Model: | Kalman |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
XOM | Exxon Mobil Corp | Energy | Oil & Gas Integrated | 466340 | 0.0321 | 118.27 | 18628389 |
PTR | PetroChina Co Ltd ADR | Energy | Oil, Gas & Consumable Fuels | 136899 | 0.0744 | 42.25 | 197527 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 21 | Entry Mode: | Simple | Reversals: | |
δ: | 0.0001 | Ve: | 0.001 | Neutrality: | dollar |
Aux StdDev Per: | 0 | Unstable Period: | 20 | ||
Margin Req. 1: | 100.0 | Margin Req. 2: | 100.0 | ||
Version: | 5 | Model Version: | 2014.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 9860.03 |
Total net P/L: | -139.97 | Total ROI: | -1.40 % |
CAGR: | -0.75 % | Max. DD: | 11.48 % |
System Score: | -0.000 | Sharpe Ratio: | 0.016 |
Start Date: | 2020-01-16 | End Date: | 2021-11-30 |
Total days: | 684 | ||
Commissions: | 368.00 | Comm.% P/L | 161.38 % |
Total Transactions: | 368 | Log. Linearity: | 0.123 % |
Total | Long | Short | XOM | PTR | |
---|---|---|---|---|---|
Total Profit/Loss | 228.03 | 768.32 | -540.29 | -1285.04 | 1513.07 |
Total Profit | 6340.83 | 3473.28 | 2867.55 | 6254.67 | 7953.80 |
Total Loss | 6112.79 | 2704.96 | 3407.84 | 7539.71 | 6440.72 |
Profit Factor | 1.04 | 1.28 | 0.84 | 0.83 | 1.23 |
Trades | 92 | 48 | 44 | 92 | 92 |
Winning Trades | 59 | 31 | 28 | 45 | 51 |
Losing Trades | 33 | 17 | 16 | 46 | 41 |
% Profitable | 64.00 | 64.00 | 63.00 | 48.00 | 55.00 |
Profit/Loss Per Trade % | 0.02 | 0.16 | -0.13 | -0.14 | 0.14 |
Profit Per Trade % | 1.04 | 1.09 | 0.98 | 1.34 | 1.49 |
Loss Per Trade % | 1.75 | 1.49 | 2.03 | 1.54 | 1.49 |
Days In Trade | 253 | 113 | 140 | 253 | 253 |
Days In Trade (Avg. Per Trade) | 2.75 | 2.35 | 3.18 | 2.75 | 2.75 |
% Days In Trade | 36.99 | 16.52 | 20.47 | 36.99 | 36.99 |