Model: | Kalman-grid-v2 |
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: | 14491.23 |
Total net P/L: | 4491.23 | Total ROI: | 44.91 % |
CAGR: | 13.19 % | Max. DD: | 13.00 % |
System Score: | 4.450 | Sharpe Ratio: | 1.957 |
Start Date: | 2018-01-02 | End Date: | 2020-12-30 |
Total days: | 1093 | ||
Commissions: | 942.32 | Comm.% P/L | 17.34 % |
Total Transactions: | 456 | Log. Linearity: | 69.622 % |
Total | Long | Short | HR | HTA | |
---|---|---|---|---|---|
Total Profit/Loss | 5433.55 | 2451.98 | 2981.57 | 6956.07 | -1522.52 |
Total Profit | 10522.30 | 5300.84 | 5221.46 | 19433.19 | 14591.40 |
Total Loss | 5088.75 | 2848.86 | 2239.89 | 12477.12 | 16113.92 |
Profit Factor | 2.07 | 1.86 | 2.33 | 1.56 | 0.91 |
Trades | 114 | 62 | 52 | 114 | 114 |
Winning Trades | 83 | 48 | 35 | 62 | 60 |
Losing Trades | 31 | 14 | 17 | 51 | 54 |
% Profitable | 72.00 | 77.00 | 67.00 | 54.00 | 52.00 |
Profit/Loss Per Trade % | 0.40 | 0.36 | 0.44 | 0.42 | -0.14 |
Profit Per Trade % | 1.05 | 0.93 | 1.20 | 2.57 | 2.12 |
Loss Per Trade % | 1.30 | 1.56 | 1.09 | 2.11 | 2.46 |
Days In Trade | 641 | 329 | 312 | 641 | 641 |
Days In Trade (Avg. Per Trade) | 5.62 | 5.31 | 6.00 | 5.62 | 5.62 |
% Days In Trade | 58.65 | 30.10 | 28.55 | 58.65 | 58.65 |