Model: | Kalman |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
JFR | Nuveen Floating Rate Income Closed Fund | Financial Services | Asset Management | 564 | 0.1029 | 8.63 | 605050 |
NSL | Nuveen Senior Income Fund | Financial Services | Asset Management | 215 | 0.0991 | 4.6 | 167067 |
Entry Threshold: | 0.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
δ: | 0.0001 | Ve: | 0.001 | Neutrality: | dollar |
Aux StdDev Per: | 0 | Unstable Period: | 20 | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2014.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 10161.85 |
Total net P/L: | 161.85 | Total ROI: | 1.62 % |
CAGR: | 0.32 % | Max. DD: | 12.85 % |
System Score: | 0.000 | Sharpe Ratio: | 0.191 |
Start Date: | 2017-01-02 | End Date: | 2021-12-31 |
Total days: | 1824 | ||
Commissions: | 1932.26 | Comm.% P/L | 92.27 % |
Total Transactions: | 272 | Log. Linearity: | 0.215 % |
Total | Long | Short | JFR | NSL | |
---|---|---|---|---|---|
Total Profit/Loss | 2094.11 | 1519.98 | 574.13 | 1041.78 | 1052.33 |
Total Profit | 4048.98 | 1930.91 | 2118.07 | 7126.14 | 5980.53 |
Total Loss | 1954.87 | 410.93 | 1543.94 | 6084.36 | 4928.20 |
Profit Factor | 2.07 | 4.70 | 1.37 | 1.17 | 1.21 |
Trades | 68 | 38 | 30 | 68 | 68 |
Winning Trades | 51 | 31 | 20 | 36 | 35 |
Losing Trades | 17 | 7 | 10 | 32 | 31 |
% Profitable | 75.00 | 81.00 | 66.00 | 52.00 | 51.00 |
Profit/Loss Per Trade % | 0.30 | 0.38 | 0.19 | 0.06 | 0.06 |
Profit Per Trade % | 0.77 | 0.60 | 1.02 | 1.84 | 1.55 |
Loss Per Trade % | 1.03 | 0.57 | 1.36 | 1.64 | 1.48 |
Days In Trade | 184 | 92 | 92 | 184 | 184 |
Days In Trade (Avg. Per Trade) | 2.71 | 2.42 | 3.07 | 2.71 | 2.71 |
% Days In Trade | 10.09 | 5.04 | 5.04 | 10.09 | 10.09 |