Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SPY | SPDR S&P 500 ETF Trust | 0.0096 | 594.2 | 58110102 | |||
IVV | iShares Core S&P 500 ETF | 0.0096 | 597.04 | 6336811 |
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: | 2016.2 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 20000.00 | Final Equity: | 25431.01 |
Total net P/L: | 5431.01 | Total ROI: | 27.16 % |
CAGR: | 4.04 % | Max. DD: | 0.60 % |
System Score: | 3.773 | Sharpe Ratio: | 7.256 |
Start Date: | 2010-01-04 | End Date: | 2016-01-29 |
Total days: | 2216 | ||
Commissions: | 1356.00 | Comm.% P/L | 19.98 % |
Total Transactions: | 1356 | Log. Linearity: | 97.775 % |
Total | ![]() |
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SPY | IVV | |
---|---|---|---|---|---|
Total Profit/Loss | 6787.01 | 3763.43 | 3023.58 | -1212.84 | 7999.85 |
Total Profit | 6905.27 | 3798.90 | 3106.37 | 41186.40 | 45958.46 |
Total Loss | 118.26 | 35.47 | 82.79 | 42399.23 | 37958.61 |
Profit Factor | 58.39 | 107.10 | 37.52 | 0.97 | 1.21 |
Trades | 339 | 172 | 167 | 339 | 339 |
Winning Trades | 314 | 162 | 152 | 162 | 192 |
Losing Trades | 24 | 10 | 14 | 176 | 147 |
% Profitable | 92.00 | 94.00 | 91.00 | 47.00 | 56.00 |
Profit/Loss Per Trade % | 0.09 | 0.10 | 0.08 | -0.04 | 0.10 |
Profit Per Trade % | 0.10 | 0.10 | 0.09 | 1.10 | 1.05 |
Loss Per Trade % | 0.02 | 0.02 | 0.03 | 1.06 | 1.11 |
Days In Trade | 1228 | 564 | 664 | 1228 | 1228 |
Days In Trade (Avg. Per Trade) | 3.62 | 3.28 | 3.98 | 3.62 | 3.62 |
% Days In Trade | 55.42 | 25.45 | 29.96 | 55.42 | 55.42 |