| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| SPY | SPDR S&P 500 ETF Trust | 0.0089 | 650.34 | 79808179 | |||
| SPUU | Direxion Daily S&P 500® Bull 2X Shares | 0.0255 | 165.35 | 27915 |
| Usage Target: | 60.0 | Sigma: | 1.50 | ||
| Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
| Ve: | 0.001 | Neutrality: | dollar | ||
| Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
| Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.01 / 0.01 | |
| Initial Capital: | 10000.00 | Final Equity: | 9725.07 |
| Total net P/L: | -274.93 | Total ROI: | -2.75 % |
| CAGR: | -2.76 % | Max. DD: | 7.92 % |
| System Score: | -0.035 | Sharpe Ratio: | -0.224 |
| Start Date: | 2021-01-07 | End Date: | 2022-01-06 |
| Total days: | 364 | ||
| Commissions: | 304.00 | Comm.% P/L | 1045.72 % |
| Total Transactions: | 304 | Log. Linearity: | 23.423 % |
| Total | Long |
Short |
SPY | SPUU | |
|---|---|---|---|---|---|
| Total Profit/Loss | 29.07 | -1234.79 | 1263.86 | -487.25 | 516.32 |
| Total Profit | 3249.93 | 1361.76 | 1888.17 | 3018.18 | 6694.48 |
| Total Loss | 3220.86 | 2596.55 | 624.31 | 3505.43 | 6178.16 |
| Profit Factor | 1.01 | 0.52 | 3.02 | 0.86 | 1.08 |
| Trades | 76 | 40 | 36 | 76 | 76 |
| Winning Trades | 45 | 19 | 26 | 28 | 47 |
| Losing Trades | 31 | 21 | 10 | 48 | 29 |
| % Profitable | 59.00 | 47.00 | 72.00 | 36.00 | 61.00 |
| Profit/Loss Per Trade % | 0.00 | -0.31 | 0.35 | -0.07 | 0.05 |
| Profit Per Trade % | 0.71 | 0.71 | 0.72 | 1.05 | 1.40 |
| Loss Per Trade % | 1.01 | 1.21 | 0.60 | 0.72 | 2.07 |
| Days In Trade | 232 | 155 | 77 | 232 | 232 |
| Days In Trade (Avg. Per Trade) | 3.05 | 3.88 | 2.14 | 3.05 | 3.05 |
| % Days In Trade | 63.74 | 42.58 | 21.15 | 63.74 | 63.74 |