| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| SPY | SPDR S&P 500 ETF Trust | 0.0073 | 772.49 | 70543264 | |||
| WM | Waste Management Inc | Industrials | Waste Management | 90464 | 0.0156 | 226.32 | 2153449 |
| 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: | 13986.37 |
| Total net P/L: | 3986.37 | Total ROI: | 39.86 % |
| CAGR: | 6.21 % | Max. DD: | 38.20 % |
| System Score: | 1.421 | Sharpe Ratio: | 1.010 |
| Start Date: | 2021-01-04 | End Date: | 2026-07-31 |
| Total days: | 2034 | ||
| Commissions: | 1740.00 | Comm.% P/L | 30.39 % |
| Total Transactions: | 1740 | Log. Linearity: | 61.177 % |
| Total | Long |
Short |
SPY | WM | |
|---|---|---|---|---|---|
| Total Profit/Loss | 5726.37 | 2057.63 | 3668.74 | -1646.97 | 7373.34 |
| Total Profit | 39590.33 | 18429.81 | 21160.52 | 28017.41 | 37741.48 |
| Total Loss | 33863.96 | 16372.18 | 17491.78 | 29664.37 | 30368.14 |
| Profit Factor | 1.17 | 1.13 | 1.21 | 0.94 | 1.24 |
| Trades | 435 | 211 | 224 | 435 | 435 |
| Winning Trades | 286 | 140 | 146 | 241 | 255 |
| Losing Trades | 149 | 71 | 78 | 193 | 179 |
| % Profitable | 65.00 | 66.00 | 65.00 | 55.00 | 58.00 |
| Profit/Loss Per Trade % | 0.11 | 0.06 | 0.15 | -0.02 | 0.13 |
| Profit Per Trade % | 1.04 | 0.98 | 1.10 | 0.89 | 1.12 |
| Loss Per Trade % | 1.63 | 1.69 | 1.58 | 1.14 | 1.25 |
| Days In Trade | 1276 | 646 | 630 | 1276 | 1276 |
| Days In Trade (Avg. Per Trade) | 2.93 | 3.06 | 2.81 | 2.93 | 2.93 |
| % Days In Trade | 62.73 | 31.76 | 30.97 | 62.73 | 62.73 |