| Model: | Kalman-grid-v2 |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| BRO | Brown & Brown Inc | Financial Services | Insurance Brokers | 26815 | 0.0079 | 78.54 | 2726159 |
| CVI | CVR Energy Inc | Energy | Oil & Gas Refining & Marketing | 3664 | 36.45 | 1315987 |
| Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
| Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
| Ve: | auto | Neutrality: | dollar | ||
| Margin Req. 1: | 10.0 | Margin Req. 2: | 10.0 | High Leverage | |
| Version: | 5 | Model Version: | 2016.5 | Bid-Ask 0.01 / 0.01 | |
| Initial Capital: | 10000.00 | Final Equity: | 6185.83 |
| Total net P/L: | -3814.17 | Total ROI: | -38.14 % |
| CAGR: | -20.62 % | Max. DD: | 97.18 % |
| System Score: | -0.014 | Sharpe Ratio: | 1.400 |
| Start Date: | 2018-01-02 | End Date: | 2020-01-31 |
| Total days: | 759 | ||
| Commissions: | 4352.89 | Comm.% P/L | 808.01 % |
| Total Transactions: | 480 | Log. Linearity: | 8.690 % |
| Total | Long |
Short |
BRO | CVI | |
|---|---|---|---|---|---|
| Total Profit/Loss | 538.72 | 9792.90 | -9254.18 | 42864.28 | -42325.56 |
| Total Profit | 90710.08 | 47289.11 | 43420.97 | 61786.62 | 78994.18 |
| Total Loss | 90171.36 | 37496.21 | 52675.15 | 18922.34 | 121319.74 |
| Profit Factor | 1.01 | 1.26 | 0.82 | 3.27 | 0.65 |
| Trades | 120 | 62 | 58 | 120 | 120 |
| Winning Trades | 86 | 42 | 44 | 71 | 75 |
| Losing Trades | 34 | 20 | 14 | 49 | 45 |
| % Profitable | 71.00 | 67.00 | 75.00 | 59.00 | 62.00 |
| Profit/Loss Per Trade % | -0.02 | 2.36 | -2.50 | 1.70 | -1.99 |
| Profit Per Trade % | 11.53 | 12.14 | 10.95 | 6.37 | 12.24 |
| Loss Per Trade % | 18.56 | 13.94 | 25.48 | 4.55 | 17.45 |
| Days In Trade | 521 | 282 | 239 | 521 | 521 |
| Days In Trade (Avg. Per Trade) | 4.34 | 4.55 | 4.12 | 4.34 | 4.34 |
| % Days In Trade | 68.64 | 37.15 | 31.49 | 68.64 | 68.64 |