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: | 3.60 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
δ: | 0.00001 | 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: | 10762.04 |
Total net P/L: | 762.04 | Total ROI: | 7.62 % |
CAGR: | 1.98 % | Max. DD: | 29.62 % |
System Score: | 0.000 | Sharpe Ratio: | 0.383 |
Start Date: | 2019-01-02 | End Date: | 2022-09-29 |
Total days: | 1366 | ||
Commissions: | 1332.14 | Comm.% P/L | 63.61 % |
Total Transactions: | 1332 | Log. Linearity: | 5.038 % |
Total | Long | Short | GOOG | MSFT | |
---|---|---|---|---|---|
Total Profit/Loss | 2094.18 | -376.34 | 2470.52 | -4439.41 | 6533.60 |
Total Profit | 21913.96 | 10412.89 | 11501.07 | 28585.86 | 33642.81 |
Total Loss | 19819.77 | 10789.22 | 9030.55 | 33025.28 | 27109.22 |
Profit Factor | 1.11 | 0.97 | 1.27 | 0.87 | 1.24 |
Trades | 333 | 165 | 168 | 333 | 333 |
Winning Trades | 216 | 106 | 110 | 157 | 188 |
Losing Trades | 117 | 59 | 58 | 176 | 144 |
% Profitable | 64.00 | 64.00 | 65.00 | 47.00 | 56.00 |
Profit/Loss Per Trade % | 0.06 | -0.03 | 0.15 | -0.17 | 0.17 |
Profit Per Trade % | 1.03 | 0.99 | 1.06 | 1.83 | 1.79 |
Loss Per Trade % | 1.66 | 1.80 | 1.52 | 1.87 | 1.86 |
Days In Trade | 978 | 505 | 473 | 978 | 978 |
Days In Trade (Avg. Per Trade) | 2.94 | 3.06 | 2.82 | 2.94 | 2.94 |
% Days In Trade | 71.60 | 36.97 | 34.63 | 71.60 | 71.60 |