| Model: | Kalman |
| 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 |
| Entry Threshold: | 2.00 | Exit Threshold: | -2.00 | ||
| Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
| δ: | 0.0001 | Ve: | 0.001 | Neutrality: | dollar |
| Aux StdDev Per: | 0 | Unstable Period: | 20 | ||
| Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
| Version: | 5 | Model Version: | 2014.1 | Bid-Ask 0.01 / 0.01 | |
| Initial Capital: | 10000.00 | Final Equity: | 11121.93 |
| Total net P/L: | 1121.93 | Total ROI: | 11.22 % |
| CAGR: | 1.90 % | Max. DD: | 37.79 % |
| System Score: | 0.004 | Sharpe Ratio: | 0.462 |
| Start Date: | 2021-01-04 | End Date: | 2026-08-31 |
| Total days: | 2065 | ||
| Commissions: | 1192.00 | Comm.% P/L | 51.51 % |
| Total Transactions: | 1192 | Log. Linearity: | 12.950 % |
| Total | Long |
Short |
JPM | GS | |
|---|---|---|---|---|---|
| Total Profit/Loss | 2313.93 | -183.35 | 2497.29 | 4196.14 | -1882.21 |
| Total Profit | 26588.42 | 13570.28 | 13018.15 | 35657.24 | 37562.14 |
| Total Loss | 24274.49 | 13753.63 | 10520.86 | 31461.10 | 39444.35 |
| Profit Factor | 1.10 | 0.99 | 1.24 | 1.13 | 0.95 |
| Trades | 298 | 151 | 147 | 298 | 298 |
| Winning Trades | 204 | 100 | 104 | 158 | 167 |
| Losing Trades | 94 | 51 | 43 | 140 | 130 |
| % Profitable | 68.00 | 66.00 | 70.00 | 53.00 | 56.00 |
| Profit/Loss Per Trade % | 0.08 | -0.01 | 0.17 | 0.11 | -0.12 |
| Profit Per Trade % | 1.38 | 1.45 | 1.31 | 2.36 | 2.37 |
| Loss Per Trade % | 2.64 | 2.76 | 2.49 | 2.33 | 3.15 |
| Days In Trade | 2038 | 1036 | 1002 | 2038 | 2038 |
| Days In Trade (Avg. Per Trade) | 6.84 | 6.86 | 6.82 | 6.84 | 6.84 |
| % Days In Trade | 98.69 | 50.17 | 48.52 | 98.69 | 98.69 |