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 | 0.0112 | 250.65 | 3246567 | ||
SPY | SPDR S&P 500 ETF Trust | 0.0112 | 505.41 | 77223677 |
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: | 9999.49 |
Total net P/L: | -0.51 | Total ROI: | -0.01 % |
CAGR: | -0.06 % | Max. DD: | 0.21 % |
System Score: | -0.000 | Sharpe Ratio: | -0.016 |
Start Date: | 2021-06-01 | End Date: | 2021-06-30 |
Total days: | 29 | ||
Commissions: | 12.00 | Comm.% P/L | 104.44 % |
Total Transactions: | 12 | Log. Linearity: | 0.000 % |
Total | Long | Short | VTI | SPY | |
---|---|---|---|---|---|
Total Profit/Loss | 11.49 | 1.94 | 9.55 | -184.98 | 196.47 |
Total Profit | 16.94 | 1.94 | 15.00 | 44.10 | 244.08 |
Total Loss | 5.45 | 0.00 | 5.45 | 229.08 | 47.61 |
Profit Factor | 3.11 | 0.00 | 2.75 | 0.19 | 5.13 |
Trades | 3 | 1 | 2 | 3 | 3 |
Winning Trades | 2 | 1 | 1 | 2 | 1 |
Losing Trades | 1 | 0 | 1 | 1 | 2 |
% Profitable | 66.00 | 100.00 | 50.00 | 66.00 | 33.00 |
Profit/Loss Per Trade % | 0.04 | 0.02 | 0.05 | -0.62 | 0.65 |
Profit Per Trade % | 0.08 | 0.02 | 0.15 | 0.22 | 2.44 |
Loss Per Trade % | 0.05 | 0.00 | 0.05 | 2.29 | 0.24 |
Days In Trade | 9 | 1 | 8 | 9 | 9 |
Days In Trade (Avg. Per Trade) | 3.00 | 1.00 | 4.00 | 3.00 | 3.00 |
% Days In Trade | 31.03 | 3.45 | 27.59 | 31.03 | 31.03 |