Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
JPM | JPMorgan Chase & Co | Financial Services | Banks - Diversified | 551843 | 0.0239 | 192.14 | 9344554 |
BAC | Bank of America Corp | Financial Services | Banks - Diversified | 301852 | 0.025 | 38.37 | 43202963 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 20 | ||||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 12539.61 |
Total net P/L: | 2539.61 | Total ROI: | 25.40 % |
CAGR: | 8.59 % | Max. DD: | 6.16 % |
System Score: | 5.103 | Sharpe Ratio: | 1.570 |
Start Date: | 2019-01-02 | End Date: | 2021-09-30 |
Total days: | 1002 | ||
Commissions: | 241.96 | Comm.% P/L | 8.70 % |
Total Transactions: | 168 | Log. Linearity: | 84.056 % |
Total | Long | Short | JPM | BAC | |
---|---|---|---|---|---|
Total Profit/Loss | 2781.57 | 2022.60 | 758.97 | 201.50 | 2580.07 |
Total Profit | 4588.30 | 2639.03 | 1949.27 | 8637.20 | 11138.41 |
Total Loss | 1806.73 | 616.43 | 1190.30 | 8435.70 | 8558.34 |
Profit Factor | 2.54 | 4.28 | 1.64 | 1.02 | 1.30 |
Trades | 42 | 18 | 24 | 42 | 42 |
Winning Trades | 33 | 14 | 19 | 24 | 22 |
Losing Trades | 9 | 4 | 5 | 18 | 20 |
% Profitable | 78.00 | 77.00 | 79.00 | 57.00 | 52.00 |
Profit/Loss Per Trade % | 0.59 | 0.99 | 0.30 | -0.02 | 0.37 |
Profit Per Trade % | 1.24 | 1.66 | 0.93 | 3.18 | 4.38 |
Loss Per Trade % | 1.73 | 1.34 | 2.05 | 4.04 | 3.77 |
Days In Trade | 394 | 152 | 242 | 394 | 394 |
Days In Trade (Avg. Per Trade) | 9.38 | 8.44 | 10.08 | 9.38 | 9.38 |
% Days In Trade | 39.32 | 15.17 | 24.15 | 39.32 | 39.32 |