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: | 1.00 | 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: | 10707.68 |
Total net P/L: | 707.68 | Total ROI: | 7.08 % |
CAGR: | 1.84 % | Max. DD: | 32.44 % |
System Score: | 0.002 | Sharpe Ratio: | 0.369 |
Start Date: | 2019-01-02 | End Date: | 2022-09-29 |
Total days: | 1366 | ||
Commissions: | 1676.29 | Comm.% P/L | 70.32 % |
Total Transactions: | 1676 | Log. Linearity: | 10.089 % |
Total | Long | Short | GOOG | MSFT | |
---|---|---|---|---|---|
Total Profit/Loss | 2383.97 | -115.59 | 2499.56 | -4944.01 | 7327.98 |
Total Profit | 27037.03 | 12803.31 | 14233.72 | 35805.03 | 41663.52 |
Total Loss | 24653.06 | 12918.90 | 11734.16 | 40749.04 | 34335.54 |
Profit Factor | 1.10 | 0.99 | 1.21 | 0.88 | 1.21 |
Trades | 419 | 208 | 211 | 419 | 419 |
Winning Trades | 269 | 133 | 136 | 203 | 234 |
Losing Trades | 150 | 75 | 75 | 216 | 184 |
% Profitable | 64.00 | 63.00 | 64.00 | 48.00 | 55.00 |
Profit/Loss Per Trade % | 0.06 | -0.01 | 0.12 | -0.15 | 0.15 |
Profit Per Trade % | 0.99 | 0.94 | 1.03 | 1.72 | 1.74 |
Loss Per Trade % | 1.57 | 1.65 | 1.49 | 1.83 | 1.79 |
Days In Trade | 1266 | 642 | 624 | 1266 | 1266 |
Days In Trade (Avg. Per Trade) | 3.02 | 3.09 | 2.96 | 3.02 | 3.02 |
% Days In Trade | 92.68 | 47.00 | 45.68 | 92.68 | 92.68 |