Model: | Kalman |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
MYD | BlackRock MuniYield Fund | Financial Services | Asset Management | 545 | 0.0529 | 11.01 | 173722 |
NXN | Nuveen New York Select Tax-Free Income Portfolio | Financial Services | Asset Management | 46 | 0.0423 | 11.68 | 10526 |
Entry Threshold: | 2.00 | 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: | 13751.17 |
Total net P/L: | 3751.17 | Total ROI: | 37.51 % |
CAGR: | 6.58 % | Max. DD: | 10.05 % |
System Score: | 2.679 | Sharpe Ratio: | 1.966 |
Start Date: | 2017-01-02 | End Date: | 2021-12-31 |
Total days: | 1824 | ||
Commissions: | 640.25 | Comm.% P/L | 14.58 % |
Total Transactions: | 152 | Log. Linearity: | 74.107 % |
Total | Long | Short | MYD | NXN | |
---|---|---|---|---|---|
Total Profit/Loss | 4391.42 | 3320.96 | 1070.45 | -2767.23 | 7158.65 |
Total Profit | 5978.32 | 4150.90 | 1827.42 | 2314.85 | 8087.51 |
Total Loss | 1586.90 | 829.94 | 756.97 | 5082.08 | 928.87 |
Profit Factor | 3.77 | 5.00 | 2.41 | 0.46 | 8.71 |
Trades | 38 | 24 | 14 | 38 | 38 |
Winning Trades | 32 | 20 | 12 | 14 | 32 |
Losing Trades | 6 | 4 | 2 | 24 | 6 |
% Profitable | 84.00 | 83.00 | 85.00 | 36.00 | 84.00 |
Profit/Loss Per Trade % | 0.99 | 1.17 | 0.69 | -0.71 | 1.63 |
Profit Per Trade % | 1.63 | 1.80 | 1.35 | 1.47 | 2.23 |
Loss Per Trade % | 2.33 | 1.92 | 3.16 | 1.89 | 1.41 |
Days In Trade | 76 | 48 | 28 | 76 | 76 |
Days In Trade (Avg. Per Trade) | 2.00 | 2.00 | 2.00 | 2.00 | 2.00 |
% Days In Trade | 4.17 | 2.63 | 1.54 | 4.17 | 4.17 |