| Model: | Kalman-grid-v2 |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| YINN | Direxion Daily FTSE China Bull 3X Shares | 0.0236 | 41.82 | 3679108 | |||
| YANG | Direxion Daily FTSE China Bear 3X Shares | 0.0134 | 26.02 | 2486525 |
| Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
| Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
| Inverted: | YINN | Transformed: | YANG | 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: | 10484.73 |
| Total net P/L: | 484.73 | Total ROI: | 4.85 % |
| CAGR: | 4.90 % | Max. DD: | 8.06 % |
| System Score: | 1.183 | Sharpe Ratio: | 0.447 |
| Start Date: | 2023-01-02 | End Date: | 2023-12-29 |
| Total days: | 361 | ||
| Commissions: | 425.73 | Comm.% P/L | 46.76 % |
| Total Transactions: | 132 | Log. Linearity: | 62.264 % |
| Total | Long |
Short |
YINN | YANG | |
|---|---|---|---|---|---|
| Total Profit/Loss | 910.46 | 1139.86 | -229.40 | 1283.63 | -373.17 |
| Total Profit | 2387.03 | 2387.03 | 0.00 | 12336.85 | 11914.12 |
| Total Loss | 1476.57 | 1247.17 | 229.40 | 11053.22 | 12287.29 |
| Profit Factor | 1.62 | 1.91 | 0.00 | 1.12 | 0.97 |
| Trades | 33 | 24 | 9 | 33 | 33 |
| Winning Trades | 10 | 10 | 0 | 17 | 15 |
| Losing Trades | 23 | 14 | 9 | 15 | 18 |
| % Profitable | 30.00 | 41.00 | 0.00 | 51.00 | 45.00 |
| Profit/Loss Per Trade % | 0.27 | 0.47 | -0.26 | -0.22 | -0.60 |
| Profit Per Trade % | 2.38 | 2.38 | 0.00 | 6.82 | 7.86 |
| Loss Per Trade % | 0.62 | 0.85 | 0.26 | 7.29 | 6.31 |
| Days In Trade | 267 | 250 | 17 | 267 | 267 |
| Days In Trade (Avg. Per Trade) | 8.09 | 10.42 | 1.89 | 8.09 | 8.09 |
| % Days In Trade | 73.96 | 69.25 | 4.71 | 73.96 | 73.96 |