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 | 2139576 | 173.88 | 21807152 | |
MSFT | Microsoft Corporation | Technology | Software - Infrastructure | 3144462 | 0.0071 | 423.08 | 22755078 |
Entry Threshold: | 1.10 | 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: | 7491.65 |
Total net P/L: | -2508.35 | Total ROI: | -25.08 % |
CAGR: | -5.36 % | Max. DD: | 37.73 % |
System Score: | -0.357 | Sharpe Ratio: | -0.396 |
Start Date: | 2019-01-02 | End Date: | 2024-03-29 |
Total days: | 1913 | ||
Commissions: | 1944.05 | Comm.% P/L | 344.51 % |
Total Transactions: | 1944 | Log. Linearity: | 40.516 % |
Total | Long | Short | GOOG | MSFT | |
---|---|---|---|---|---|
Total Profit/Loss | -564.30 | -1761.66 | 1197.37 | -1062.98 | 498.69 |
Total Profit | 29514.48 | 13810.79 | 15703.69 | 43869.91 | 42186.46 |
Total Loss | 30078.77 | 15572.45 | 14506.33 | 44932.89 | 41687.78 |
Profit Factor | 0.98 | 0.89 | 1.08 | 0.98 | 1.01 |
Trades | 486 | 243 | 243 | 486 | 486 |
Winning Trades | 303 | 148 | 155 | 246 | 260 |
Losing Trades | 183 | 95 | 88 | 240 | 225 |
% Profitable | 62.00 | 60.00 | 63.00 | 50.00 | 53.00 |
Profit/Loss Per Trade % | -0.02 | -0.08 | 0.05 | -0.05 | -0.02 |
Profit Per Trade % | 1.05 | 1.00 | 1.09 | 1.90 | 1.71 |
Loss Per Trade % | 1.73 | 1.71 | 1.74 | 1.97 | 1.94 |
Days In Trade | 1459 | 755 | 704 | 1459 | 1459 |
Days In Trade (Avg. Per Trade) | 3.00 | 3.11 | 2.90 | 3.00 | 3.00 |
% Days In Trade | 76.27 | 39.47 | 36.80 | 76.27 | 76.27 |