Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
JFR | Nuveen Floating Rate Income Closed Fund | Financial Services | Asset Management | 564 | 0.1029 | 8.63 | 605050 |
NSL | Nuveen Senior Income Fund | Financial Services | Asset Management | 215 | 0.0991 | 4.6 | 167067 |
Entry Threshold: | 2.50 | Exit Threshold: | -0.10 | ||
Max Duration: | 7 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 90 | ||||
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: | 10637.61 |
Total net P/L: | 637.61 | Total ROI: | 6.38 % |
CAGR: | 1.24 % | Max. DD: | 3.56 % |
System Score: | 0.475 | Sharpe Ratio: | 0.835 |
Start Date: | 2017-01-02 | End Date: | 2021-12-31 |
Total days: | 1824 | ||
Commissions: | 471.77 | Comm.% P/L | 42.53 % |
Total Transactions: | 68 | Log. Linearity: | 72.542 % |
Total | Long | Short | JFR | NSL | |
---|---|---|---|---|---|
Total Profit/Loss | 1109.38 | 353.58 | 755.80 | -519.95 | 1629.33 |
Total Profit | 1609.88 | 711.61 | 898.27 | 1209.56 | 2105.41 |
Total Loss | 500.50 | 358.03 | 142.47 | 1729.51 | 476.08 |
Profit Factor | 3.22 | 1.99 | 6.30 | 0.70 | 4.42 |
Trades | 17 | 10 | 7 | 17 | 17 |
Winning Trades | 12 | 6 | 6 | 9 | 11 |
Losing Trades | 5 | 4 | 1 | 8 | 6 |
% Profitable | 70.00 | 60.00 | 85.00 | 52.00 | 64.00 |
Profit/Loss Per Trade % | 0.64 | 0.35 | 1.06 | -0.32 | 0.90 |
Profit Per Trade % | 1.33 | 1.19 | 1.47 | 1.33 | 1.83 |
Loss Per Trade % | 0.99 | 0.90 | 1.35 | 2.05 | 0.79 |
Days In Trade | 128 | 80 | 48 | 128 | 128 |
Days In Trade (Avg. Per Trade) | 7.53 | 8.00 | 6.86 | 7.53 | 7.53 |
% Days In Trade | 7.02 | 4.39 | 2.63 | 7.02 | 7.02 |