Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SPY | SPDR S&P 500 ETF Trust | 0.0112 | 503.49 | 77246613 | |||
DIA | SPDR Dow Jones Industrial Average ETF Trust | 0.0146 | 380.92 | 3643847 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Simple | 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: | 10000.00 | Final Equity: | 10922.02 |
Total net P/L: | 922.02 | Total ROI: | 9.22 % |
CAGR: | 9.25 % | Max. DD: | 2.16 % |
System Score: | 5.654 | Sharpe Ratio: | 2.077 |
Start Date: | 2020-06-01 | End Date: | 2021-05-31 |
Total days: | 364 | ||
Commissions: | 56.00 | Comm.% P/L | 5.73 % |
Total Transactions: | 56 | Log. Linearity: | 84.879 % |
Total | Long | Short | SPY | DIA | |
---|---|---|---|---|---|
Total Profit/Loss | 978.02 | 568.44 | 409.58 | 16.67 | 961.35 |
Total Profit | 1108.60 | 617.90 | 490.70 | 1460.66 | 1914.02 |
Total Loss | 130.58 | 49.46 | 81.12 | 1443.99 | 952.67 |
Profit Factor | 8.49 | 12.49 | 6.05 | 1.01 | 2.01 |
Trades | 14 | 7 | 7 | 14 | 14 |
Winning Trades | 12 | 6 | 6 | 8 | 7 |
Losing Trades | 2 | 1 | 1 | 6 | 7 |
% Profitable | 85.00 | 85.00 | 85.00 | 57.00 | 50.00 |
Profit/Loss Per Trade % | 0.67 | 0.78 | 0.56 | -0.06 | 0.66 |
Profit Per Trade % | 0.88 | 0.98 | 0.79 | 1.72 | 2.65 |
Loss Per Trade % | 0.61 | 0.46 | 0.75 | 2.34 | 1.27 |
Days In Trade | 139 | 67 | 72 | 139 | 139 |
Days In Trade (Avg. Per Trade) | 9.93 | 9.57 | 10.29 | 9.93 | 9.93 |
% Days In Trade | 38.19 | 18.41 | 19.78 | 38.19 | 38.19 |