Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
USO | United States Oil Fund LP | 75.59 | 4854294 | ||||
UNG | United States Natural Gas Fund LP | 15.42 | 7926003 |
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: | 2009.42 |
Total net P/L: | -7990.58 | Total ROI: | -79.91 % |
CAGR: | -27.49 % | Max. DD: | 89.62 % |
System Score: | -5.818 | Sharpe Ratio: | -0.549 |
Start Date: | 2019-01-02 | End Date: | 2023-12-29 |
Total days: | 1822 | ||
Commissions: | 1400.00 | Comm.% P/L | 21.24 % |
Total Transactions: | 1400 | Log. Linearity: | 59.591 % |
Total | ![]() |
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USO | UNG | |
---|---|---|---|---|---|
Total Profit/Loss | -6590.58 | -3468.59 | -3121.99 | -3234.80 | -3355.78 |
Total Profit | 21091.32 | 10634.14 | 10457.18 | 16592.27 | 20597.02 |
Total Loss | 27681.90 | 14102.73 | 13579.17 | 19827.07 | 23952.80 |
Profit Factor | 0.76 | 0.75 | 0.77 | 0.84 | 0.86 |
Trades | 350 | 169 | 181 | 350 | 350 |
Winning Trades | 229 | 113 | 116 | 183 | 199 |
Losing Trades | 121 | 56 | 65 | 167 | 151 |
% Profitable | 65.00 | 66.00 | 64.00 | 52.00 | 56.00 |
Profit/Loss Per Trade % | -0.31 | -0.38 | -0.25 | -0.13 | -0.22 |
Profit Per Trade % | 2.95 | 2.83 | 3.07 | 2.49 | 3.10 |
Loss Per Trade % | 5.72 | 5.85 | 5.60 | 2.66 | 4.23 |
Days In Trade | 1009 | 467 | 542 | 1009 | 1009 |
Days In Trade (Avg. Per Trade) | 2.88 | 2.76 | 2.99 | 2.88 | 2.88 |
% Days In Trade | 55.38 | 25.63 | 29.75 | 55.38 | 55.38 |