31 lines
8.2 KiB
Plaintext
31 lines
8.2 KiB
Plaintext
CMTSESSIONv1.00
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LastUpdated=3/31/2023 05:21:26 PM
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TradeDate=3/20/2023
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StartDate=1/3/2022
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AnalysisDate=3/20/2023
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CashBalance=9459.51
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NonTradeableCash=0
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AnalysisDate=3/31/2023|BetaMonths=6|TradeDate=3/31/2023|MarketCapLowerLimit=500000000|SidewaysDetection=False|SidewaysAfterDays=30|PriceTrendDays=20|CheckOutliersInReturnStream=True|DailyReturnLimit=0.25|MaxDailyPositions=3|MaxOpenPositions=6|NoTradeSymbols=CLCT,PRSC,CMD,STAY,GBTC,YOKU,PNY,RFMD,ASAZY,USMO,VNR,STB,XIV,SYNT|OnlyTradeSymbols=|MinRSI=70|InitialCash=10000|TotalRiskPercentDecimal=0.05|PositionRiskPercentDecimal=0.12|EquityOnly=False|MinPercentReturnProximityTo52WeekHigh=30|MinPercentReturnOver52WeekLow=80|ProfitMarginCheck=True|EPSCheck=True|MinDaysBetweenReholding=30|LiquidityCheck=True|MinVolume=1000|DMA200Horizon=15|MinDaysBetweenStopAdjustments=30|MinDaysBetweenInitialStopAdjustment=5|MaxPricingExceptions=3|MACDSetup=(12,26,9)|MACDSignalDays=5|MACDRejectStrongSells=True|MACDRejectWeakSells=True|UseMarketIndicator=True|Benchmark=SPY|BenchmarkMovingAverageDays=200|BenchmarkMovingAverageHorizon=5|UseStopLimitScaling=True|StopLimitScalingType=AverageTrueRange|StopLimitScalingVolatilityDays=30|SellOnDMABreak=True|DMABreakValues=200|DMABreakForceBreak=False|EntryType=OverExtended,MVP,PriceTrend,VolumeTrend|EntryHorizon=30|CandidateExpiryDays=180|VolumeTrendDays=10|ChannelBreakoutHorizon=40|UseOverExtendedIndicatorDays=45|UseOverExtendedIndicatorViolationThreshhold=1|UseOverExtendedIndicatorMarginPercent=1|MaxBeta=10|UseMaxBeta=False|UseProfitMaximization=True|UseProfitMaximizationExpression=R_THRESSHOLD=4;MAX_ATR=3;MULTIPLIER=MAX_ATR;IF(RMultiple>=R_THRESSHOLD){MULTIPLIER=1.2;}|UseMarketIndicatorVolatility=True|UseMarketIndicatorVolatilityDays=5
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PricingExceptions=0
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TotalActivePositions=0
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TotalPositions=2
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Symbol=EURN|PurchaseDate=2/27/2023 12:00:00 AM|SellDate=3/16/2023 12:00:00 AM|Shares=225|PurchasePrice=18.47|CurrentPrice=16.2536|Exposure=4155.75|MarketValue=3657.06|GainLoss=-498.690000000001|GainLossPcnt=-0.12|PositionRiskDecimal=0.12|R=2.2164|C=500|P=225.591048547194|InitialStopLimit=16.2536|TrailingStopLimit=16.2536|TotalRiskExposure=498.69|RMultiple=-1.00R|Volatility=0.731772541999817|Volume=0|LastStopAdjustment=1/1/0001 12:00:00 AM|Comment=Closed due to trailing stop.
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Symbol=UFPT|PurchaseDate=2/27/2023 12:00:00 AM|SellDate=3/20/2023 12:00:00 AM|Shares=20|PurchasePrice=117.76|CurrentPrice=115.67|Exposure=2355.2|MarketValue=2313.4|GainLoss=-41.8000000000002|GainLossPcnt=-0.0177479619565218|PositionRiskDecimal=0.12|R=14.1312|C=292.2125|P=20.6785340240036|InitialStopLimit=103.6288|TrailingStopLimit=103.6288|TotalRiskExposure=282.624|RMultiple=-0.15R|Volatility=9.47459030151367|Volume=0|LastStopAdjustment=1/1/0001 12:00:00 AM|Comment=Closed due to end of simulation.
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TotalCandidates=15
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Symbol=ASC|AnalysisDate=11/17/2022 12:00:00 AM|EPSSlope=0.944999992847443|ProfitMarginSlope=13.6411724090576|PriceSlope=0.00586012045799276|Volatility=0.307035565376282|Volume=0|Violation=False|Slope=0.00586012045799276|Score=4.11658665245541|AnnualizedReturn=4.37869333883642|SharpeRatio=0.376770886586071|RSquared=0.940140433207258|BetaMonths=6|Beta=0.512126737551504
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Symbol=BDC|AnalysisDate=2/15/2023 12:00:00 AM|EPSSlope=1.27500009536743|ProfitMarginSlope=2.02309989929199|PriceSlope=0.00194764689999777|Volatility=4.56663608551025|Volume=0|Violation=False|Slope=0.00194764689999777|Score=1.29927586722819|AnnualizedReturn=1.6336340615214|SharpeRatio=-0.0977743976933555|RSquared=0.795328585410477|BetaMonths=6|Beta=1.85793210315819
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Symbol=LW|AnalysisDate=1/17/2023 12:00:00 AM|EPSSlope=0.245000004768372|ProfitMarginSlope=3.92465972900391|PriceSlope=0.00184247757842917|Volatility=4.94108152389526|Volume=0|Violation=False|Slope=0.00184247757842917|Score=1.28048166567635|AnnualizedReturn=1.59090708896291|SharpeRatio=-0.302308392139478|RSquared=0.804875202681432|BetaMonths=6|Beta=0.576288765317124
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Symbol=MOD|AnalysisDate=11/16/2022 12:00:00 AM|EPSSlope=0.229999959468842|ProfitMarginSlope=0.0233888626098633|PriceSlope=0.00241117940919469|Volatility=1.6974903345108|Volume=0|Violation=False|Slope=0.00241117940919469|Score=0.9190065667325|AnnualizedReturn=1.83605125985044|SharpeRatio=0.0681258007215129|RSquared=0.500534264390505|BetaMonths=6|Beta=2.60777454209825
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Symbol=PARR|AnalysisDate=11/16/2022 12:00:00 AM|EPSSlope=1.55000007152557|ProfitMarginSlope=10.0567760467529|PriceSlope=0.00164999997257333|Volatility=0.420503169298172|Volume=0|Violation=False|Slope=0.00164999997257333|Score=0.786813309505513|AnnualizedReturn=1.51558271153747|SharpeRatio=0.0131138598212982|RSquared=0.5191490398484|BetaMonths=6|Beta=0.150722458603751
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Symbol=ATI|AnalysisDate=3/1/2023 12:00:00 AM|EPSSlope=0.370000004768372|ProfitMarginSlope=0.0544643402099609|PriceSlope=0.00139939456427902|Volatility=0.902130424976349|Volume=0|Violation=False|Slope=0.00139939456427902|Score=0.698506772716273|AnnualizedReturn=1.42282940830819|SharpeRatio=-0.00964181919038295|RSquared=0.490927983802942|BetaMonths=6|Beta=0.825743024322259
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Symbol=ELF|AnalysisDate=11/16/2022 12:00:00 AM|EPSSlope=0.0550000071525574|ProfitMarginSlope=0.411960601806641|PriceSlope=0.00179642715897408|Volatility=3.74543380737305|Volume=0|Violation=False|Slope=0.00179642715897408|Score=0.625927024336542|AnnualizedReturn=1.57255179030539|SharpeRatio=-0.117458728016571|RSquared=0.398032693228493|BetaMonths=6|Beta=0.609104124416788
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Symbol=ALGM|AnalysisDate=2/15/2023 12:00:00 AM|EPSSlope=0.0799999833106995|ProfitMarginSlope=1.47682189941406|PriceSlope=0.00114081394595438|Volatility=3.49895811080933|Volume=0|Violation=False|Slope=0.00114081394595438|Score=0.298093224070769|AnnualizedReturn=1.33307074843158|SharpeRatio=-0.0407715695698552|RSquared=0.223613956289635|BetaMonths=6|Beta=1.96511658827607
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Symbol=URI|AnalysisDate=2/15/2023 12:00:00 AM|EPSSlope=1.28499984741211|ProfitMarginSlope=1.82218360900879|PriceSlope=0.00094920012569333|Volatility=11.5914583206177|Volume=0|Violation=False|Slope=0.00094920012569333|Score=0.280215083147385|AnnualizedReturn=1.27023056555615|SharpeRatio=-0.0597345923934615|RSquared=0.220601748017847|BetaMonths=6|Beta=1.80987110471121
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Symbol=AMKR|AnalysisDate=1/9/2023 12:00:00 AM|EPSSlope=0.254999995231628|ProfitMarginSlope=0.489725112915039|PriceSlope=0.0003501062370669|Volatility=1.58468770980835|Volume=0|Violation=False|Slope=0.0003501062370669|Score=0.0344552834570403|AnnualizedReturn=1.09223578215569|SharpeRatio=-0.186180479035794|RSquared=0.0315456461140996|BetaMonths=6|Beta=3.26856616740718
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Symbol=CROX|AnalysisDate=1/11/2023 12:00:00 AM|EPSSlope=0.144999980926514|ProfitMarginSlope=0.455497741699219|PriceSlope=0.000448685453459357|Volatility=6.45257425308228|Volume=0|Violation=False|Slope=0.000448685453459357|Score=0.0224311621759099|AnnualizedReturn=1.119708892679|SharpeRatio=-0.176906882492005|RSquared=0.0200330303015112|BetaMonths=6|Beta=3.06532018287253
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Symbol=COTY|AnalysisDate=2/15/2023 12:00:00 AM|EPSSlope=0.0199999995529652|ProfitMarginSlope=1.85734558105469|PriceSlope=0.00025570736500921|Volatility=0.500409066677094|Volume=0|Violation=False|Slope=0.00025570736500921|Score=0.0215031365151065|AnnualizedReturn=1.06655972252919|SharpeRatio=-0.254487609905162|RSquared=0.0201612118486107|BetaMonths=6|Beta=0.402451276080828
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Symbol=SHLS|AnalysisDate=11/16/2022 12:00:00 AM|EPSSlope=0.00499999895691872|ProfitMarginSlope=0.505464553833008|PriceSlope=0.000395492224073733|Volatility=2.49927067756653|Volume=0|Violation=False|Slope=0.000395492224073733|Score=0.0125878891105588|AnnualizedReturn=1.10479968773233|SharpeRatio=-0.214462483523195|RSquared=0.0113938203009418|BetaMonths=6|Beta=3.70321412973362
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Symbol=WNC|AnalysisDate=11/16/2022 12:00:00 AM|EPSSlope=0.259999990463257|ProfitMarginSlope=1.71268224716187|PriceSlope=-0.000119754783447254|Volatility=1.50524878501892|Volume=0|Violation=False|Slope=-0.000119754783447254|Score=-0.0037269486406606|AnnualizedReturn=-0.970272610294558|SharpeRatio=-0.0141862900297584|RSquared=0.00384113557480424|BetaMonths=6|Beta=2.54925719983273
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Symbol=IPAR|AnalysisDate=3/16/2023 12:00:00 AM|EPSSlope=0.279999971389771|ProfitMarginSlope=0.770120620727539|PriceSlope=0.00187076339882661|Volatility=7.39457654953003|Volume=0|Violation=False|Slope=0.00187076339882661|Score=0.894782575333314|AnnualizedReturn=1.60228762944673|SharpeRatio=-0.114648390331624|RSquared=0.558440668759503|BetaMonths=6|Beta=1.52057675949017
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TotalStopLimits=0
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