Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
V | Visa Inc. Class A | Financial Services | Credit Services | 646546 | 0.007 | 335.17 | 6946926 |
MA | Mastercard Inc | Financial Services | Credit Services | 486378 | 0.0057 | 533.48 | 2653982 |
Usage Target: | 60.0 | Sigma: | 1.50 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Ve: | 0.001 | Neutrality: | dollar | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 21591.78 |
Total net P/L: | 11591.78 | Total ROI: | 115.92 % |
CAGR: | 14.11 % | Max. DD: | 25.12 % |
System Score: | 9.665 | Sharpe Ratio: | 2.504 |
Start Date: | 2011-01-03 | End Date: | 2016-10-31 |
Total days: | 2128 | ||
Commissions: | 3454.28 | Comm.% P/L | 22.96 % |
Total Transactions: | 2020 | Log. Linearity: | 88.143 % |
Total | ![]() |
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V | MA | |
---|---|---|---|---|---|
Total Profit/Loss | 15046.06 | 6360.23 | 8685.83 | 14208.93 | 837.13 |
Total Profit | 41796.66 | 21599.03 | 20197.63 | 67122.80 | 60217.83 |
Total Loss | 26750.60 | 15238.80 | 11511.81 | 52913.87 | 59380.71 |
Profit Factor | 1.56 | 1.42 | 1.75 | 1.27 | 1.01 |
Trades | 505 | 256 | 249 | 505 | 505 |
Winning Trades | 359 | 178 | 181 | 273 | 262 |
Losing Trades | 146 | 78 | 68 | 232 | 242 |
% Profitable | 71.00 | 69.00 | 72.00 | 54.00 | 51.00 |
Profit/Loss Per Trade % | 0.20 | 0.16 | 0.23 | 0.12 | 0.04 |
Profit Per Trade % | 0.73 | 0.76 | 0.71 | 1.46 | 1.47 |
Loss Per Trade % | 1.08 | 1.15 | 1.00 | 1.41 | 1.45 |
Days In Trade | 1381 | 696 | 685 | 1381 | 1381 |
Days In Trade (Avg. Per Trade) | 2.73 | 2.72 | 2.75 | 2.73 | 2.73 |
% Days In Trade | 64.90 | 32.71 | 32.19 | 64.90 | 64.90 |