Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
DFS | Discover Financial Services | Financial Services | Credit Services | 32383 | 0.0217 | 129.24 | 2318157 |
COF | Capital One Financial Corporation | Financial Services | Credit Services | 56260 | 0.0162 | 147.9 | 2530922 |
Usage Target: | 60.0 | Sigma: | 1.50 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Inverted: | COF | Transformed: | DFS | A=1000.0 B=0.1 | |
Ve: | 0.001 | Neutrality: | dollar | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 2000.00 | Final Equity: | 1640.90 |
Total net P/L: | -359.10 | Total ROI: | -17.95 % |
CAGR: | -16.05 % | Max. DD: | 34.80 % |
System Score: | -1.928 | Sharpe Ratio: | -0.359 |
Start Date: | 2018-01-02 | End Date: | 2019-02-19 |
Total days: | 413 | ||
Commissions: | 344.00 | Comm.% P/L | 2278.15 % |
Total Transactions: | 344 | Log. Linearity: | 49.345 % |
Total | Long | Short | DFS | COF | |
---|---|---|---|---|---|
Total Profit/Loss | -15.10 | -177.06 | 161.96 | 112.45 | -127.55 |
Total Profit | 2026.78 | 1007.02 | 1019.76 | 1081.61 | 977.74 |
Total Loss | 2041.88 | 1184.08 | 857.80 | 969.16 | 1105.29 |
Profit Factor | 0.99 | 0.85 | 1.19 | 1.12 | 0.88 |
Trades | 86 | 45 | 41 | 86 | 86 |
Winning Trades | 27 | 13 | 14 | 31 | 28 |
Losing Trades | 59 | 32 | 27 | 55 | 55 |
% Profitable | 31.00 | 28.00 | 34.00 | 36.00 | 32.00 |
Profit/Loss Per Trade % | -0.01 | -0.22 | 0.23 | 0.09 | -0.05 |
Profit Per Trade % | 4.26 | 4.34 | 4.19 | 1.99 | 2.00 |
Loss Per Trade % | 1.85 | 1.94 | 1.75 | 0.95 | 1.08 |
Days In Trade | 256 | 137 | 119 | 256 | 256 |
Days In Trade (Avg. Per Trade) | 2.98 | 3.04 | 2.90 | 2.98 | 2.98 |
% Days In Trade | 61.99 | 33.17 | 28.81 | 61.99 | 61.99 |