Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
COF | Capital One Financial Corporation | Financial Services | Credit Services | 56629 | 0.0161 | 148.87 | 2534803 |
HPI | John Hancock Preferred Income Closed Fund | Financial Services | Asset Management | 479 | 0.0904 | 16.34 | 64114 |
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: | 4707.19 |
Total net P/L: | -292.81 | Total ROI: | -5.86 % |
CAGR: | -1.08 % | Max. DD: | 55.37 % |
System Score: | -0.325 | Sharpe Ratio: | 0.184 |
Start Date: | 2015-01-02 | End Date: | 2020-07-31 |
Total days: | 2037 | ||
Commissions: | 1422.23 | Comm.% P/L | 125.93 % |
Total Transactions: | 1372 | Log. Linearity: | 67.116 % |
Total | Long | Short | COF | HPI | |
---|---|---|---|---|---|
Total Profit/Loss | 1129.42 | 1223.31 | -93.89 | -474.83 | 1604.25 |
Total Profit | 12252.74 | 7045.34 | 5207.40 | 13354.61 | 8714.71 |
Total Loss | 11123.32 | 5822.04 | 5301.28 | 13829.44 | 7110.46 |
Profit Factor | 1.10 | 1.21 | 0.98 | 0.97 | 1.23 |
Trades | 343 | 184 | 159 | 343 | 343 |
Winning Trades | 222 | 120 | 102 | 209 | 145 |
Losing Trades | 121 | 64 | 57 | 134 | 197 |
% Profitable | 64.00 | 65.00 | 64.00 | 60.00 | 42.00 |
Profit/Loss Per Trade % | 0.09 | 0.20 | -0.03 | -0.12 | 0.14 |
Profit Per Trade % | 1.43 | 1.55 | 1.28 | 1.62 | 1.63 |
Loss Per Trade % | 2.26 | 2.23 | 2.29 | 2.63 | 0.92 |
Days In Trade | 1002 | 541 | 461 | 1002 | 1002 |
Days In Trade (Avg. Per Trade) | 2.92 | 2.94 | 2.90 | 2.92 | 2.92 |
% Days In Trade | 49.19 | 26.56 | 22.63 | 49.19 | 49.19 |