| Model: | Ratio |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| GSG | iShares S&P GSCI Commodity-Indexed Trust | 31.09 | 1024148 | ||||
| SPY | SPDR S&P 500 ETF Trust | 0.0077 | 740.86 | 72418421 |
| Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
| Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
| MA Period: | 15 | MA Type: | EMA | 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: | 4699.36 |
| Total net P/L: | -5300.64 | Total ROI: | -53.01 % |
| CAGR: | -12.86 % | Max. DD: | 58.50 % |
| System Score: | -1.183 | Sharpe Ratio: | -1.455 |
| Start Date: | 2021-01-04 | End Date: | 2026-06-30 |
| Total days: | 2003 | ||
| Commissions: | 415.82 | Comm.% P/L | 8.51 % |
| Total Transactions: | 316 | Log. Linearity: | 45.146 % |
| Total | Long |
Short |
GSG | SPY | |
|---|---|---|---|---|---|
| Total Profit/Loss | -4884.82 | 207.14 | -5091.96 | -2987.89 | -1896.93 |
| Total Profit | 6930.57 | 2974.32 | 3956.25 | 6874.53 | 4758.63 |
| Total Loss | 11815.39 | 2767.18 | 9048.21 | 9862.42 | 6655.56 |
| Profit Factor | 0.59 | 1.07 | 0.44 | 0.70 | 0.71 |
| Trades | 79 | 40 | 39 | 79 | 79 |
| Winning Trades | 47 | 24 | 23 | 47 | 38 |
| Losing Trades | 32 | 16 | 16 | 32 | 41 |
| % Profitable | 59.00 | 60.00 | 58.00 | 59.00 | 48.00 |
| Profit/Loss Per Trade % | -0.87 | 0.02 | -1.77 | -0.44 | -0.43 |
| Profit Per Trade % | 2.50 | 2.07 | 2.95 | 2.49 | 1.89 |
| Loss Per Trade % | 5.26 | 2.90 | 7.67 | 4.32 | 2.50 |
| Days In Trade | 1033 | 544 | 489 | 1033 | 1033 |
| Days In Trade (Avg. Per Trade) | 13.08 | 13.60 | 12.54 | 13.08 | 13.08 |
| % Days In Trade | 51.57 | 27.16 | 24.41 | 51.57 | 51.57 |