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 | 559385 | 0.0076 | 274.11 | 5674006 |
AXP | American Express Company | Financial Services | Credit Services | 171885 | 0.0117 | 238.96 | 3051935 |
Usage Target: | 70.0 | 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: | 707.44 |
Total net P/L: | -292.56 | Total ROI: | -29.26 % |
CAGR: | -37.48 % | Max. DD: | 29.26 % |
System Score: | -32.770 | Sharpe Ratio: | -2.219 |
Start Date: | 2021-01-04 | End Date: | 2021-09-30 |
Total days: | 269 | ||
Commissions: | 284.00 | Comm.% P/L | 3317.76 % |
Total Transactions: | 284 | Log. Linearity: | 95.625 % |
Total | Long | Short | V | AXP | |
---|---|---|---|---|---|
Total Profit/Loss | -8.56 | -101.66 | 93.10 | 93.00 | -101.56 |
Total Profit | 331.86 | 133.28 | 198.58 | 374.91 | 409.79 |
Total Loss | 340.42 | 234.94 | 105.48 | 281.91 | 511.35 |
Profit Factor | 0.97 | 0.57 | 1.88 | 1.33 | 0.80 |
Trades | 71 | 39 | 32 | 71 | 71 |
Winning Trades | 43 | 22 | 21 | 35 | 41 |
Losing Trades | 28 | 17 | 11 | 36 | 30 |
% Profitable | 60.00 | 56.00 | 65.00 | 49.00 | 57.00 |
Profit/Loss Per Trade % | -0.01 | -0.28 | 0.32 | 0.14 | -0.17 |
Profit Per Trade % | 0.92 | 0.74 | 1.10 | 1.26 | 1.19 |
Loss Per Trade % | 1.40 | 1.56 | 1.14 | 0.93 | 1.96 |
Days In Trade | 193 | 109 | 84 | 193 | 193 |
Days In Trade (Avg. Per Trade) | 2.72 | 2.79 | 2.62 | 2.72 | 2.72 |
% Days In Trade | 71.75 | 40.52 | 31.23 | 71.75 | 71.75 |