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Model: Kalman-auto
HQ Backtest QQQ vs SPY
Symbol Title Sector Industry M.Cap.[M] Div Yield Last Close AvgVol 200d
QQQ Invesco QQQ Trust 0.003 599.87 49739894
SPY SPDR S&P 500 ETF Trust 0.0086 662.63 73944849
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: 8035.18
Total net P/L: -1964.82 Total ROI: -19.65 %
CAGR: -3.68 % Max. DD: 21.89 %
System Score: -0.005 Sharpe Ratio: -1.127
Start Date: 2020-01-02 End Date: 2025-10-31
Total days: 2129
Commissions: 1796.00 Comm.% P/L 1063.85 %
Total Transactions: 1796 Log. Linearity: 10.739 %
Total enabled Long enabled Short QQQ SPY
Total Profit/Loss -168.82 1050.05 -1218.87 3269.06 -3437.88
Total Profit 10675.35 5354.69 5320.66 29856.38 20348.75
Total Loss 10844.17 4304.64 6539.52 26587.32 23786.63
Profit Factor 0.98 1.24 0.81 1.12 0.86
Trades 449 209 240 449 449
Winning Trades 297 143 154 272 193
Losing Trades 152 66 86 177 256
% Profitable 66.00 68.00 64.00 60.00 42.00
Profit/Loss Per Trade % -0.00 0.06 -0.05 0.07 -0.10
Profit Per Trade % 0.42 0.44 0.41 1.27 1.22
Loss Per Trade % 0.82 0.76 0.87 1.73 1.07
Days In Trade 1245 567 678 1245 1245
Days In Trade (Avg. Per Trade) 2.77 2.71 2.83 2.77 2.77
% Days In Trade 58.48 26.63 31.85 58.48 58.48
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Trade Log
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Disclaimer: Backtested, simulated or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. There are numerous factors related to the stock market in general and to the implementation of any stock market timing program, which cannot be fully accounted for in the preparation of hypothetical performance results. The backtested results listed here do not take into consideration slippage, fees, taxes, or dividends and interest earned on cash positions. These factors would affect actual trading results. Simulated, backtested or hypothetical stock trading systems in general are also subject to the fact that they are designed with the benefit of hindsight. Backtested performance does not represent actual performance and should not be interpreted as an indication of such performance. No representation is being made that you will or is likely to achieve profits or losses similar to these being shown. This site provides impersonal educational stock trading information, and therefore, no consideration can or is made toward your financial circumstances. All material presented within is not to be regarded as investment advice, but for general informational purposes only.