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: | 14498.37 |
Total net P/L: | 4498.37 | Total ROI: | 44.98 % |
CAGR: | 37.99 % | Max. DD: | 7.53 % |
System Score: | 25.023 | Sharpe Ratio: | 2.705 |
Start Date: | 2016-01-04 | End Date: | 2017-02-28 |
Total days: | 421 | ||
Commissions: | 304.00 | Comm.% P/L | 6.33 % |
Total Transactions: | 304 | Log. Linearity: | 87.004 % |
Total | Long | Short | CACX | DAXX | |
---|---|---|---|---|---|
Total Profit/Loss | 4802.37 | 2006.62 | 2795.75 | 4811.13 | -8.76 |
Total Profit | 7307.05 | 3347.94 | 3959.11 | 5765.88 | 4132.61 |
Total Loss | 2504.68 | 1341.32 | 1163.36 | 954.75 | 4141.37 |
Profit Factor | 2.92 | 2.50 | 3.40 | 6.04 | 1.00 |
Trades | 76 | 36 | 40 | 76 | 76 |
Winning Trades | 59 | 28 | 31 | 30 | 39 |
Losing Trades | 17 | 8 | 9 | 46 | 37 |
% Profitable | 77.00 | 77.00 | 77.00 | 39.00 | 51.00 |
Profit/Loss Per Trade % | 0.52 | 0.47 | 0.57 | 0.53 | -0.02 |
Profit Per Trade % | 1.01 | 0.98 | 1.03 | 1.61 | 0.85 |
Loss Per Trade % | 1.14 | 1.28 | 1.00 | 0.16 | 0.91 |
Days In Trade | 347 | 164 | 183 | 347 | 347 |
Days In Trade (Avg. Per Trade) | 4.57 | 4.56 | 4.58 | 4.57 | 4.57 |
% Days In Trade | 82.42 | 38.95 | 43.47 | 82.42 | 82.42 |