Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
VTI | Vanguard Total Stock Market Index Fund ETF Shares | 494625 | 0.0113 | 247.64 | 3247424 | ||
SPY | SPDR S&P 500 ETF Trust | 0.0113 | 499.72 | 77357812 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | 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: | 10057.26 |
Total net P/L: | 57.26 | Total ROI: | 0.57 % |
CAGR: | 1.18 % | Max. DD: | 0.63 % |
System Score: | 0.174 | Sharpe Ratio: | 0.506 |
Start Date: | 2021-01-04 | End Date: | 2021-06-30 |
Total days: | 177 | ||
Commissions: | 28.00 | Comm.% P/L | 32.84 % |
Total Transactions: | 28 | Log. Linearity: | 52.781 % |
Total | Long | Short | VTI | SPY | |
---|---|---|---|---|---|
Total Profit/Loss | 85.26 | 89.01 | -3.75 | 677.90 | -592.64 |
Total Profit | 127.75 | 100.49 | 27.26 | 1162.54 | 480.89 |
Total Loss | 42.49 | 11.48 | 31.01 | 484.64 | 1073.53 |
Profit Factor | 3.01 | 8.75 | 0.88 | 2.40 | 0.45 |
Trades | 7 | 4 | 3 | 7 | 7 |
Winning Trades | 4 | 3 | 1 | 4 | 3 |
Losing Trades | 3 | 1 | 2 | 3 | 4 |
% Profitable | 57.00 | 75.00 | 33.00 | 57.00 | 42.00 |
Profit/Loss Per Trade % | 0.12 | 0.22 | -0.01 | 0.93 | -0.89 |
Profit Per Trade % | 0.32 | 0.33 | 0.27 | 2.87 | 1.59 |
Loss Per Trade % | 0.14 | 0.11 | 0.15 | 1.61 | 2.65 |
Days In Trade | 98 | 52 | 46 | 98 | 98 |
Days In Trade (Avg. Per Trade) | 14.00 | 13.00 | 15.33 | 14.00 | 14.00 |
% Days In Trade | 55.37 | 29.38 | 25.99 | 55.37 | 55.37 |