| Model: | Kalman |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| IWM | iShares Russell 2000 ETF | 0.0078 | 253.85 | 37579709 | |||
| SPY | SPDR S&P 500 ETF Trust | 0.0082 | 681.76 | 76982872 |
| Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
| Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
| δ: | 0.0001 | Ve: | 0.001 | Neutrality: | dollar |
| Aux StdDev Per: | 0 | Unstable Period: | 20 | ||
| Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
| Version: | 5 | Model Version: | 2014.1 | Bid-Ask 0.00 / 0.00 | |
| Initial Capital: | 10000.00 | Final Equity: | 8228.20 |
| Total net P/L: | -1771.80 | Total ROI: | -17.72 % |
| CAGR: | -3.25 % | Max. DD: | 22.39 % |
| System Score: | -1.335 | Sharpe Ratio: | -0.861 |
| Start Date: | 2020-01-02 | End Date: | 2025-11-28 |
| Total days: | 2157 | ||
| Commissions: | 1004.00 | Comm.% P/L | 130.76 % |
| Total Transactions: | 1004 | Log. Linearity: | 74.356 % |
| Total | Long |
Short |
IWM | SPY | |
|---|---|---|---|---|---|
| Total Profit/Loss | -767.80 | -1324.72 | 556.92 | -3813.54 | 3045.74 |
| Total Profit | 8257.63 | 4350.04 | 3907.59 | 14696.05 | 14149.94 |
| Total Loss | 9025.43 | 5674.76 | 3350.67 | 18509.59 | 11104.20 |
| Profit Factor | 0.91 | 0.77 | 1.17 | 0.79 | 1.27 |
| Trades | 251 | 132 | 119 | 251 | 251 |
| Winning Trades | 158 | 82 | 76 | 139 | 125 |
| Losing Trades | 93 | 50 | 43 | 112 | 125 |
| % Profitable | 62.00 | 62.00 | 63.00 | 55.00 | 49.00 |
| Profit/Loss Per Trade % | -0.03 | -0.11 | 0.05 | -0.18 | 0.11 |
| Profit Per Trade % | 0.60 | 0.61 | 0.60 | 1.21 | 1.26 |
| Loss Per Trade % | 1.09 | 1.26 | 0.89 | 1.83 | 1.01 |
| Days In Trade | 688 | 370 | 318 | 688 | 688 |
| Days In Trade (Avg. Per Trade) | 2.74 | 2.80 | 2.67 | 2.74 | 2.74 |
| % Days In Trade | 31.90 | 17.15 | 14.74 | 31.90 | 31.90 |