| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| QQQ | Invesco QQQ Trust | 0.0028 | 623.93 | 51768803 | |||
| SPY | SPDR S&P 500 ETF Trust | 0.0082 | 690.38 | 77067893 |
| Usage Target: | 60.0 | Sigma: | 1.50 | ||
| Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
| Ve: | 0.001 | Neutrality: | beta | ||
| Margin Req. 1: | 100.0 | Margin Req. 2: | 100.0 | ||
| Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.01 / 0.01 | |
| Initial Capital: | 10000.00 | Final Equity: | 8301.50 |
| Total net P/L: | -1698.50 | Total ROI: | -16.98 % |
| CAGR: | -3.10 % | Max. DD: | 18.09 % |
| System Score: | -0.786 | Sharpe Ratio: | -2.087 |
| Start Date: | 2020-01-02 | End Date: | 2025-11-28 |
| Total days: | 2157 | ||
| Commissions: | 1832.00 | Comm.% P/L | 1372.24 % |
| Total Transactions: | 1832 | Log. Linearity: | 63.297 % |
| Total | Long |
Short |
QQQ | SPY | |
|---|---|---|---|---|---|
| Total Profit/Loss | 133.50 | 584.78 | -451.27 | 2021.41 | -1887.91 |
| Total Profit | 5747.51 | 2838.34 | 2909.18 | 15757.15 | 10483.96 |
| Total Loss | 5614.01 | 2253.56 | 3360.45 | 13735.74 | 12371.87 |
| Profit Factor | 1.02 | 1.26 | 0.87 | 1.15 | 0.85 |
| Trades | 458 | 215 | 243 | 458 | 458 |
| Winning Trades | 303 | 145 | 158 | 279 | 196 |
| Losing Trades | 155 | 70 | 85 | 179 | 262 |
| % Profitable | 66.00 | 67.00 | 65.00 | 60.00 | 42.00 |
| Profit/Loss Per Trade % | 0.00 | 0.03 | -0.02 | 0.05 | -0.05 |
| Profit Per Trade % | 0.21 | 0.22 | 0.21 | 0.63 | 0.59 |
| Loss Per Trade % | 0.40 | 0.36 | 0.43 | 0.85 | 0.52 |
| Days In Trade | 1262 | 581 | 681 | 1262 | 1262 |
| Days In Trade (Avg. Per Trade) | 2.76 | 2.70 | 2.80 | 2.76 | 2.76 |
| % Days In Trade | 58.51 | 26.94 | 31.57 | 58.51 | 58.51 |