Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SPY | SPDR S&P 500 ETF Trust | 0.0097 | 577.99 | 58886477 | |||
IWM | iShares Russell 2000 ETF | 0.0091 | 219.24 | 32116788 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 15 | ||||
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: | 11351.50 |
Total net P/L: | 1351.50 | Total ROI: | 13.52 % |
CAGR: | 2.37 % | Max. DD: | 19.96 % |
System Score: | 0.001 | Sharpe Ratio: | 0.728 |
Start Date: | 2019-01-02 | End Date: | 2024-05-31 |
Total days: | 1976 | ||
Commissions: | 344.00 | Comm.% P/L | 20.29 % |
Total Transactions: | 344 | Log. Linearity: | 8.182 % |
Total | Long | Short | SPY | IWM | |
---|---|---|---|---|---|
Total Profit/Loss | 1695.50 | 1383.23 | 312.27 | 3621.44 | -1925.94 |
Total Profit | 8026.43 | 2477.09 | 5549.34 | 11083.73 | 12153.65 |
Total Loss | 6330.93 | 1093.86 | 5237.07 | 7462.29 | 14079.59 |
Profit Factor | 1.27 | 2.26 | 1.06 | 1.49 | 0.86 |
Trades | 86 | 29 | 57 | 86 | 86 |
Winning Trades | 53 | 19 | 34 | 44 | 44 |
Losing Trades | 33 | 10 | 23 | 42 | 41 |
% Profitable | 61.00 | 65.00 | 59.00 | 51.00 | 51.00 |
Profit/Loss Per Trade % | 0.19 | 0.48 | 0.04 | 0.37 | -0.32 |
Profit Per Trade % | 1.49 | 1.31 | 1.60 | 2.45 | 2.73 |
Loss Per Trade % | 1.84 | 1.06 | 2.18 | 1.75 | 3.30 |
Days In Trade | 787 | 210 | 577 | 787 | 787 |
Days In Trade (Avg. Per Trade) | 9.15 | 7.24 | 10.12 | 9.15 | 9.15 |
% Days In Trade | 39.83 | 10.63 | 29.20 | 39.83 | 39.83 |