Model: | Kalman-grid-v2 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
RQI | Cohen & Steers Quality Income Realty Fund Inc | Financial Services | Asset Management | 2145 | 0.1049 | 11.88 | 364970 |
VNQ | Vanguard Real Estate Index Fund ETF Shares | 40713 | 0.0383 | 87.01 | 3776967 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 50 | Entry Mode: | Simple | Reversals: | |
Ve: | auto | Neutrality: | dollar | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.5 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 5000.00 | Final Equity: | 11135.18 |
Total net P/L: | 6135.18 | Total ROI: | 122.70 % |
CAGR: | 17.05 % | Max. DD: | 15.58 % |
System Score: | 13.562 | Sharpe Ratio: | 2.953 |
Start Date: | 2012-01-02 | End Date: | 2017-01-31 |
Total days: | 1856 | ||
Commissions: | 2659.81 | Comm.% P/L | 30.24 % |
Total Transactions: | 1256 | Log. Linearity: | 92.649 % |
Total | ![]() |
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RQI | VNQ | |
---|---|---|---|---|---|
Total Profit/Loss | 8794.99 | 4491.45 | 4303.54 | 6146.93 | 2648.06 |
Total Profit | 13864.64 | 6891.22 | 6973.42 | 19751.10 | 15104.20 |
Total Loss | 5069.65 | 2399.77 | 2669.87 | 13604.17 | 12456.14 |
Profit Factor | 2.73 | 2.87 | 2.61 | 1.45 | 1.21 |
Trades | 314 | 151 | 163 | 314 | 314 |
Winning Trades | 248 | 122 | 126 | 191 | 168 |
Losing Trades | 66 | 29 | 37 | 123 | 144 |
% Profitable | 78.00 | 80.00 | 77.00 | 60.00 | 53.00 |
Profit/Loss Per Trade % | 0.37 | 0.40 | 0.35 | 0.25 | 0.10 |
Profit Per Trade % | 0.75 | 0.77 | 0.73 | 1.38 | 1.17 |
Loss Per Trade % | 1.00 | 1.10 | 0.93 | 1.44 | 1.13 |
Days In Trade | 1539 | 787 | 752 | 1539 | 1539 |
Days In Trade (Avg. Per Trade) | 4.90 | 5.21 | 4.61 | 4.90 | 4.90 |
% Days In Trade | 82.92 | 42.40 | 40.52 | 82.92 | 82.92 |