Model: | Kalman-grid-v2 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
BHK | BlackRock Core Bond Closed Fund | Financial Services | Asset Management | 564 | 0.0857 | 10.38 | 178993 |
MQY | BlackRock MuniYield Quality Closed Fund | Financial Services | Asset Management | 935 | 0.0437 | 11.9 | 209202 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Ve: | auto | Neutrality: | dollar | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.5 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 30909.67 |
Total net P/L: | 20909.67 | Total ROI: | 209.10 % |
CAGR: | 21.70 % | Max. DD: | 10.46 % |
System Score: | 13.479 | Sharpe Ratio: | 3.882 |
Start Date: | 2017-01-02 | End Date: | 2022-09-30 |
Total days: | 2097 | ||
Commissions: | 3984.19 | Comm.% P/L | 16.00 % |
Total Transactions: | 728 | Log. Linearity: | 85.317 % |
Total | Long | Short | BHK | MQY | |
---|---|---|---|---|---|
Total Profit/Loss | 24893.86 | 11676.11 | 13217.75 | 9715.71 | 15178.15 |
Total Profit | 30122.73 | 15365.93 | 14756.79 | 25626.06 | 26888.17 |
Total Loss | 5228.87 | 3689.82 | 1539.05 | 15910.35 | 11710.02 |
Profit Factor | 5.76 | 4.16 | 9.59 | 1.61 | 2.30 |
Trades | 182 | 92 | 90 | 182 | 182 |
Winning Trades | 151 | 76 | 75 | 112 | 105 |
Losing Trades | 31 | 16 | 15 | 70 | 77 |
% Profitable | 82.00 | 82.00 | 83.00 | 61.00 | 57.00 |
Profit/Loss Per Trade % | 0.76 | 0.74 | 0.78 | 0.35 | 0.37 |
Profit Per Trade % | 1.13 | 1.15 | 1.12 | 1.35 | 1.40 |
Loss Per Trade % | 1.01 | 1.15 | 0.86 | 1.18 | 1.00 |
Days In Trade | 1399 | 618 | 781 | 1399 | 1399 |
Days In Trade (Avg. Per Trade) | 7.69 | 6.72 | 8.68 | 7.69 | 7.69 |
% Days In Trade | 66.71 | 29.47 | 37.24 | 66.71 | 66.71 |