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 | 6319 | 0.0322 | 46.04 | 1064073 |
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: | 11547.92 |
Total net P/L: | 1547.92 | Total ROI: | 15.48 % |
CAGR: | 4.93 % | Max. DD: | 4.13 % |
System Score: | 2.801 | Sharpe Ratio: | 1.570 |
Start Date: | 2017-01-02 | End Date: | 2019-12-30 |
Total days: | 1092 | ||
Commissions: | 163.52 | Comm.% P/L | 9.55 % |
Total Transactions: | 92 | Log. Linearity: | 82.836 % |
Total | Long | Short | DRE | FR | |
---|---|---|---|---|---|
Total Profit/Loss | 1711.44 | 1124.76 | 586.68 | 1305.29 | 406.15 |
Total Profit | 2387.69 | 1623.74 | 763.95 | 3399.05 | 2847.46 |
Total Loss | 676.25 | 498.98 | 177.27 | 2093.76 | 2441.31 |
Profit Factor | 3.53 | 3.25 | 4.31 | 1.62 | 1.17 |
Trades | 23 | 14 | 9 | 23 | 23 |
Winning Trades | 17 | 10 | 7 | 15 | 13 |
Losing Trades | 6 | 4 | 2 | 8 | 10 |
% Profitable | 73.00 | 71.00 | 77.00 | 65.00 | 56.00 |
Profit/Loss Per Trade % | 0.69 | 0.75 | 0.61 | 0.49 | 0.13 |
Profit Per Trade % | 1.32 | 1.52 | 1.02 | 2.13 | 2.06 |
Loss Per Trade % | 1.04 | 1.16 | 0.80 | 2.47 | 2.30 |
Days In Trade | 298 | 171 | 127 | 298 | 298 |
Days In Trade (Avg. Per Trade) | 12.96 | 12.21 | 14.11 | 12.96 | 12.96 |
% Days In Trade | 27.29 | 15.66 | 11.63 | 27.29 | 27.29 |