| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| TLT | iShares 20+ Year Treasury Bond ETF | 0.0257 | 83.56 | 34627928 | |||
| EDV | Vanguard Extended Duration Treasury Index Fund ETF Shares | 0 | 61.33 | 1180515 |
| 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 0.02 / 0.04 | |
| Initial Capital: | 10000.00 | Final Equity: | 6954.83 |
| Total net P/L: | -3045.17 | Total ROI: | -30.45 % |
| CAGR: | -6.60 % | Max. DD: | 31.21 % |
| System Score: | -5.378 | Sharpe Ratio: | -3.356 |
| Start Date: | 2021-01-04 | End Date: | 2026-04-30 |
| Total days: | 1942 | ||
| Commissions: | 1400.00 | Comm.% P/L | 85.10 % |
| Total Transactions: | 1400 | Log. Linearity: | 93.411 % |
| Total | Long |
Short |
TLT | EDV | |
|---|---|---|---|---|---|
| Total Profit/Loss | -1645.17 | -492.58 | -1152.58 | -3019.42 | 1374.25 |
| Total Profit | 4809.62 | 2201.44 | 2608.17 | 13263.65 | 20682.15 |
| Total Loss | 6454.78 | 2694.03 | 3760.76 | 16283.07 | 19307.90 |
| Profit Factor | 0.75 | 0.82 | 0.69 | 0.81 | 1.07 |
| Trades | 350 | 167 | 183 | 350 | 350 |
| Winning Trades | 207 | 104 | 103 | 133 | 212 |
| Losing Trades | 143 | 63 | 80 | 217 | 137 |
| % Profitable | 59.00 | 62.00 | 56.00 | 38.00 | 60.00 |
| Profit/Loss Per Trade % | -0.06 | -0.04 | -0.08 | -0.10 | 0.03 |
| Profit Per Trade % | 0.27 | 0.25 | 0.29 | 1.14 | 1.12 |
| Loss Per Trade % | 0.53 | 0.50 | 0.55 | 0.86 | 1.62 |
| Days In Trade | 1109 | 512 | 597 | 1109 | 1109 |
| Days In Trade (Avg. Per Trade) | 3.17 | 3.07 | 3.26 | 3.17 | 3.17 |
| % Days In Trade | 57.11 | 26.36 | 30.74 | 57.11 | 57.11 |