Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
EMB | iShares J.P. Morgan USD Emerging Markets Bond ETF | 0.052 | 90.92 | 5902755 | |||
VWOB | Vanguard Emerging Markets Government Bond Index Fund ETF Shares | 0 | 64.108 | 472292 |
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: | 11213.68 |
Total net P/L: | 1213.68 | Total ROI: | 12.14 % |
CAGR: | 2.24 % | Max. DD: | 1.40 % |
System Score: | 1.381 | Sharpe Ratio: | 3.167 |
Start Date: | 2019-01-02 | End Date: | 2024-02-29 |
Total days: | 1884 | ||
Commissions: | 252.00 | Comm.% P/L | 17.19 % |
Total Transactions: | 252 | Log. Linearity: | 85.050 % |
Total | Long | Short | EMB | VWOB | |
---|---|---|---|---|---|
Total Profit/Loss | 1465.68 | 816.73 | 648.95 | -1409.57 | 2875.25 |
Total Profit | 1553.78 | 816.73 | 737.05 | 2706.64 | 4886.57 |
Total Loss | 88.10 | 0.00 | 88.10 | 4116.21 | 2011.32 |
Profit Factor | 17.64 | 0.00 | 8.37 | 0.66 | 2.43 |
Trades | 63 | 31 | 32 | 63 | 63 |
Winning Trades | 57 | 31 | 26 | 29 | 41 |
Losing Trades | 6 | 0 | 6 | 34 | 22 |
% Profitable | 90.00 | 100.00 | 81.00 | 46.00 | 65.00 |
Profit/Loss Per Trade % | 0.22 | 0.25 | 0.19 | -0.23 | 0.42 |
Profit Per Trade % | 0.26 | 0.25 | 0.27 | 0.86 | 1.10 |
Loss Per Trade % | 0.13 | 0.00 | 0.13 | 1.12 | 0.84 |
Days In Trade | 419 | 206 | 213 | 419 | 419 |
Days In Trade (Avg. Per Trade) | 6.65 | 6.65 | 6.66 | 6.65 | 6.65 |
% Days In Trade | 22.24 | 10.93 | 11.31 | 22.24 | 22.24 |