Model: | Kalman-grid-v2 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
QQQ | Invesco QQQ Trust | 0.0042 | 414.65 | 48292613 | |||
IWM | iShares Russell 2000 ETF | 0.0105 | 193.14 | 35503712 |
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 |