Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
RY | Royal Bank of Canada | Financial Services | Banks - Diversified | 141177 | 0.0408 | 99.85 | 1147320 |
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: | Simple | Reversals: | |
MA Period: | 20 | MA Type: | SMA | 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: | 10000.00 | Final Equity: | 11862.98 |
Total net P/L: | 1862.98 | Total ROI: | 18.63 % |
CAGR: | 3.48 % | Max. DD: | 24.82 % |
System Score: | 0.634 | Sharpe Ratio: | 0.930 |
Start Date: | 2016-06-01 | End Date: | 2021-05-31 |
Total days: | 1825 | ||
Commissions: | 244.35 | Comm.% P/L | 11.60 % |
Total Transactions: | 244 | Log. Linearity: | 56.717 % |
Total | Long | Short | RY | BMO | |
---|---|---|---|---|---|
Total Profit/Loss | 2107.33 | 1466.12 | 641.21 | 1571.47 | 535.86 |
Total Profit | 6931.89 | 2623.61 | 4308.28 | 10627.88 | 11911.61 |
Total Loss | 4824.56 | 1157.49 | 3667.07 | 9056.41 | 11375.75 |
Profit Factor | 1.44 | 2.27 | 1.17 | 1.17 | 1.05 |
Trades | 61 | 32 | 29 | 61 | 61 |
Winning Trades | 43 | 23 | 20 | 30 | 32 |
Losing Trades | 18 | 9 | 9 | 31 | 29 |
% Profitable | 70.00 | 71.00 | 68.00 | 49.00 | 52.00 |
Profit/Loss Per Trade % | 0.32 | 0.43 | 0.19 | 0.11 | -0.13 |
Profit Per Trade % | 1.52 | 1.05 | 2.05 | 3.15 | 3.49 |
Loss Per Trade % | 2.38 | 1.14 | 3.63 | 2.70 | 3.37 |
Days In Trade | 882 | 475 | 407 | 882 | 882 |
Days In Trade (Avg. Per Trade) | 14.46 | 14.84 | 14.03 | 14.46 | 14.46 |
% Days In Trade | 48.33 | 26.03 | 22.30 | 48.33 | 48.33 |