Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
DRE | Duke Realty Corporation | Real Estate | REIT-Industrial | 18738 | 0.0232 | 48.2 | 2331310 |
FR | First Industrial Realty Trust Inc | Real Estate | REIT - Industrial | 6228 | 0.0323 | 45.8 | 1059985 |
Entry Threshold: | 2.30 | Exit Threshold: | 0.00 | ||
Max Duration: | 21 | Entry Mode: | Uptick | Reversals: | |
MA Period: | 21 | MA Type: | EMA | StdDev Period: | 21 |
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: | 12086.01 |
Total net P/L: | 2086.01 | Total ROI: | 20.86 % |
CAGR: | 6.54 % | Max. DD: | 8.09 % |
System Score: | 4.876 | Sharpe Ratio: | 1.596 |
Start Date: | 2015-01-02 | End Date: | 2017-12-29 |
Total days: | 1092 | ||
Commissions: | 245.35 | Comm.% P/L | 10.52 % |
Total Transactions: | 104 | Log. Linearity: | 90.686 % |
Total | Long | Short | DRE | FR | |
---|---|---|---|---|---|
Total Profit/Loss | 2331.36 | 1499.31 | 832.05 | 2393.83 | -62.47 |
Total Profit | 3415.88 | 2138.11 | 1277.77 | 5120.83 | 3813.22 |
Total Loss | 1084.52 | 638.80 | 445.72 | 2727.00 | 3875.69 |
Profit Factor | 3.15 | 3.35 | 2.87 | 1.88 | 0.98 |
Trades | 26 | 16 | 10 | 26 | 26 |
Winning Trades | 20 | 12 | 8 | 16 | 14 |
Losing Trades | 6 | 4 | 2 | 10 | 12 |
% Profitable | 76.00 | 75.00 | 80.00 | 61.00 | 53.00 |
Profit/Loss Per Trade % | 0.82 | 0.86 | 0.75 | 0.82 | -0.11 |
Profit Per Trade % | 1.57 | 1.62 | 1.48 | 2.91 | 2.42 |
Loss Per Trade % | 1.63 | 1.38 | 2.12 | 2.41 | 2.91 |
Days In Trade | 333 | 205 | 128 | 333 | 333 |
Days In Trade (Avg. Per Trade) | 12.81 | 12.81 | 12.80 | 12.81 | 12.81 |
% Days In Trade | 30.49 | 18.77 | 11.72 | 30.49 | 30.49 |