| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| VIRT | Virtu Financial, Inc. | Financial Services | Capital Markets | 10504 | 0.0202 | 50.82 | 1071527 |
| VIXM | ProShares VIX Mid-Term Futures ETF | 15.85 | 228941 |
| 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: | 2313.91 |
| Total net P/L: | -7686.09 | Total ROI: | -76.86 % |
| CAGR: | -24.38 % | Max. DD: | 88.95 % |
| System Score: | -12.863 | Sharpe Ratio: | -1.106 |
| Start Date: | 2021-01-04 | End Date: | 2026-03-31 |
| Total days: | 1912 | ||
| Commissions: | 1573.36 | Comm.% P/L | 25.74 % |
| Total Transactions: | 1332 | Log. Linearity: | 80.808 % |
| Total | Long |
Short |
VIRT | VIXM | |
|---|---|---|---|---|---|
| Total Profit/Loss | -6112.73 | 1166.23 | -7278.96 | -5693.72 | -419.00 |
| Total Profit | 21725.09 | 11726.91 | 9998.19 | 13694.57 | 14621.83 |
| Total Loss | 27837.82 | 10560.67 | 17277.15 | 19388.29 | 15040.83 |
| Profit Factor | 0.78 | 1.11 | 0.58 | 0.71 | 0.97 |
| Trades | 333 | 161 | 172 | 333 | 333 |
| Winning Trades | 194 | 106 | 88 | 161 | 186 |
| Losing Trades | 139 | 55 | 84 | 170 | 145 |
| % Profitable | 58.00 | 65.00 | 51.00 | 48.00 | 55.00 |
| Profit/Loss Per Trade % | -0.32 | 0.24 | -0.84 | -0.32 | 0.03 |
| Profit Per Trade % | 2.47 | 2.38 | 2.57 | 1.76 | 1.73 |
| Loss Per Trade % | 3.91 | 3.62 | 4.10 | 2.20 | 2.05 |
| Days In Trade | 993 | 416 | 577 | 993 | 993 |
| Days In Trade (Avg. Per Trade) | 2.98 | 2.58 | 3.35 | 2.98 | 2.98 |
| % Days In Trade | 51.94 | 21.76 | 30.18 | 51.94 | 51.94 |