| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| LEN | Lennar Corporation | Consumer Cyclical | Residential Construction | 29481 | 0.0168 | 119.37 | 4016440 |
| NAIL | Direxion Daily Homebuilders & Supplies Bull 3X Shares | 0 | 59.89 | 983027 |
| Usage Target: | 60.0 | Sigma: | 1.50 | ||
| Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
| Ve: | 0.001 | Neutrality: | dollar | ||
| Margin Req. 1: | 100.0 | Margin Req. 2: | 100.0 | ||
| Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.01 / 0.01 | |
| Initial Capital: | 1000000.00 | Final Equity: | 984346.60 |
| Total net P/L: | -15653.40 | Total ROI: | -1.57 % |
| CAGR: | -0.27 % | Max. DD: | 35.29 % |
| System Score: | -0.000 | Sharpe Ratio: | 0.293 |
| Start Date: | 2020-01-02 | End Date: | 2025-12-10 |
| Total days: | 2169 | ||
| Commissions: | 55065.59 | Comm.% P/L | 139.72 % |
| Total Transactions: | 1764 | Log. Linearity: | 2.433 % |
| Total | Long |
Short |
LEN | NAIL | |
|---|---|---|---|---|---|
| Total Profit/Loss | 39412.19 | 157276.11 | -117863.92 | -122739.44 | 162151.63 |
| Total Profit | 3329426.38 | 1874613.71 | 1454812.67 | 2145402.75 | 5336453.84 |
| Total Loss | 3290014.19 | 1717337.60 | 1572676.59 | 2268142.19 | 5174302.21 |
| Profit Factor | 1.01 | 1.09 | 0.93 | 0.95 | 1.03 |
| Trades | 441 | 227 | 214 | 441 | 441 |
| Winning Trades | 292 | 151 | 141 | 168 | 291 |
| Losing Trades | 149 | 76 | 73 | 272 | 150 |
| % Profitable | 66.00 | 66.00 | 65.00 | 38.00 | 65.00 |
| Profit/Loss Per Trade % | 0.01 | 0.07 | -0.05 | -0.08 | 0.02 |
| Profit Per Trade % | 1.31 | 1.42 | 1.20 | 1.39 | 2.11 |
| Loss Per Trade % | 2.42 | 2.49 | 2.35 | 0.97 | 3.73 |
| Days In Trade | 1227 | 646 | 581 | 1227 | 1227 |
| Days In Trade (Avg. Per Trade) | 2.78 | 2.85 | 2.71 | 2.78 | 2.78 |
| % Days In Trade | 56.57 | 29.78 | 26.79 | 56.57 | 56.57 |