Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
MS | Morgan Stanley | Financial Services | Capital Markets | 152898 | 0.0364 | 93.5 | 8215406 |
GS | Goldman Sachs Group Inc | Financial Services | Capital Markets | 134760 | 0.0271 | 415.25 | 2195084 |
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: | 579.00 |
Total net P/L: | -421.00 | Total ROI: | -42.10 % |
CAGR: | -9.61 % | Max. DD: | 46.73 % |
System Score: | -6.206 | Sharpe Ratio: | -1.913 |
Start Date: | 2016-01-04 | End Date: | 2021-05-31 |
Total days: | 1974 | ||
Commissions: | 320.00 | Comm.% P/L | 316.83 % |
Total Transactions: | 320 | Log. Linearity: | 86.436 % |
Total | Long | Short | MS | GS | |
---|---|---|---|---|---|
Total Profit/Loss | -101.00 | 78.55 | -179.55 | -357.88 | 256.88 |
Total Profit | 549.75 | 352.50 | 197.25 | 1000.74 | 989.35 |
Total Loss | 650.75 | 273.95 | 376.80 | 1358.62 | 732.47 |
Profit Factor | 0.84 | 1.29 | 0.52 | 0.74 | 1.35 |
Trades | 80 | 38 | 42 | 80 | 80 |
Winning Trades | 46 | 26 | 20 | 36 | 47 |
Losing Trades | 34 | 12 | 22 | 43 | 33 |
% Profitable | 57.00 | 68.00 | 47.00 | 45.00 | 58.00 |
Profit/Loss Per Trade % | -0.11 | 0.45 | -0.61 | -0.71 | 0.36 |
Profit Per Trade % | 1.75 | 2.03 | 1.38 | 4.04 | 2.96 |
Loss Per Trade % | 2.53 | 2.84 | 2.35 | 4.31 | 3.17 |
Days In Trade | 1034 | 446 | 588 | 1034 | 1034 |
Days In Trade (Avg. Per Trade) | 12.93 | 11.74 | 14.00 | 12.93 | 12.93 |
% Days In Trade | 52.38 | 22.59 | 29.79 | 52.38 | 52.38 |