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 | 10.52 | 178571 |
NXN | Nuveen New York Select Tax-Free Income Portfolio | Financial Services | Asset Management | 46 | 0.0424 | 11.58 | 10819 |
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: | 17768.10 |
Total net P/L: | 7768.10 | Total ROI: | 77.68 % |
CAGR: | 12.19 % | Max. DD: | 11.45 % |
System Score: | 9.789 | Sharpe Ratio: | 2.170 |
Start Date: | 2017-01-02 | End Date: | 2021-12-31 |
Total days: | 1824 | ||
Commissions: | 6758.64 | Comm.% P/L | 46.53 % |
Total Transactions: | 1484 | Log. Linearity: | 92.949 % |
Total | Long | Short | MYD | NXN | |
---|---|---|---|---|---|
Total Profit/Loss | 14526.74 | 6704.99 | 7821.75 | -7748.95 | 22275.70 |
Total Profit | 27336.38 | 12742.60 | 14593.78 | 12886.38 | 30784.87 |
Total Loss | 12809.63 | 6037.61 | 6772.03 | 20635.33 | 8509.17 |
Profit Factor | 2.13 | 2.11 | 2.16 | 0.62 | 3.62 |
Trades | 371 | 187 | 184 | 371 | 371 |
Winning Trades | 269 | 139 | 130 | 175 | 250 |
Losing Trades | 102 | 48 | 54 | 195 | 120 |
% Profitable | 72.00 | 74.00 | 70.00 | 47.00 | 67.00 |
Profit/Loss Per Trade % | 0.30 | 0.28 | 0.32 | -0.15 | 0.44 |
Profit Per Trade % | 0.80 | 0.72 | 0.88 | 0.59 | 0.94 |
Loss Per Trade % | 0.99 | 0.99 | 0.98 | 0.80 | 0.57 |
Days In Trade | 996 | 519 | 477 | 996 | 996 |
Days In Trade (Avg. Per Trade) | 2.68 | 2.78 | 2.59 | 2.68 | 2.68 |
% Days In Trade | 54.61 | 28.45 | 26.15 | 54.61 | 54.61 |