Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
WEA | Western Asset Premier Bond Closed Fund | Financial Services | Asset Management | 137 | 0.0699 | 10.68 | 38032 |
WEC | WEC Energy Group Inc | Utilities | Utilities - Regulated Electric | 26096 | 0.0404 | 82.81 | 1872615 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 15 | ||||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 10909.22 |
Total net P/L: | 909.22 | Total ROI: | 9.09 % |
CAGR: | 2.46 % | Max. DD: | 26.58 % |
System Score: | 0.891 | Sharpe Ratio: | 0.432 |
Start Date: | 2017-01-02 | End Date: | 2020-07-31 |
Total days: | 1306 | ||
Commissions: | 498.66 | Comm.% P/L | 35.42 % |
Total Transactions: | 192 | Log. Linearity: | 71.273 % |
Total | Long | Short | WEA | WEC | |
---|---|---|---|---|---|
Total Profit/Loss | 1407.88 | -201.02 | 1608.90 | -3289.09 | 4696.97 |
Total Profit | 8992.45 | 4015.32 | 4977.13 | 3833.92 | 9640.23 |
Total Loss | 7584.57 | 4216.35 | 3368.22 | 7123.01 | 4943.26 |
Profit Factor | 1.19 | 0.95 | 1.48 | 0.54 | 1.95 |
Trades | 48 | 17 | 31 | 48 | 48 |
Winning Trades | 30 | 8 | 22 | 27 | 29 |
Losing Trades | 18 | 9 | 9 | 21 | 19 |
% Profitable | 62.00 | 47.00 | 70.00 | 56.00 | 60.00 |
Profit/Loss Per Trade % | 0.27 | -0.05 | 0.45 | -0.65 | 0.81 |
Profit Per Trade % | 2.70 | 4.56 | 2.03 | 1.24 | 2.91 |
Loss Per Trade % | 3.45 | 3.68 | 3.23 | 2.66 | 2.28 |
Days In Trade | 445 | 193 | 252 | 445 | 445 |
Days In Trade (Avg. Per Trade) | 9.27 | 11.35 | 8.13 | 9.27 | 9.27 |
% Days In Trade | 34.07 | 14.78 | 19.30 | 34.07 | 34.07 |