| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| YINN | Direxion Daily FTSE China Bull 3X Shares | 0.0236 | 47.51 | 4663339 | |||
| YANG | Direxion Daily FTSE China Bear 3X Shares | 0.0134 | 23.38 | 2647476 |
| Usage Target: | 60.0 | Sigma: | 1.50 | ||
| Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
| Inverted: | YINN | Transformed: | YANG | A=1000.0 B=0.1 | |
| 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: | 8354.14 |
| Total net P/L: | -1645.86 | Total ROI: | -16.46 % |
| CAGR: | -16.62 % | Max. DD: | 20.83 % |
| System Score: | -10.113 | Sharpe Ratio: | -2.055 |
| Start Date: | 2023-01-02 | End Date: | 2023-12-29 |
| Total days: | 361 | ||
| Commissions: | 1017.90 | Comm.% P/L | 162.10 % |
| Total Transactions: | 368 | Log. Linearity: | 84.729 % |
| Total | Long |
Short |
YINN | YANG | |
|---|---|---|---|---|---|
| Total Profit/Loss | -627.96 | 37.53 | -665.49 | -5596.73 | 4968.77 |
| Total Profit | 1701.56 | 1694.07 | 7.49 | 15319.57 | 20396.67 |
| Total Loss | 2329.52 | 1656.54 | 672.98 | 20916.30 | 15427.90 |
| Profit Factor | 0.73 | 1.02 | 0.01 | 0.73 | 1.32 |
| Trades | 92 | 67 | 25 | 92 | 92 |
| Winning Trades | 21 | 20 | 1 | 39 | 48 |
| Losing Trades | 71 | 47 | 24 | 48 | 44 |
| % Profitable | 22.00 | 29.00 | 4.00 | 42.00 | 52.00 |
| Profit/Loss Per Trade % | -0.07 | 0.02 | -0.31 | -0.82 | 0.41 |
| Profit Per Trade % | 0.95 | 0.99 | 0.09 | 4.38 | 4.65 |
| Loss Per Trade % | 0.37 | 0.39 | 0.32 | 4.76 | 3.88 |
| Days In Trade | 246 | 199 | 47 | 246 | 246 |
| Days In Trade (Avg. Per Trade) | 2.67 | 2.97 | 1.88 | 2.67 | 2.67 |
| % Days In Trade | 68.14 | 55.12 | 13.02 | 68.14 | 68.14 |