Model: | Kalman |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
GOOG | Alphabet Inc Class C | Communication Services | Internet Content & Information | 2093392 | 171.93 | 21794271 | |
MSFT | Microsoft Corporation | Technology | Software - Infrastructure | 3096003 | 0.0072 | 416.56 | 22770888 |
Entry Threshold: | 3.60 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Simple | 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: | 10824.33 |
Total net P/L: | 824.33 | Total ROI: | 8.24 % |
CAGR: | 2.14 % | Max. DD: | 26.34 % |
System Score: | 0.000 | Sharpe Ratio: | 0.456 |
Start Date: | 2019-01-02 | End Date: | 2022-09-29 |
Total days: | 1366 | ||
Commissions: | 452.73 | Comm.% P/L | 35.45 % |
Total Transactions: | 452 | Log. Linearity: | 5.564 % |
Total | Long | Short | GOOG | MSFT | |
---|---|---|---|---|---|
Total Profit/Loss | 1277.06 | 1467.22 | -190.16 | -354.59 | 1631.65 |
Total Profit | 8816.59 | 5381.26 | 3435.33 | 11826.16 | 13491.74 |
Total Loss | 7539.53 | 3914.04 | 3625.49 | 12180.75 | 11860.09 |
Profit Factor | 1.17 | 1.37 | 0.95 | 0.97 | 1.14 |
Trades | 113 | 60 | 53 | 113 | 113 |
Winning Trades | 77 | 42 | 35 | 54 | 58 |
Losing Trades | 36 | 18 | 18 | 59 | 55 |
% Profitable | 68.00 | 70.00 | 66.00 | 47.00 | 51.00 |
Profit/Loss Per Trade % | 0.11 | 0.24 | -0.04 | -0.04 | 0.08 |
Profit Per Trade % | 1.05 | 1.19 | 0.89 | 2.02 | 2.07 |
Loss Per Trade % | 1.84 | 1.90 | 1.78 | 1.83 | 1.93 |
Days In Trade | 306 | 172 | 134 | 306 | 306 |
Days In Trade (Avg. Per Trade) | 2.71 | 2.87 | 2.53 | 2.71 | 2.71 |
% Days In Trade | 22.40 | 12.59 | 9.81 | 22.40 | 22.40 |