Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
BMO | Bank of Montreal | Financial Services | Banks - Diversified | 67830 | 0.0482 | 92.84 | 674554 |
RY | Royal Bank of Canada | Financial Services | Banks - Diversified | 140766 | 0.0419 | 97.27 | 1163117 |
Entry Threshold: | 1.50 | Exit Threshold: | -0.30 | ||
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: | 100.0 | Margin Req. 2: | 100.0 | ||
Version: | 5 | Model Version: | 2016.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 10136.09 |
Total net P/L: | 136.09 | Total ROI: | 1.36 % |
CAGR: | 5.57 % | Max. DD: | 3.10 % |
System Score: | 1.153 | Sharpe Ratio: | 0.321 |
Start Date: | 2020-05-01 | End Date: | 2020-07-31 |
Total days: | 91 | ||
Commissions: | 16.00 | Comm.% P/L | 10.52 % |
Total Transactions: | 16 | Log. Linearity: | 59.154 % |
Total | Long | Short | BMO | RY | |
---|---|---|---|---|---|
Total Profit/Loss | 152.09 | 93.71 | 58.38 | 1636.72 | -1484.63 |
Total Profit | 207.53 | 93.71 | 113.82 | 1636.72 | 0.00 |
Total Loss | 55.44 | 0.00 | 55.44 | 0.00 | 1484.63 |
Profit Factor | 3.74 | 0.00 | 2.05 | 2531295186164100.00 | 0.00 |
Trades | 4 | 2 | 2 | 4 | 4 |
Winning Trades | 3 | 2 | 1 | 3 | 0 |
Losing Trades | 1 | 0 | 1 | 1 | 4 |
% Profitable | 75.00 | 100.00 | 50.00 | 75.00 | 0.00 |
Profit/Loss Per Trade % | 0.38 | 0.47 | 0.29 | 4.00 | -3.76 |
Profit Per Trade % | 0.69 | 0.47 | 1.13 | 5.38 | 0.00 |
Loss Per Trade % | 0.54 | 0.00 | 0.54 | 0.00 | 3.64 |
Days In Trade | 63 | 42 | 21 | 63 | 63 |
Days In Trade (Avg. Per Trade) | 15.75 | 21.00 | 10.50 | 15.75 | 15.75 |
% Days In Trade | 69.23 | 46.15 | 23.08 | 69.23 | 69.23 |