Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
VCLT | Vanguard Long-Term Corporate Bond Index Fund ETF Shares | 0.0399 | 74.31 | 1921658 | |||
SPLB | SPDR Barclays Long Term Corporate Bond | 0 | 22.07 | 703379 |
Usage Target: | 50.0 | Sigma: | 1.50 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Ve: | 0.001 | Neutrality: | beta | ||
Margin Req. 1: | 10.0 | Margin Req. 2: | 10.0 | High Leverage | |
Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.00 / 0.00 |
Initial Capital: | 10000.00 | Final Equity: | 52306.19 |
Total net P/L: | 42306.19 | Total ROI: | 423.06 % |
CAGR: | 79.53 % | Max. DD: | 6.63 % |
System Score: | 50.737 | Sharpe Ratio: | 6.933 |
Start Date: | 2018-01-02 | End Date: | 2020-10-30 |
Total days: | 1032 | ||
Commissions: | 7783.97 | Comm.% P/L | 15.54 % |
Total Transactions: | 604 | Log. Linearity: | 86.085 % |
Total | Long | Short | VCLT | SPLB | |
---|---|---|---|---|---|
Total Profit/Loss | 50090.16 | 23497.89 | 26592.27 | 22543.85 | 27546.31 |
Total Profit | 50183.60 | 23560.49 | 26623.11 | 83133.18 | 84158.19 |
Total Loss | 93.44 | 62.60 | 30.84 | 60589.32 | 56611.88 |
Profit Factor | 537.07 | 376.37 | 863.27 | 1.37 | 1.49 |
Trades | 151 | 73 | 78 | 151 | 151 |
Winning Trades | 143 | 69 | 74 | 94 | 80 |
Losing Trades | 5 | 3 | 2 | 54 | 67 |
% Profitable | 94.00 | 94.00 | 94.00 | 62.00 | 52.00 |
Profit/Loss Per Trade % | 1.33 | 1.30 | 1.35 | 0.07 | 0.69 |
Profit Per Trade % | 1.41 | 1.38 | 1.43 | 3.41 | 4.25 |
Loss Per Trade % | 0.07 | 0.08 | 0.04 | 4.59 | 3.26 |
Days In Trade | 520 | 242 | 278 | 520 | 520 |
Days In Trade (Avg. Per Trade) | 3.44 | 3.32 | 3.56 | 3.44 | 3.44 |
% Days In Trade | 50.39 | 23.45 | 26.94 | 50.39 | 50.39 |