Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
RY | Royal Bank of Canada | Financial Services | Banks - Diversified | 140766 | 0.0419 | 97.27 | 1163117 |
BMO | Bank of Montreal | Financial Services | Banks - Diversified | 67830 | 0.0482 | 92.84 | 674554 |
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: | 11212.47 |
Total net P/L: | 1212.47 | Total ROI: | 12.12 % |
CAGR: | 12.16 % | Max. DD: | 4.52 % |
System Score: | 5.072 | Sharpe Ratio: | 1.188 |
Start Date: | 2020-06-01 | End Date: | 2021-05-31 |
Total days: | 364 | ||
Commissions: | 44.00 | Comm.% P/L | 3.50 % |
Total Transactions: | 44 | Log. Linearity: | 74.714 % |
Total | Long | Short | RY | BMO | |
---|---|---|---|---|---|
Total Profit/Loss | 1256.47 | 395.95 | 860.52 | 91.02 | 1165.45 |
Total Profit | 1521.57 | 661.05 | 860.52 | 1561.68 | 2241.03 |
Total Loss | 265.10 | 265.10 | 0.00 | 1470.66 | 1075.58 |
Profit Factor | 5.74 | 2.49 | 0.00 | 1.06 | 2.08 |
Trades | 11 | 8 | 3 | 11 | 11 |
Winning Trades | 8 | 5 | 3 | 6 | 4 |
Losing Trades | 3 | 3 | 0 | 5 | 7 |
% Profitable | 72.00 | 62.00 | 100.00 | 54.00 | 36.00 |
Profit/Loss Per Trade % | 1.08 | 0.48 | 2.72 | -0.03 | 1.01 |
Profit Per Trade % | 1.80 | 1.26 | 2.72 | 2.37 | 5.40 |
Loss Per Trade % | 0.81 | 0.81 | 0.00 | 2.80 | 1.38 |
Days In Trade | 147 | 134 | 13 | 147 | 147 |
Days In Trade (Avg. Per Trade) | 13.36 | 16.75 | 4.33 | 13.36 | 13.36 |
% Days In Trade | 40.38 | 36.81 | 3.57 | 40.38 | 40.38 |