| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| ONEQ | Fidelity® Nasdaq Composite Index® ETF | 0.0036 | 90.66 | 318154 | |||
| QQEW | First Trust NASDAQ-100 Equal Weighted Index Fund | 0.0061 | 140.32 | 72431 |
| Usage Target: | 50.0 | Sigma: | 1.50 | ||
| Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
| Ve: | 0.001 | Neutrality: | dollar | ||
| Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
| Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.10 / 0.10 | |
| Initial Capital: | 10000.00 | Final Equity: | 8210.22 |
| Total net P/L: | -1789.78 | Total ROI: | -17.90 % |
| CAGR: | -5.02 % | Max. DD: | 17.97 % |
| System Score: | -4.057 | Sharpe Ratio: | -3.679 |
| Start Date: | 2015-01-02 | End Date: | 2018-10-31 |
| Total days: | 1398 | ||
| Commissions: | 541.77 | Comm.% P/L | 43.41 % |
| Total Transactions: | 520 | Log. Linearity: | 93.156 % |
| Total | Long |
Short |
ONEQ | QQEW | |
|---|---|---|---|---|---|
| Total Profit/Loss | -1248.01 | -413.88 | -834.13 | 1855.68 | -3103.70 |
| Total Profit | 1183.50 | 511.86 | 671.63 | 7771.85 | 5201.01 |
| Total Loss | 2431.51 | 925.75 | 1505.76 | 5916.17 | 8304.70 |
| Profit Factor | 0.49 | 0.55 | 0.45 | 1.31 | 0.63 |
| Trades | 130 | 59 | 71 | 130 | 130 |
| Winning Trades | 55 | 27 | 28 | 70 | 59 |
| Losing Trades | 75 | 32 | 43 | 60 | 69 |
| % Profitable | 42.00 | 45.00 | 39.00 | 53.00 | 45.00 |
| Profit/Loss Per Trade % | -0.11 | -0.08 | -0.13 | 0.14 | -0.27 |
| Profit Per Trade % | 0.23 | 0.20 | 0.25 | 1.18 | 0.94 |
| Loss Per Trade % | 0.35 | 0.31 | 0.38 | 1.05 | 1.28 |
| Days In Trade | 547 | 239 | 308 | 547 | 547 |
| Days In Trade (Avg. Per Trade) | 4.21 | 4.05 | 4.34 | 4.21 | 4.21 |
| % Days In Trade | 39.13 | 17.10 | 22.03 | 39.13 | 39.13 |