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Model: Kalman
HQ Backtest PFE vs MRK
Symbol Title Sector Exchange M.Cap.[M] Beta Float Avg.Price Avg.Volume Last volume
PFE Pfizer Inc. Healthcare NYSE 218950 0.89 5952.76 36.35 26870000 32380000
MRK Merck Co., Inc. Healthcare NYSE 150100 0.82 2694.84 57.03 13110000 21000000
Warning: This model is provided for education purposes only. Use Kalman Grid model to trade based on Kalman filters. ×
Entry Threshold: 1.50 Exit Threshold: 0.50
Max Duration: 60 Entry Mode: Uptick Reversals:
δ: 0.00001 Ve: 1 Neutrality: beta
Aux StdDev Per: 0 Unstable Period: 20
Margin Req. 1: 100.0 Margin Req. 2: 100.0
Version: 5 Model Version: 2014.1 Bid-Ask 0.00 / 0.00
Initial Capital: 10000.00 Final Equity: 13119.20
Total net P/L: 3119.20 Total ROI: 31.19 %
CAGR: 2.11 % Max. DD: 14.71 %
System Score: 0.453 Sharpe Ratio: 1.185
Start Date: 2006-01-02 End Date: 2018-12-28
Total days: 4743
Commissions: 466.90 Comm.% P/L 13.02 %
Total Transactions: 412 Log. Linearity: 59.863 %
Total enabled Long enabled Short PFE MRK
Total Profit/Loss 3586.10 2666.95 919.15 -1114.76 4700.86
Total Profit 11820.73 6041.98 5778.75 9210.94 14665.94
Total Loss 8234.63 3375.03 4859.60 10325.70 9965.08
Profit Factor 1.44 1.79 1.19 0.89 1.47
Trades 103 59 44 103 103
Winning Trades 70 39 31 58 62
Losing Trades 33 20 13 44 41
% Profitable 67.00 66.00 70.00 56.00 60.00
Profit/Loss Per Trade % 0.30 0.39 0.18 -0.10 0.35
Profit Per Trade % 1.43 1.33 1.54 1.30 1.98
Loss Per Trade % 2.00 1.41 2.93 1.87 2.00
Days In Trade 1817 1021 796 1817 1817
Days In Trade (Avg. Per Trade) 17.64 17.31 18.09 17.64 17.64
% Days In Trade 38.31 21.53 16.78 38.31 38.31
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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.