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Model: Kalman-auto
HQ Backtest SPY vs IVV
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 enabled Long enabled Short 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
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Trade Log
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FB LN TW

Disclaimer: Backtested, simulated or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. There are numerous factors related to the stock market in general and to the implementation of any stock market timing program, which cannot be fully accounted for in the preparation of hypothetical performance results. The backtested results listed here do not take into consideration slippage, fees, taxes, or dividends and interest earned on cash positions. These factors would affect actual trading results. Simulated, backtested or hypothetical stock trading systems in general are also subject to the fact that they are designed with the benefit of hindsight. Backtested performance does not represent actual performance and should not be interpreted as an indication of such performance. No representation is being made that you will or is likely to achieve profits or losses similar to these being shown. This site provides impersonal educational stock trading information, and therefore, no consideration can or is made toward your financial circumstances. All material presented within is not to be regarded as investment advice, but for general informational purposes only.