Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
XHR | Xenia Hotels & Resorts Inc | Real Estate | REIT - Hotel & Motel | 1501 | 0.0338 | 14.54 | 811681 |
PEB | Pebblebrook Hotel Trust | Real Estate | REIT - Hotel & Motel | 1817 | 0.0027 | 15.45 | 1793189 |
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: | 2671.96 |
Total net P/L: | -2328.04 | Total ROI: | -46.56 % |
CAGR: | -11.88 % | Max. DD: | 54.89 % |
System Score: | -5.881 | Sharpe Ratio: | -1.015 |
Start Date: | 2015-08-18 | End Date: | 2020-07-31 |
Total days: | 1809 | ||
Commissions: | 1270.45 | Comm.% P/L | 120.13 % |
Total Transactions: | 1064 | Log. Linearity: | 79.113 % |
Total | Long | Short | XHR | PEB | |
---|---|---|---|---|---|
Total Profit/Loss | -1057.59 | -156.18 | -901.41 | 4363.54 | -5421.13 |
Total Profit | 8704.77 | 4110.71 | 4594.06 | 14530.87 | 12388.25 |
Total Loss | 9762.36 | 4266.89 | 5495.47 | 10167.33 | 17809.38 |
Profit Factor | 0.89 | 0.96 | 0.84 | 1.43 | 0.70 |
Trades | 266 | 125 | 141 | 266 | 266 |
Winning Trades | 165 | 86 | 79 | 130 | 140 |
Losing Trades | 101 | 39 | 62 | 136 | 125 |
% Profitable | 62.00 | 68.00 | 56.00 | 48.00 | 52.00 |
Profit/Loss Per Trade % | -0.13 | -0.07 | -0.18 | 0.34 | -0.66 |
Profit Per Trade % | 1.19 | 1.07 | 1.33 | 2.57 | 1.99 |
Loss Per Trade % | 2.15 | 2.41 | 1.98 | 1.69 | 3.17 |
Days In Trade | 796 | 373 | 423 | 796 | 796 |
Days In Trade (Avg. Per Trade) | 2.99 | 2.98 | 3.00 | 2.99 | 2.99 |
% Days In Trade | 44.00 | 20.62 | 23.38 | 44.00 | 44.00 |