AOS
(-5.55)
ABNB
(+3.40)
AIG
(+7.29)
AMP
(+8.16)
APH
(+5.34)
AAPL
(+1.07)
ATO
(+3.00)
BX
(-2.17)
BR
(-6.83)
KMX
(-4.60)
CRL
(+9.02)
CB
(+8.13)
CTAS
(+4.11)
CFG
(-1.32)
FANG
(-5.78)
EIX
(+0.79)
ENPH
(-5.18)
EOG
(+4.78)
EFX
(+7.16)
EXPE
(+4.78)
F
(-3.99)
GM
(-6.68)
HD
(-0.31)
IEX
(-4.26)
IFF
(-7.50)
INVH
(-5.32)
LDOS
(+8.74)
LMT
(+2.05)
LULU
(+2.90)
MRO
(+3.20)
MAR
(-3.45)
MSFT
(+0.57)
NTRS
(-8.20)
ODFL
(+8.69)
OMC
(-1.31)
PAYX
(+8.44)
PNR
(-6.04)
RF
(-0.74)
RVTY
(+1.37)
SLB
(+6.10)
SO
(+5.72)
TTWO
(+6.55)
TXN
(+2.29)
TXT
(-4.50)
TDG
(-8.18)
TYL
(-2.19)
URI
(-0.28)
WFC
(-7.72)
WELL
(-8.80)
WRK
(+8.83)
JPM
Historical Data
(01/2010 - 12/2011)
| Date | Open | High | Low | Close | Adj Close | Volume |
|---|---|---|---|---|---|---|
| 2010-01-04 | 41.79 | 42.99 | 41.67 | 42.85 | 29.67 | 35,460,500 |
| 2010-01-05 | 42.79 | 43.84 | 42.78 | 43.68 | 30.24 | 41,208,300 |
| 2010-01-06 | 43.45 | 44.09 | 43.31 | 43.92 | 30.41 | 27,729,000 |
| 2010-01-07 | 43.79 | 45.12 | 43.61 | 44.79 | 31.01 | 44,864,700 |
| 2010-01-08 | 44.37 | 44.70 | 44.08 | 44.68 | 30.94 | 33,110,100 |
| 2010-01-11 | 45.12 | 45.19 | 44.31 | 44.53 | 30.83 | 31,878,700 |
| 2010-01-12 | 43.99 | 44.15 | 42.94 | 43.49 | 30.11 | 47,109,600 |
| 2010-01-13 | 43.55 | 44.53 | 42.87 | 44.25 | 30.64 | 39,622,000 |
| 2010-01-14 | 44.20 | 44.79 | 44.10 | 44.69 | 30.94 | 37,938,300 |
| 2010-01-15 | 44.30 | 44.43 | 43.34 | 43.68 | 30.24 | 69,738,500 |
| ——— | ——— | ——— | ——— | ——— | ——— | ——— |
| 2011-12-16 | 32.16 | 32.60 | 31.81 | 31.89 | 22.64 | 52,596,800 |
| 2011-12-19 | 31.87 | 31.90 | 30.42 | 30.70 | 21.80 | 47,388,000 |
| 2011-12-20 | 31.40 | 32.44 | 31.24 | 32.21 | 22.87 | 49,091,600 |
| 2011-12-21 | 32.00 | 32.41 | 31.90 | 32.32 | 22.95 | 30,893,000 |
| 2011-12-22 | 32.69 | 33.55 | 32.54 | 33.45 | 23.75 | 35,543,200 |
| 2011-12-23 | 33.62 | 33.70 | 33.13 | 33.57 | 23.84 | 21,958,800 |
| 2011-12-27 | 33.22 | 33.69 | 33.03 | 33.03 | 23.45 | 16,891,600 |
| 2011-12-28 | 32.99 | 33.09 | 32.57 | 32.65 | 23.18 | 19,242,700 |
| 2011-12-29 | 32.71 | 33.52 | 32.71 | 33.42 | 23.73 | 19,792,000 |
| 2011-12-30 | 33.11 | 33.42 | 33.06 | 33.25 | 23.61 | 18,196,900 |
Indicator Values
| Date | BBands | PSRATIO | Momentum | RSI | Signal |
|---|---|---|---|---|---|
| 2010-01-04 | 0.432 | 1.022 | -0.04 | 62.99 | 0.0 |
| 2010-01-05 | 0.553 | 1.042 | -0.044 | 62.907 | 0.0 |
| 2010-01-06 | 0.586 | 1.047 | -0.029 | 72.523 | 0.0 |
| 2010-01-07 | 0.711 | 1.066 | 0.022 | 73.737 | 0.0 |
| 2010-01-08 | 0.692 | 1.062 | 0.018 | 85.693 | 0.0 |
| ——— | ——— | ——— | ——— | ——— | |
| 2011-12-23 | 0.678 | 1.055 | 0.062 | 51.158 | 0.0 |
| 2011-12-27 | 0.613 | 1.038 | 0.036 | 49.947 | 0.0 |
| 2011-12-28 | 0.564 | 1.028 | 0.052 | 44.442 | 0.0 |
| 2011-12-29 | 0.674 | 1.054 | 0.017 | 57.147 | 0.0 |
| 2011-12-30 | 0.654 | 1.048 | 0.031 | 51.153 | 0.0 |
Training
Stock Price
Bollinger Bands %
PSRATIO
Momentum
RSI
Starting Value:
$100,000
Trades
| Date | JPM | Cash |
|---|---|---|
| 2010-02-09 | 1000 | -38390 |
| 2010-04-06 | -2000 | 91680 |
| 2010-05-21 | 2000 | -80100 |
| 2010-09-16 | -2000 | 81980 |
| 2011-08-09 | 2000 | -72800 |
Portfolio Values
| Date | Value |
|---|---|
| 2010-01-04 | $100000 |
| 2010-01-05 | $100000 |
| 2010-01-06 | $100000 |
| 2010-01-07 | $100000 |
| 2010-01-08 | $100000 |
| — | — |
| 2011-12-23 | $115940 |
| 2011-12-27 | $115400 |
| 2011-12-28 | $115020 |
| 2011-12-29 | $115790 |
| 2011-12-30 | $115620 |
Metrics
| Sharpe Ratio | Volatility | Average Daily Return | Cumulative Return |
|---|---|---|---|
| 0.1913 | 0.0388 | 0.0005 | -0.2629 |