Model: | Kalman-grid-v2 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SPY | SPDR S&P 500 ETF Trust | 0.0114 | 505.65 | 77217642 | |||
QQQ | Invesco QQQ Trust | 0.0043 | 425.07 | 48266487 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Ve: | auto | Neutrality: | beta | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.5 | Bid-Ask 0.02 / 0.02 |
Initial Capital: | 10000.00 | Final Equity: | 8668.07 |
Total net P/L: | -1331.93 | Total ROI: | -13.32 % |
CAGR: | -2.71 % | Max. DD: | 17.71 % |
System Score: | -0.952 | Sharpe Ratio: | -1.348 |
Start Date: | 2012-01-02 | End Date: | 2017-03-17 |
Total days: | 1901 | ||
Commissions: | 520.00 | Comm.% P/L | 64.04 % |
Total Transactions: | 520 | Log. Linearity: | 70.579 % |
Total | Long | Short | SPY | QQQ | |
---|---|---|---|---|---|
Total Profit/Loss | -811.93 | -1963.21 | 1151.27 | -873.96 | 62.03 |
Total Profit | 3397.30 | 1402.62 | 1994.68 | 7166.37 | 8640.89 |
Total Loss | 4209.23 | 3365.83 | 843.40 | 8040.33 | 8578.86 |
Profit Factor | 0.81 | 0.42 | 2.37 | 0.89 | 1.01 |
Trades | 130 | 68 | 62 | 130 | 130 |
Winning Trades | 78 | 32 | 46 | 57 | 74 |
Losing Trades | 52 | 36 | 16 | 72 | 56 |
% Profitable | 60.00 | 47.00 | 74.00 | 43.00 | 56.00 |
Profit/Loss Per Trade % | -0.07 | -0.31 | 0.20 | -0.08 | -0.01 |
Profit Per Trade % | 0.47 | 0.48 | 0.47 | 1.34 | 1.25 |
Loss Per Trade % | 0.86 | 1.00 | 0.55 | 1.19 | 1.62 |
Days In Trade | 1131 | 737 | 394 | 1131 | 1131 |
Days In Trade (Avg. Per Trade) | 8.70 | 10.84 | 6.35 | 8.70 | 8.70 |
% Days In Trade | 59.50 | 38.77 | 20.73 | 59.50 | 59.50 |