Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
IWM | iShares Russell 2000 ETF | 0.0091 | 219.24 | 32116788 | |||
SRTY | ProShares UltraPro Short Russell2000 | 0.0109 | 20.44 | 1609181 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Inverted: | IWM | Transformed: | SRTY | A=1000.0 B=0.1 | |
MA Period: | 15 | MA Type: | SMA | StdDev Period: | 15 |
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: | 6564.13 |
Total net P/L: | -3435.87 | Total ROI: | -34.36 % |
CAGR: | -39.98 % | Max. DD: | 50.88 % |
System Score: | -25.612 | Sharpe Ratio: | -0.931 |
Start Date: | 2022-01-03 | End Date: | 2022-10-31 |
Total days: | 301 | ||
Commissions: | 56.29 | Comm.% P/L | 1.67 % |
Total Transactions: | 56 | Log. Linearity: | 86.207 % |
Total | Long | Short | IWM | SRTY | |
---|---|---|---|---|---|
Total Profit/Loss | -3379.58 | -592.40 | -2787.18 | 1438.43 | -4818.01 |
Total Profit | 1999.81 | 1128.64 | 871.17 | 2529.27 | 3074.86 |
Total Loss | 5379.39 | 1721.04 | 3658.35 | 1090.84 | 7892.87 |
Profit Factor | 0.37 | 0.66 | 0.24 | 2.32 | 0.39 |
Trades | 14 | 6 | 8 | 14 | 14 |
Winning Trades | 4 | 3 | 1 | 11 | 3 |
Losing Trades | 10 | 3 | 7 | 3 | 11 |
% Profitable | 28.00 | 50.00 | 12.00 | 78.00 | 21.00 |
Profit/Loss Per Trade % | -2.91 | -0.66 | -4.57 | 1.04 | -4.27 |
Profit Per Trade % | 6.41 | 5.65 | 8.71 | 2.66 | 13.23 |
Loss Per Trade % | 6.35 | 6.56 | 6.25 | 4.69 | 8.36 |
Days In Trade | 167 | 81 | 86 | 167 | 167 |
Days In Trade (Avg. Per Trade) | 11.93 | 13.50 | 10.75 | 11.93 | 11.93 |
% Days In Trade | 55.48 | 26.91 | 28.57 | 55.48 | 55.48 |