| Model: | Kalman-grid-v2 |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| QQQ | Invesco QQQ Trust | 0.0029 | 617.05 | 52255621 | |||
| IWM | iShares Russell 2000 ETF | 0.0081 | 250.79 | 37614767 |
| Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
| Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
| Ve: | auto | Neutrality: | dollar | ||
| Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
| Version: | 5 | Model Version: | 2016.5 | Bid-Ask 0.01 / 0.01 | |
| Initial Capital: | 10000.00 | Final Equity: | 6299.96 |
| Total net P/L: | -3700.04 | Total ROI: | -37.00 % |
| CAGR: | -7.95 % | Max. DD: | 44.18 % |
| System Score: | -3.981 | Sharpe Ratio: | -1.978 |
| Start Date: | 2015-01-02 | End Date: | 2020-07-31 |
| Total days: | 2037 | ||
| Commissions: | 572.00 | Comm.% P/L | 18.29 % |
| Total Transactions: | 572 | Log. Linearity: | 79.424 % |
| Total | Long |
Short |
QQQ | IWM | |
|---|---|---|---|---|---|
| Total Profit/Loss | -3128.04 | -59.80 | -3068.24 | -1156.60 | -1971.44 |
| Total Profit | 6929.98 | 3199.23 | 3730.75 | 9284.08 | 11544.74 |
| Total Loss | 10058.02 | 3259.03 | 6798.99 | 10440.68 | 13516.18 |
| Profit Factor | 0.69 | 0.98 | 0.55 | 0.89 | 0.85 |
| Trades | 143 | 60 | 83 | 143 | 143 |
| Winning Trades | 90 | 43 | 47 | 68 | 78 |
| Losing Trades | 52 | 17 | 35 | 74 | 65 |
| % Profitable | 62.00 | 71.00 | 56.00 | 47.00 | 54.00 |
| Profit/Loss Per Trade % | -0.28 | -0.02 | -0.47 | -0.11 | -0.24 |
| Profit Per Trade % | 0.84 | 0.79 | 0.88 | 1.55 | 1.65 |
| Loss Per Trade % | 2.12 | 1.99 | 2.19 | 1.58 | 2.30 |
| Days In Trade | 1096 | 343 | 753 | 1096 | 1096 |
| Days In Trade (Avg. Per Trade) | 7.66 | 5.72 | 9.07 | 7.66 | 7.66 |
| % Days In Trade | 53.80 | 16.84 | 36.97 | 53.80 | 53.80 |