297 |
Start Date: | 2019-07-01 | End Date: | 2020-01-31 |
Total days: | 214 | ||
Commissions: | 40.00 | Comm.% P/L | 352.73 % |
Total Transactions: | 40 | Log. Linearity: | 53.943 % |
Total | Long | Short | MS | GS | |
---|---|---|---|---|---|
Total Profit/Loss | 11.34 | 35.85 | -24.51 | -113.86 | 125.20 |
Total Profit | 101.74 | 68.69 | 33.05 | 162.69 | 212.91 |
Total Loss | 90.40 | 32.84 | 57.56 | 276.55 | 87.71 |
Profit Factor | 1.13 | 2.09 | 0.57 | 0.59 | 2.43 |
Trades | 10 | 5 | 5 | 10 | 10 |
Winning Trades | 6 | 4 | 2 | 4 | 7 |
Losing Trades | 4 | 1 | 3 | 5 | 3 |
% Profitable | 60.00 | 80.00 | 40.00 | 40.00 | 70.00 |
Profit/Loss Per Trade % | 0.13 | 0.80 | -0.52 | -1.29 | 1.22 |
Profit Per Trade % | 1.82 | 1.84 | 1.78 | 4.30 | 3.15 |
Loss Per Trade % | 2.31 | 3.29 | 1.99 | 5.66 | 3.13 |
Days In Trade | 135 | 66 | 69 | 135 | 135 |
Days In Trade (Avg. Per Trade) | 13.50 | 13.20 | 13.80 | 13.50 | 13.50 |
% Days In Trade | 63.08 | 30.84 | 32.24 | 63.08 | 63.08 |