Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
ROLL | RBC Bearings Incorporated | Industrials | Machinery | 6144 | 0 | 245.82 | 149728 |
BMO | Bank of Montreal | Financial Services | Banks - Diversified | 68061 | 0.0477 | 93.82 | 674249 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
MA Period: | 20 | MA Type: | SMA | StdDev Period: | 10 |
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: | 26409.39 |
Total net P/L: | 16409.39 | Total ROI: | 164.09 % |
CAGR: | 132.09 % | Max. DD: | 24.17 % |
System Score: | 61.030 | Sharpe Ratio: | 2.190 |
Start Date: | 2020-01-02 | End Date: | 2021-02-26 |
Total days: | 421 | ||
Commissions: | 126.62 | Comm.% P/L | 0.77 % |
Total Transactions: | 100 | Log. Linearity: | 77.308 % |
Total | Long | Short | ROLL | BMO | |
---|---|---|---|---|---|
Total Profit/Loss | 16536.01 | 12926.85 | 3609.16 | 10321.14 | 6214.87 |
Total Profit | 20952.55 | 13649.25 | 7303.30 | 23274.92 | 14498.42 |
Total Loss | 4416.54 | 722.40 | 3694.14 | 12953.78 | 8283.55 |
Profit Factor | 4.74 | 18.89 | 1.98 | 1.80 | 1.75 |
Trades | 25 | 13 | 12 | 25 | 25 |
Winning Trades | 21 | 11 | 10 | 17 | 15 |
Losing Trades | 4 | 2 | 2 | 8 | 10 |
% Profitable | 84.00 | 84.00 | 83.00 | 68.00 | 60.00 |
Profit/Loss Per Trade % | 3.99 | 6.47 | 1.37 | 2.94 | 0.01 |
Profit Per Trade % | 5.99 | 8.04 | 3.77 | 8.78 | 4.60 |
Loss Per Trade % | 5.65 | 1.75 | 9.70 | 7.24 | 5.84 |
Days In Trade | 245 | 120 | 125 | 245 | 245 |
Days In Trade (Avg. Per Trade) | 9.80 | 9.23 | 10.42 | 9.80 | 9.80 |
% Days In Trade | 58.19 | 28.50 | 29.69 | 58.19 | 58.19 |