| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| JPM | JPMorgan Chase & Co | Financial Services | Banks - Diversified | 911917 | 0.0177 | 343.06 | 9387365 |
| GS | Goldman Sachs Group Inc | Financial Services | Capital Markets | 272376 | 0.0184 | 935.45 | 2197030 |
| 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: | 5595.25 |
| Total net P/L: | -4404.75 | Total ROI: | -44.05 % |
| CAGR: | -9.75 % | Max. DD: | 53.53 % |
| System Score: | -6.589 | Sharpe Ratio: | -1.493 |
| Start Date: | 2021-01-04 | End Date: | 2026-08-31 |
| Total days: | 2065 | ||
| Commissions: | 1752.00 | Comm.% P/L | 66.04 % |
| Total Transactions: | 1752 | Log. Linearity: | 87.741 % |
| Total | Long |
Short |
JPM | GS | |
|---|---|---|---|---|---|
| Total Profit/Loss | -2652.75 | -1763.33 | -889.42 | 5564.07 | -8216.82 |
| Total Profit | 13928.36 | 7960.82 | 5967.54 | 25477.71 | 21470.98 |
| Total Loss | 16581.11 | 9724.15 | 6856.96 | 19913.64 | 29687.80 |
| Profit Factor | 0.84 | 0.82 | 0.87 | 1.28 | 0.72 |
| Trades | 438 | 226 | 212 | 438 | 438 |
| Winning Trades | 276 | 140 | 136 | 238 | 227 |
| Losing Trades | 162 | 86 | 76 | 199 | 210 |
| % Profitable | 63.00 | 61.00 | 64.00 | 54.00 | 51.00 |
| Profit/Loss Per Trade % | -0.07 | -0.10 | -0.04 | 0.17 | -0.29 |
| Profit Per Trade % | 0.79 | 0.88 | 0.70 | 1.60 | 1.44 |
| Loss Per Trade % | 1.50 | 1.64 | 1.33 | 1.47 | 2.08 |
| Days In Trade | 1297 | 664 | 633 | 1297 | 1297 |
| Days In Trade (Avg. Per Trade) | 2.96 | 2.94 | 2.99 | 2.96 | 2.96 |
| % Days In Trade | 62.81 | 32.15 | 30.65 | 62.81 | 62.81 |