Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SAA | ProShares Ultra SmallCap600 | 0.0065 | 21.5995 | 7723 | |||
SMHB | ETRACS 2xMonthly Pay Leveraged US Small Cap High Dividend ETN | 0.8227 | 5.5561 | 43656 |
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: | 15859.63 |
Total net P/L: | 5859.63 | Total ROI: | 58.60 % |
CAGR: | 58.80 % | Max. DD: | 22.15 % |
System Score: | 50.119 | Sharpe Ratio: | 1.669 |
Start Date: | 2020-06-01 | End Date: | 2021-05-31 |
Total days: | 364 | ||
Commissions: | 458.21 | Comm.% P/L | 7.25 % |
Total Transactions: | 80 | Log. Linearity: | 94.816 % |
Total | Long | Short | SAA | SMHB | |
---|---|---|---|---|---|
Total Profit/Loss | 6317.84 | 2581.06 | 3736.78 | 1163.73 | 5154.11 |
Total Profit | 7914.66 | 3042.71 | 4871.95 | 9356.60 | 10811.79 |
Total Loss | 1596.82 | 461.65 | 1135.17 | 8192.87 | 5657.68 |
Profit Factor | 4.96 | 6.59 | 4.29 | 1.14 | 1.91 |
Trades | 20 | 9 | 11 | 20 | 20 |
Winning Trades | 17 | 8 | 9 | 10 | 11 |
Losing Trades | 3 | 1 | 2 | 10 | 9 |
% Profitable | 85.00 | 88.00 | 81.00 | 50.00 | 55.00 |
Profit/Loss Per Trade % | 2.54 | 2.12 | 2.88 | -0.66 | 2.50 |
Profit Per Trade % | 3.92 | 3.00 | 4.75 | 7.12 | 8.95 |
Loss Per Trade % | 4.95 | 4.62 | 5.12 | 7.45 | 4.79 |
Days In Trade | 193 | 99 | 94 | 193 | 193 |
Days In Trade (Avg. Per Trade) | 9.65 | 11.00 | 8.55 | 9.65 | 9.65 |
% Days In Trade | 53.02 | 27.20 | 25.82 | 53.02 | 53.02 |