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 | 7133 | 0.0282 | 52.54 | 1032685 |
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: | 13345.81 |
Total net P/L: | 3345.81 | Total ROI: | 33.46 % |
CAGR: | 10.16 % | Max. DD: | 4.11 % |
System Score: | 7.036 | Sharpe Ratio: | 2.537 |
Start Date: | 2016-01-04 | End Date: | 2018-12-28 |
Total days: | 1089 | ||
Commissions: | 259.14 | Comm.% P/L | 7.19 % |
Total Transactions: | 116 | Log. Linearity: | 88.481 % |
Total | Long | Short | DRE | FR | |
---|---|---|---|---|---|
Total Profit/Loss | 3604.95 | 2287.16 | 1317.79 | 3360.33 | 244.62 |
Total Profit | 4406.18 | 2818.49 | 1587.69 | 6532.17 | 4674.50 |
Total Loss | 801.23 | 531.33 | 269.90 | 3171.84 | 4429.88 |
Profit Factor | 5.50 | 5.30 | 5.88 | 2.06 | 1.06 |
Trades | 29 | 17 | 12 | 29 | 29 |
Winning Trades | 24 | 14 | 10 | 19 | 17 |
Losing Trades | 5 | 3 | 2 | 10 | 12 |
% Profitable | 82.00 | 82.00 | 83.00 | 65.00 | 58.00 |
Profit/Loss Per Trade % | 1.08 | 1.16 | 0.96 | 0.96 | 0.00 |
Profit Per Trade % | 1.60 | 1.75 | 1.38 | 2.96 | 2.34 |
Loss Per Trade % | 1.36 | 1.53 | 1.12 | 2.70 | 3.15 |
Days In Trade | 320 | 178 | 142 | 320 | 320 |
Days In Trade (Avg. Per Trade) | 11.03 | 10.47 | 11.83 | 11.03 | 11.03 |
% Days In Trade | 29.38 | 16.35 | 13.04 | 29.38 | 29.38 |