Model: | Kalman |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
EWA | iShares MSCI Australia ETF | 1573 | 0.0241 | 24 | 1699668 | ||
EWC | iShares MSCI Canada ETF | 0.0156 | 41.52 | 2459010 |
Entry Threshold: | 1.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 30 | Entry Mode: | Uptick | Reversals: | |
δ: | 0.0001 | Ve: | 0.001 | Neutrality: | beta |
Version: | 4 | Model Version: | n/a | Bid-Ask 0.00 / 0.00 |
Initial Capital: | 10000.00 | Final Equity: | 27365.93 |
Total net P/L: | 17365.93 | Total ROI: | 173.66 % |
CAGR: | 18.42 % | Max. DD: | 11.11 % |
MAPY: | 13.52 % | Sharpe Ratio: | 3.500 |
Start Date: | 2006-04-25 | End Date: | 2012-04-06 |
Total days: | 2173 | Leverage: | 1:2 |
Commissions: | 4499.34 | Comm.% P/L | 20.58 % |
Total Transactions: | 1148 | Log. Linearity: | 91.428 % |
Total | ![]() |
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EWA | EWC | |
---|---|---|---|---|---|
Total Profit/Loss | 21865.27 | 10036.26 | 11829.01 | 16917.37 | 4947.90 |
Total Profit | 39122.66 | 18489.30 | 20633.36 | 59333.39 | 55580.76 |
Total Loss | 17257.39 | 8453.04 | 8804.35 | 42416.02 | 50632.86 |
Profit Factor | 2.27 | 2.19 | 2.34 | 1.40 | 1.10 |
Trades | 287 | 140 | 147 | 287 | 287 |
Winning Trades | 211 | 98 | 113 | 163 | 148 |
Losing Trades | 75 | 42 | 33 | 121 | 133 |
% Profitable | 73.00 | 70.00 | 76.00 | 56.00 | 51.00 |
Profit/Loss Per Trade % | 0.44 | 0.39 | 0.48 | 0.34 | 0.04 |
Profit Per Trade % | 1.05 | 1.06 | 1.04 | 1.98 | 1.90 |
Loss Per Trade % | 1.25 | 1.13 | 1.39 | 1.79 | 1.96 |
Days In Trade | 734 | 389 | 345 | 734 | 734 |
Days In Trade (Avg. Per Trade) | 2.56 | 2.78 | 2.35 | 2.56 | 2.56 |
% Days In Trade | 33.78 | 17.90 | 15.88 | 33.78 | 33.78 |