Model: | Kalman-grid-v2 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
VTI | Vanguard Total Stock Market Index Fund ETF Shares | 494625 | 0.0113 | 245.23 | 3248893 | ||
SPY | SPDR S&P 500 ETF Trust | 0.0113 | 495.16 | 77372702 |
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: | 10007.73 |
Total net P/L: | 7.73 | Total ROI: | 0.08 % |
CAGR: | 0.16 % | Max. DD: | 1.04 % |
System Score: | 0.006 | Sharpe Ratio: | 0.059 |
Start Date: | 2021-01-04 | End Date: | 2021-06-30 |
Total days: | 177 | ||
Commissions: | 40.00 | Comm.% P/L | 83.80 % |
Total Transactions: | 40 | Log. Linearity: | 33.017 % |
Total | Long | Short | VTI | SPY | |
---|---|---|---|---|---|
Total Profit/Loss | 47.73 | 55.05 | -7.32 | 520.97 | -473.24 |
Total Profit | 197.57 | 143.41 | 54.16 | 1194.19 | 684.11 |
Total Loss | 149.84 | 88.36 | 61.48 | 673.22 | 1157.35 |
Profit Factor | 1.32 | 1.62 | 0.88 | 1.77 | 0.59 |
Trades | 10 | 5 | 5 | 10 | 10 |
Winning Trades | 5 | 3 | 2 | 6 | 5 |
Losing Trades | 5 | 2 | 3 | 4 | 5 |
% Profitable | 50.00 | 60.00 | 40.00 | 60.00 | 50.00 |
Profit/Loss Per Trade % | 0.05 | 0.11 | -0.02 | 0.49 | -0.50 |
Profit Per Trade % | 0.40 | 0.48 | 0.27 | 1.96 | 1.37 |
Loss Per Trade % | 0.30 | 0.44 | 0.21 | 1.68 | 2.28 |
Days In Trade | 116 | 60 | 56 | 116 | 116 |
Days In Trade (Avg. Per Trade) | 11.60 | 12.00 | 11.20 | 11.60 | 11.60 |
% Days In Trade | 65.54 | 33.90 | 31.64 | 65.54 | 65.54 |