Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
RY | Royal Bank of Canada | Financial Services | Banks - Diversified | 137067 | 0.0421 | 96.9 | 1134773 |
BMO | Bank of Montreal | Financial Services | Banks - Diversified | 66023 | 0.0492 | 91.01 | 676518 |
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: | 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: | 20000.00 | Final Equity: | 20204.33 |
Total net P/L: | 204.33 | Total ROI: | 1.02 % |
CAGR: | 2.07 % | Max. DD: | 4.58 % |
System Score: | 0.002 | Sharpe Ratio: | 0.203 |
Start Date: | 2020-12-01 | End Date: | 2021-05-31 |
Total days: | 181 | ||
Commissions: | 27.51 | Comm.% P/L | 11.87 % |
Total Transactions: | 24 | Log. Linearity: | 9.794 % |
Total | Long | Short | RY | BMO | |
---|---|---|---|---|---|
Total Profit/Loss | 231.84 | -31.02 | 262.86 | 2734.20 | -2502.36 |
Total Profit | 563.11 | 300.25 | 262.86 | 2855.20 | 223.60 |
Total Loss | 331.27 | 331.27 | 0.00 | 121.00 | 2725.96 |
Profit Factor | 1.70 | 0.91 | 0.00 | 23.60 | 0.08 |
Trades | 6 | 5 | 1 | 6 | 6 |
Winning Trades | 4 | 3 | 1 | 5 | 1 |
Losing Trades | 2 | 2 | 0 | 1 | 5 |
% Profitable | 66.00 | 60.00 | 100.00 | 83.00 | 16.00 |
Profit/Loss Per Trade % | 0.19 | -0.03 | 1.31 | 2.23 | -2.07 |
Profit Per Trade % | 0.70 | 0.50 | 1.31 | 2.81 | 1.12 |
Loss Per Trade % | 0.81 | 0.81 | 0.00 | 0.61 | 2.67 |
Days In Trade | 84 | 80 | 4 | 84 | 84 |
Days In Trade (Avg. Per Trade) | 14.00 | 16.00 | 4.00 | 14.00 | 14.00 |
% Days In Trade | 46.41 | 44.20 | 2.21 | 46.41 | 46.41 |