| Model: | Kalman-grid-v2 |
| Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
| Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
| Ve: | auto | Neutrality: | dollar | ||
| Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
| Version: | 5 | Model Version: | 2016.5 | Bid-Ask 0.01 / 0.01 | |
| Initial Capital: | 10000.00 | Final Equity: | 11875.76 |
| Total net P/L: | 1875.76 | Total ROI: | 18.76 % |
| CAGR: | 18.87 % | Max. DD: | 12.57 % |
| System Score: | 1.901 | Sharpe Ratio: | 0.996 |
| Start Date: | 2015-01-02 | End Date: | 2015-12-31 |
| Total days: | 363 | ||
| Commissions: | 332.00 | Comm.% P/L | 15.04 % |
| Total Transactions: | 332 | Log. Linearity: | 46.530 % |
| Total | Long |
Short |
LO | STZ | |
|---|---|---|---|---|---|
| Total Profit/Loss | 2207.76 | -785.12 | 2992.88 | -449.13 | 2656.89 |
| Total Profit | 7528.51 | 3413.48 | 4115.03 | 1782.10 | 7892.36 |
| Total Loss | 5320.75 | 4198.60 | 1122.15 | 2231.23 | 5235.47 |
| Profit Factor | 1.41 | 0.81 | 3.67 | 0.80 | 1.51 |
| Trades | 83 | 43 | 40 | 83 | 83 |
| Winning Trades | 57 | 28 | 29 | 20 | 61 |
| Losing Trades | 26 | 15 | 11 | 63 | 22 |
| % Profitable | 68.00 | 65.00 | 72.00 | 24.00 | 73.00 |
| Profit/Loss Per Trade % | 0.24 | -0.15 | 0.67 | -0.04 | 0.28 |
| Profit Per Trade % | 1.16 | 1.06 | 1.26 | 0.83 | 1.13 |
| Loss Per Trade % | 1.68 | 2.29 | 0.87 | 0.31 | 1.98 |
| Days In Trade | 310 | 181 | 129 | 310 | 310 |
| Days In Trade (Avg. Per Trade) | 3.73 | 4.21 | 3.23 | 3.73 | 3.73 |
| % Days In Trade | 85.40 | 49.86 | 35.54 | 85.40 | 85.40 |