Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
GLD | SPDR® Gold Shares | 213.13 | 7518702 | ||||
GDX | VanEck Gold Miners ETF | 0 | 33.58 | 23368670 |
Usage Target: | 60.0 | Sigma: | 1.50 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Inverted: | GLD | Transformed: | n/a | A=1000.0 B=0.1 | |
Ve: | 0.001 | Neutrality: | dollar | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 10745.42 |
Total net P/L: | 745.42 | Total ROI: | 7.45 % |
CAGR: | 13.18 % | Max. DD: | 26.81 % |
System Score: | 0.736 | Sharpe Ratio: | 0.381 |
Start Date: | 2022-06-01 | End Date: | 2022-12-30 |
Total days: | 212 | ||
Commissions: | 277.48 | Comm.% P/L | 27.13 % |
Total Transactions: | 180 | Log. Linearity: | 38.228 % |
Total | Long | Short | GLD | GDX | |
---|---|---|---|---|---|
Total Profit/Loss | 1022.90 | -374.43 | 1397.33 | 251.98 | 770.92 |
Total Profit | 9127.15 | 4190.35 | 4936.80 | 2817.92 | 6489.50 |
Total Loss | 8104.25 | 4564.78 | 3539.47 | 2565.94 | 5718.58 |
Profit Factor | 1.13 | 0.92 | 1.39 | 1.10 | 1.13 |
Trades | 45 | 20 | 25 | 45 | 45 |
Winning Trades | 25 | 12 | 13 | 25 | 24 |
Losing Trades | 20 | 8 | 12 | 20 | 21 |
% Profitable | 55.00 | 60.00 | 52.00 | 55.00 | 53.00 |
Profit/Loss Per Trade % | 0.22 | -0.26 | 0.60 | 0.07 | 0.19 |
Profit Per Trade % | 3.37 | 3.15 | 3.58 | 1.04 | 2.51 |
Loss Per Trade % | 3.48 | 5.03 | 2.47 | 1.12 | 2.34 |
Days In Trade | 132 | 71 | 61 | 132 | 132 |
Days In Trade (Avg. Per Trade) | 2.93 | 3.55 | 2.44 | 2.93 | 2.93 |
% Days In Trade | 62.26 | 33.49 | 28.77 | 62.26 | 62.26 |