Model: | Kalman-grid-v2 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
FANG | Diamondback Energy Inc | Energy | Oil & Gas E&P | 36128 | 0.0401 | 202.58 | 1863016 |
VNOM | Viper Energy Ut | Energy | Oil & Gas Midstream | 6904 | 0.0466 | 39.14 | 745972 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 10 | Entry Mode: | Simple | 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: | 2000.00 | Final Equity: | 3007.11 |
Total net P/L: | 1007.12 | Total ROI: | 50.36 % |
CAGR: | 41.94 % | Max. DD: | 28.80 % |
System Score: | 4.463 | Sharpe Ratio: | 1.228 |
Start Date: | 2020-05-01 | End Date: | 2021-06-30 |
Total days: | 425 | ||
Commissions: | 202.91 | Comm.% P/L | 16.77 % |
Total Transactions: | 176 | Log. Linearity: | 47.388 % |
Total | Long | Short | FANG | VNOM | |
---|---|---|---|---|---|
Total Profit/Loss | 1210.03 | 923.20 | 286.82 | 440.87 | 769.16 |
Total Profit | 3230.82 | 1630.66 | 1600.16 | 4428.11 | 4205.39 |
Total Loss | 2020.80 | 707.46 | 1313.34 | 3987.24 | 3436.23 |
Profit Factor | 1.60 | 2.30 | 1.22 | 1.11 | 1.22 |
Trades | 44 | 23 | 21 | 44 | 44 |
Winning Trades | 30 | 16 | 14 | 25 | 22 |
Losing Trades | 14 | 7 | 7 | 19 | 22 |
% Profitable | 68.00 | 69.00 | 66.00 | 56.00 | 50.00 |
Profit/Loss Per Trade % | 1.09 | 1.43 | 0.71 | 0.30 | 0.34 |
Profit Per Trade % | 3.77 | 3.61 | 3.96 | 6.06 | 6.24 |
Loss Per Trade % | 4.12 | 3.31 | 4.94 | 6.44 | 5.09 |
Days In Trade | 273 | 159 | 114 | 273 | 273 |
Days In Trade (Avg. Per Trade) | 6.20 | 6.91 | 5.43 | 6.20 | 6.20 |
% Days In Trade | 64.24 | 37.41 | 26.82 | 64.24 | 64.24 |