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Model: Kalman-auto
HQ Backtest VCLT vs SPLB
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 enabled Long enabled 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
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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.