Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
V | Visa Inc. Class A | Financial Services | Credit Services | 562718 | 0.0076 | 275.16 | 5714810 |
AXP | American Express Company | Financial Services | Credit Services | 172000 | 0.0117 | 237.1 | 3069986 |
Usage Target: | 60.0 | Sigma: | 1.50 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Ve: | 0.001 | Neutrality: | dollar | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 1000.00 | Final Equity: | 775.78 |
Total net P/L: | -224.22 | Total ROI: | -22.42 % |
CAGR: | -29.14 % | Max. DD: | 23.27 % |
System Score: | -23.717 | Sharpe Ratio: | -1.619 |
Start Date: | 2021-01-04 | End Date: | 2021-09-30 |
Total days: | 269 | ||
Commissions: | 248.00 | Comm.% P/L | 1042.89 % |
Total Transactions: | 248 | Log. Linearity: | 93.364 % |
Total | Long | Short | V | AXP | |
---|---|---|---|---|---|
Total Profit/Loss | 23.78 | -48.60 | 72.38 | 72.08 | -48.30 |
Total Profit | 316.96 | 139.59 | 177.37 | 335.86 | 406.86 |
Total Loss | 293.18 | 188.19 | 104.99 | 263.78 | 455.16 |
Profit Factor | 1.08 | 0.74 | 1.69 | 1.27 | 0.89 |
Trades | 62 | 35 | 27 | 62 | 62 |
Winning Trades | 36 | 20 | 16 | 30 | 36 |
Losing Trades | 26 | 15 | 11 | 32 | 26 |
% Profitable | 58.00 | 57.00 | 59.00 | 48.00 | 58.00 |
Profit/Loss Per Trade % | 0.06 | -0.12 | 0.29 | 0.12 | -0.09 |
Profit Per Trade % | 1.02 | 0.83 | 1.26 | 1.28 | 1.31 |
Loss Per Trade % | 1.26 | 1.38 | 1.10 | 0.94 | 1.97 |
Days In Trade | 174 | 95 | 79 | 174 | 174 |
Days In Trade (Avg. Per Trade) | 2.81 | 2.71 | 2.93 | 2.81 | 2.81 |
% Days In Trade | 64.68 | 35.32 | 29.37 | 64.68 | 64.68 |