| Model: | Ratio |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| TLT | iShares 20+ Year Treasury Bond ETF | 0.0257 | 83.56 | 34627928 | |||
| ZROZ | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | 0 | 60.11 | 478212 |
| Entry Threshold: | 1.60 | Exit Threshold: | 0.00 | ||
| Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
| 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: | 10358.31 |
| Total net P/L: | 358.31 | Total ROI: | 3.58 % |
| CAGR: | 0.32 % | Max. DD: | 22.18 % |
| System Score: | 0.005 | Sharpe Ratio: | 0.272 |
| Start Date: | 2013-07-01 | End Date: | 2024-06-28 |
| Total days: | 4015 | ||
| Commissions: | 788.00 | Comm.% P/L | 68.74 % |
| Total Transactions: | 788 | Log. Linearity: | 24.943 % |
| Total | Long |
Short |
TLT | ZROZ | |
|---|---|---|---|---|---|
| Total Profit/Loss | 1146.31 | 564.15 | 582.16 | -1491.72 | 2638.03 |
| Total Profit | 12683.45 | 6795.21 | 5888.24 | 21222.11 | 34707.37 |
| Total Loss | 11537.15 | 6231.07 | 5306.08 | 22713.83 | 32069.34 |
| Profit Factor | 1.10 | 1.09 | 1.11 | 0.93 | 1.08 |
| Trades | 197 | 104 | 93 | 197 | 197 |
| Winning Trades | 135 | 74 | 61 | 75 | 128 |
| Losing Trades | 62 | 30 | 32 | 122 | 69 |
| % Profitable | 68.00 | 71.00 | 65.00 | 38.00 | 64.00 |
| Profit/Loss Per Trade % | 0.05 | 0.05 | 0.06 | -0.12 | 0.07 |
| Profit Per Trade % | 0.81 | 0.80 | 0.83 | 2.36 | 2.33 |
| Loss Per Trade % | 1.57 | 1.75 | 1.39 | 1.60 | 3.87 |
| Days In Trade | 2383 | 1190 | 1193 | 2383 | 2383 |
| Days In Trade (Avg. Per Trade) | 12.10 | 11.44 | 12.83 | 12.10 | 12.10 |
| % Days In Trade | 59.35 | 29.64 | 29.71 | 59.35 | 59.35 |