Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
FISI | Financial Institutions Inc | Financial Services | Banks - Regional | 287 | 0.0645 | 18.82 | 49241 |
UBSI | United Bankshares Inc | Financial Services | Banks - Regional | 4830 | 0.0418 | 35.79 | 785841 |
Usage Target: | 60.0 | Sigma: | 1.50 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Ve: | 0.001 | Neutrality: | beta | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.02 / 0.02 |
Initial Capital: | 5000.00 | Final Equity: | 3616.93 |
Total net P/L: | -1383.07 | Total ROI: | -27.66 % |
CAGR: | -5.64 % | Max. DD: | 52.59 % |
System Score: | -0.015 | Sharpe Ratio: | -0.705 |
Start Date: | 2015-01-02 | End Date: | 2020-07-31 |
Total days: | 2037 | ||
Commissions: | 1285.02 | Comm.% P/L | 1310.64 % |
Total Transactions: | 1268 | Log. Linearity: | 13.762 % |
Total | Long | Short | FISI | UBSI | |
---|---|---|---|---|---|
Total Profit/Loss | -98.04 | -411.41 | 313.37 | 485.73 | -583.78 |
Total Profit | 9432.33 | 4460.18 | 4972.15 | 12517.91 | 13949.34 |
Total Loss | 9530.38 | 4871.59 | 4658.79 | 12032.17 | 14533.12 |
Profit Factor | 0.99 | 0.92 | 1.07 | 1.04 | 0.96 |
Trades | 317 | 162 | 155 | 317 | 317 |
Winning Trades | 207 | 104 | 103 | 168 | 177 |
Losing Trades | 110 | 58 | 52 | 149 | 139 |
% Profitable | 65.00 | 64.00 | 66.00 | 52.00 | 55.00 |
Profit/Loss Per Trade % | -0.02 | -0.11 | 0.06 | -0.03 | -0.06 |
Profit Per Trade % | 0.88 | 0.81 | 0.95 | 1.49 | 1.61 |
Loss Per Trade % | 1.65 | 1.66 | 1.64 | 1.66 | 2.06 |
Days In Trade | 893 | 464 | 429 | 893 | 893 |
Days In Trade (Avg. Per Trade) | 2.82 | 2.86 | 2.77 | 2.82 | 2.82 |
% Days In Trade | 43.84 | 22.78 | 21.06 | 43.84 | 43.84 |