42 lines
12 KiB
Plaintext
42 lines
12 KiB
Plaintext
CMTSESSIONv1.00
|
|
LastUpdated=3/22/2023 06:23:46 PM
|
|
TradeDate=3/20/2023
|
|
StartDate=3/20/2022
|
|
AnalysisDate=3/20/2023
|
|
CashBalance=8976.54699538136
|
|
NonTradeableCash=0
|
|
AnalysisDate=3/22/2023|BetaMonths=6|TradeDate=3/22/2023|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=15|UseMarketIndicatorVolatilityThreshhold=0
|
|
PricingExceptions=0
|
|
TotalActivePositions=0
|
|
TotalPositions=8
|
|
Symbol=PBF|PurchaseDate=1/27/2023 12:00:00 AM|SellDate=2/6/2023 12:00:00 AM|Shares=96|PurchasePrice=43.17|CurrentPrice=37.9896|Exposure=4144.32|MarketValue=3647.0016|GainLoss=-497.318399999999|GainLossPcnt=-0.12|PositionRiskDecimal=0.12|R=5.1804|C=500|P=96.5176434252181|InitialStopLimit=37.9896|TrailingStopLimit=37.9896|TotalRiskExposure=497.3184|RMultiple=-1.00R|Volatility=2.52846884727478|Volume=0|LastStopAdjustment=1/1/0001 12:00:00 AM|Comment=Closed due to trailing stop.
|
|
Symbol=ARLP|PurchaseDate=1/30/2023 12:00:00 AM|SellDate=3/8/2023 12:00:00 AM|Shares=37|PurchasePrice=22.54|CurrentPrice=19.8352|Exposure=833.98|MarketValue=733.9024|GainLoss=-100.0776|GainLossPcnt=-0.12|PositionRiskDecimal=0.12|R=2.7048|C=101.1415|P=37.3933377698906|InitialStopLimit=19.8352|TrailingStopLimit=19.8352|TotalRiskExposure=100.0776|RMultiple=-1.00R|Volatility=0.983967483043671|Volume=0|LastStopAdjustment=1/1/0001 12:00:00 AM|Comment=Closed due to trailing stop.
|
|
Symbol=XOM|PurchaseDate=1/27/2023 12:00:00 AM|SellDate=3/13/2023 12:00:00 AM|Shares=21|PurchasePrice=115.61|CurrentPrice=105.318714294434|Exposure=2427.81|MarketValue=2211.69300018311|GainLoss=-216.116999816894|GainLossPcnt=-0.0890172623956959|PositionRiskDecimal=0.12|R=13.8732|C=292.784|P=21.1042874030505|InitialStopLimit=101.7368|TrailingStopLimit=105.318714294434|TotalRiskExposure=291.3372|RMultiple=-0.74R|Volatility=2.72619557380676|Volume=0|LastStopAdjustment=2/10/2023 12:00:00 AM|Comment=Closed due to trailing stop.
|
|
Symbol=UNM|PurchaseDate=2/6/2023 12:00:00 AM|SellDate=3/13/2023 12:00:00 AM|Shares=40|PurchasePrice=42.35|CurrentPrice=39.847999792099|Exposure=1694|MarketValue=1593.91999168396|GainLoss=-100.08000831604|GainLossPcnt=-0.059079107624581|PositionRiskDecimal=0.12|R=5.082|C=206.30658|P=40.5955489964581|InitialStopLimit=37.268|TrailingStopLimit=39.847999792099|TotalRiskExposure=203.28|RMultiple=-0.49R|Volatility=1.02853631973267|Volume=0|LastStopAdjustment=2/14/2023 12:00:00 AM|Comment=Closed due to trailing stop.
|
|
Symbol=ASC|PurchaseDate=1/31/2023 12:00:00 AM|SellDate=3/16/2023 12:00:00 AM|Shares=22|PurchasePrice=14.65|CurrentPrice=15.1350001597404|Exposure=322.3|MarketValue=332.97000351429|GainLoss=10.6700035142898|GainLossPcnt=0.0331058129515663|PositionRiskDecimal=0.12|R=1.758|C=40.0715|P=22.7937997724687|InitialStopLimit=12.892|TrailingStopLimit=15.1350001597404|TotalRiskExposure=38.676|RMultiple=0.28R|Volatility=0.307035565376282|Volume=0|LastStopAdjustment=3/9/2023 12:00:00 AM|Comment=Closed due to trailing stop.
|
|
Symbol=WNC|PurchaseDate=1/27/2023 12:00:00 AM|SellDate=3/20/2023 12:00:00 AM|Shares=56|PurchasePrice=25.09|CurrentPrice=23.89|Exposure=1405.04|MarketValue=1337.84|GainLoss=-67.1999999999998|GainLossPcnt=-0.0478278198485451|PositionRiskDecimal=0.12|R=3.0108|C=171.3935|P=56.9262322306364|InitialStopLimit=22.0792|TrailingStopLimit=22.6194285154343|TotalRiskExposure=168.6048|RMultiple=-0.40R|Volatility=1.50524878501892|Volume=0|LastStopAdjustment=2/1/2023 12:00:00 AM|Comment=Closed due to end of simulation.
|
|
Symbol=MPC|PurchaseDate=1/30/2023 12:00:00 AM|SellDate=3/20/2023 12:00:00 AM|Shares=3|PurchasePrice=129.14|CurrentPrice=126.25|Exposure=387.42|MarketValue=378.75|GainLoss=-8.66999999999996|GainLossPcnt=-0.0223788136905683|PositionRiskDecimal=0.12|R=15.4968|C=59.4425|P=3.83579190542564|InitialStopLimit=113.6432|TrailingStopLimit=115.580286159515|TotalRiskExposure=46.4904|RMultiple=-0.19R|Volatility=3.06244540214539|Volume=0|LastStopAdjustment=3/6/2023 12:00:00 AM|Comment=Closed due to end of simulation.
|
|
Symbol=UFPT|PurchaseDate=3/8/2023 12:00:00 AM|SellDate=3/20/2023 12:00:00 AM|Shares=11|PurchasePrice=119.73|CurrentPrice=115.67|Exposure=1317.03|MarketValue=1272.37|GainLoss=-44.6599999999999|GainLossPcnt=-0.0339096300008351|PositionRiskDecimal=0.12|R=14.3676|C=158.3017|P=11.017964030179|InitialStopLimit=105.3624|TrailingStopLimit=105.3624|TotalRiskExposure=158.0436|RMultiple=-0.28R|Volatility=9.47459030151367|Volume=0|LastStopAdjustment=1/1/0001 12:00:00 AM|Comment=Closed due to end of simulation.
|
|
TotalCandidates=14
|
|
Symbol=EURN|AnalysisDate=11/17/2022 12:00:00 AM|EPSSlope=1.89999997615814|ProfitMarginSlope=0.524650573730469|PriceSlope=0.00321362542184221|Volatility=0.731772541999817|Volume=0|Violation=False|Slope=0.00321362542184221|Score=2.00818250874101|AnnualizedReturn=2.24753398007592|SharpeRatio=0.106060430980872|RSquared=0.893504848666705|BetaMonths=6|Beta=1.58826504722403
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
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
|
|
TotalStopLimits=6
|
|
Symbol=WNC|AnalysisDate=2/1/2023 12:00:00 AM|PreviousStop=22.0792|NewStop=22.6194285154343|CurrentPriceLow=25.25|CurrentPriceClose=26.18|PriceTrendIndicatorSlope=0.0855714380741119
|
|
Symbol=ASC|AnalysisDate=2/7/2023 12:00:00 AM|PreviousStop=12.892|NewStop=13.3078568577766|CurrentPriceLow=15.5|CurrentPriceClose=16.34|PriceTrendIndicatorSlope=0.088593989610672
|
|
Symbol=XOM|AnalysisDate=2/10/2023 12:00:00 AM|PreviousStop=101.7368|NewStop=105.318714294434|CurrentPriceLow=116.16|CurrentPriceClose=119.17|PriceTrendIndicatorSlope=0.182112693786621
|
|
Symbol=UNM|AnalysisDate=2/14/2023 12:00:00 AM|PreviousStop=37.268|NewStop=39.847999792099|CurrentPriceLow=42.48|CurrentPriceClose=42.64|PriceTrendIndicatorSlope=0.1322330981493
|
|
Symbol=MPC|AnalysisDate=3/6/2023 12:00:00 AM|PreviousStop=113.6432|NewStop=115.580286159515|CurrentPriceLow=130.64|CurrentPriceClose=131.92|PriceTrendIndicatorSlope=0.47990208864212
|
|
Symbol=ASC|AnalysisDate=3/9/2023 12:00:00 AM|PreviousStop=13.3078568577766|NewStop=15.1350001597404|CurrentPriceLow=17.74|CurrentPriceClose=17.75|PriceTrendIndicatorSlope=0.0933910012245178
|