Model: | Kalman-grid-v2 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
IWM | iShares Russell 2000 ETF | 0.0089 | 227.02 | 27901089 | |||
SRTY | ProShares UltraPro Short Russell2000 | 0.0109 | 17.31 | 2089648 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Inverted: | IWM | Transformed: | n/a | A=1000.0 B=0.1 | |
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: | 12759.69 |
Total net P/L: | 2759.69 | Total ROI: | 27.60 % |
CAGR: | 34.38 % | Max. DD: | 31.77 % |
System Score: | 0.231 | Sharpe Ratio: | 0.716 |
Start Date: | 2022-01-03 | End Date: | 2022-10-31 |
Total days: | 301 | ||
Commissions: | 189.63 | Comm.% P/L | 6.43 % |
Total Transactions: | 188 | Log. Linearity: | 18.862 % |
Total | ![]() |
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IWM | SRTY | |
---|---|---|---|---|---|
Total Profit/Loss | 2949.32 | 935.94 | 2013.38 | -417.24 | 3366.56 |
Total Profit | 12175.82 | 4609.85 | 7565.97 | 5549.22 | 18142.28 |
Total Loss | 9226.50 | 3673.91 | 5552.59 | 5966.46 | 14775.72 |
Profit Factor | 1.32 | 1.25 | 1.36 | 0.93 | 1.23 |
Trades | 47 | 25 | 22 | 47 | 47 |
Winning Trades | 29 | 14 | 15 | 18 | 29 |
Losing Trades | 18 | 11 | 7 | 29 | 18 |
% Profitable | 61.00 | 56.00 | 68.00 | 38.00 | 61.00 |
Profit/Loss Per Trade % | 0.56 | 0.21 | 0.95 | -0.18 | 0.50 |
Profit Per Trade % | 3.94 | 2.99 | 4.84 | 2.73 | 5.86 |
Loss Per Trade % | 4.51 | 3.17 | 6.65 | 1.93 | 7.18 |
Days In Trade | 234 | 140 | 94 | 234 | 234 |
Days In Trade (Avg. Per Trade) | 4.98 | 5.60 | 4.27 | 4.98 | 4.98 |
% Days In Trade | 77.74 | 46.51 | 31.23 | 77.74 | 77.74 |