Model: | Ratio |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
MA Period: | 20 | MA Type: | EMA | StdDev Period: | 20 |
RSI Period: | 20 | RSI Threshold: | 0 | ||
Margin Req. 1: | 100.0 | Margin Req. 2: | 100.0 | ||
Version: | 5 | Model Version: | 2016.1 | Bid-Ask 0.10 / 0.10 |
Initial Capital: | 50000.00 | Final Equity: | 57598.80 |
Total net P/L: | 7598.80 | Total ROI: | 15.20 % |
CAGR: | 10.83 % | Max. DD: | 2.18 % |
System Score: | 4.295 | Sharpe Ratio: | 1.592 |
Start Date: | 2019-09-05 | End Date: | 2021-01-19 |
Total days: | 502 | ||
Commissions: | 185.38 | Comm.% P/L | 2.38 % |
Total Transactions: | 28 | Log. Linearity: | 73.460 % |
Total | Long | Short | NLY-F | NLY-I | |
---|---|---|---|---|---|
Total Profit/Loss | 7784.18 | 4346.69 | 3437.49 | 6528.78 | 1255.40 |
Total Profit | 7784.18 | 4346.69 | 3437.49 | 14161.56 | 11920.49 |
Total Loss | 0.00 | 0.00 | 0.00 | 7632.78 | 10665.09 |
Profit Factor | 0.00 | 0.00 | 0.00 | 1.86 | 1.12 |
Trades | 7 | 4 | 3 | 7 | 7 |
Winning Trades | 7 | 4 | 3 | 3 | 6 |
Losing Trades | 0 | 0 | 0 | 4 | 1 |
% Profitable | 100.00 | 100.00 | 100.00 | 42.00 | 85.00 |
Profit/Loss Per Trade % | 2.09 | 2.08 | 2.11 | 1.34 | -0.24 |
Profit Per Trade % | 2.09 | 2.08 | 2.11 | 8.42 | 3.64 |
Loss Per Trade % | 0.00 | 0.00 | 0.00 | 3.53 | 20.62 |
Days In Trade | 36 | 17 | 19 | 36 | 36 |
Days In Trade (Avg. Per Trade) | 5.14 | 4.25 | 6.33 | 5.14 | 5.14 |
% Days In Trade | 7.17 | 3.39 | 3.78 | 7.17 | 7.17 |