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Model: Kalman-auto
HQ Backtest IEF vs TLT
Symbol Title Sector Exchange M.Cap.[M] Beta Float Avg.Price Avg.Volume Last volume
IEF iShares Barclays 7-10 Year Trasry Bnd Fd NASDAQ 8500 -0.13 82.84 102.96 3290000 3600000
TLT iShares Barclays 20+ Yr Treas.Bond (ETF) NASDAQ 6590 -0.23 54.79 120.71 10520000 6080000
Usage Target: 60.0 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 0.01 / 0.01
Initial Capital: 10000.00 Final Equity: 9367.70
Total net P/L: -632.30 Total ROI: -6.32 %
CAGR: -1.26 % Max. DD: 16.00 %
System Score: -0.000 Sharpe Ratio: -0.458
Start Date: 2014-01-02 End Date: 2019-02-28
Total days: 1883
Commissions: 1504.00 Comm.% P/L 172.54 %
Total Transactions: 1504 Log. Linearity: 1.223 %
Total enabled Long enabled Short IEF TLT
Total Profit/Loss 871.70 170.19 701.52 -1558.71 2430.41
Total Profit 8566.19 4143.86 4422.33 5300.59 14575.86
Total Loss 7694.48 3973.67 3720.81 6859.30 12145.44
Profit Factor 1.11 1.04 1.19 0.77 1.20
Trades 376 192 184 376 376
Winning Trades 237 117 120 156 224
Losing Trades 139 75 64 219 150
% Profitable 63.00 60.00 65.00 41.00 59.00
Profit/Loss Per Trade % 0.02 0.01 0.04 -0.04 0.06
Profit Per Trade % 0.36 0.35 0.37 0.34 0.65
Loss Per Trade % 0.55 0.53 0.57 0.31 0.80
Days In Trade 1086 610 476 1086 1086
Days In Trade (Avg. Per Trade) 2.89 3.18 2.59 2.89 2.89
% Days In Trade 57.67 32.40 25.28 57.67 57.67
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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.