Model: | Kalman-grid-v2 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | 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: | 10000.00 | Final Equity: | 30082.99 |
Total net P/L: | 20082.99 | Total ROI: | 200.83 % |
CAGR: | 70.31 % | Max. DD: | 9.32 % |
System Score: | 56.255 | Sharpe Ratio: | 4.459 |
Start Date: | 2015-02-04 | End Date: | 2017-02-28 |
Total days: | 755 | ||
Commissions: | 624.00 | Comm.% P/L | 3.01 % |
Total Transactions: | 624 | Log. Linearity: | 92.836 % |
Total | Long | Short | CACX | DAXX | |
---|---|---|---|---|---|
Total Profit/Loss | 20706.99 | 8902.74 | 11804.25 | 16536.42 | 4170.57 |
Total Profit | 29680.90 | 13236.82 | 16444.08 | 20652.59 | 19413.01 |
Total Loss | 8973.91 | 4334.08 | 4639.83 | 4116.17 | 15242.44 |
Profit Factor | 3.31 | 3.05 | 3.54 | 5.02 | 1.27 |
Trades | 156 | 76 | 80 | 156 | 156 |
Winning Trades | 121 | 61 | 60 | 58 | 85 |
Losing Trades | 35 | 15 | 20 | 98 | 71 |
% Profitable | 77.00 | 80.00 | 75.00 | 37.00 | 54.00 |
Profit/Loss Per Trade % | 0.73 | 0.70 | 0.77 | 0.56 | 0.17 |
Profit Per Trade % | 1.31 | 1.19 | 1.43 | 1.91 | 1.23 |
Loss Per Trade % | 1.23 | 1.29 | 1.18 | 0.23 | 1.08 |
Days In Trade | 612 | 279 | 333 | 612 | 612 |
Days In Trade (Avg. Per Trade) | 3.92 | 3.67 | 4.16 | 3.92 | 3.92 |
% Days In Trade | 81.06 | 36.95 | 44.11 | 81.06 | 81.06 |