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 0.10 / 0.10 |
Initial Capital: | 10000.00 | Final Equity: | 12362.62 |
Total net P/L: | 2362.62 | Total ROI: | 23.63 % |
CAGR: | 7.79 % | Max. DD: | 7.29 % |
System Score: | 0.720 | Sharpe Ratio: | 1.100 |
Start Date: | 2018-01-02 | End Date: | 2020-10-30 |
Total days: | 1032 | ||
Commissions: | 452.21 | Comm.% P/L | 16.07 % |
Total Transactions: | 72 | Log. Linearity: | 45.211 % |
Total | Long | Short | VCLT | SPLB | |
---|---|---|---|---|---|
Total Profit/Loss | 2814.83 | 1448.21 | 1366.62 | -4156.14 | 6970.97 |
Total Profit | 3247.02 | 1779.59 | 1467.43 | 7787.86 | 13907.54 |
Total Loss | 432.19 | 331.38 | 100.81 | 11944.00 | 6936.57 |
Profit Factor | 7.51 | 5.37 | 14.56 | 0.65 | 2.00 |
Trades | 18 | 9 | 9 | 18 | 18 |
Winning Trades | 12 | 5 | 7 | 7 | 11 |
Losing Trades | 6 | 4 | 2 | 11 | 7 |
% Profitable | 66.00 | 55.00 | 77.00 | 38.00 | 61.00 |
Profit/Loss Per Trade % | 1.41 | 1.45 | 1.37 | -3.01 | 2.50 |
Profit Per Trade % | 2.48 | 3.32 | 1.88 | 10.27 | 10.96 |
Loss Per Trade % | 0.68 | 0.82 | 0.40 | 9.43 | 9.22 |
Days In Trade | 170 | 93 | 77 | 170 | 170 |
Days In Trade (Avg. Per Trade) | 9.44 | 10.33 | 8.56 | 9.44 | 9.44 |
% Days In Trade | 16.47 | 9.01 | 7.46 | 16.47 | 16.47 |