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: | 0.001 | 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: | 10953.32 |
Total net P/L: | 953.32 | Total ROI: | 9.53 % |
CAGR: | 2.46 % | Max. DD: | 29.88 % |
System Score: | 0.000 | Sharpe Ratio: | 0.493 |
Start Date: | 2019-01-02 | End Date: | 2022-09-29 |
Total days: | 1366 | ||
Commissions: | 553.66 | Comm.% P/L | 36.74 % |
Total Transactions: | 552 | Log. Linearity: | 5.796 % |
Total | Long | Short | GOOG | MSFT | |
---|---|---|---|---|---|
Total Profit/Loss | 1506.98 | 1804.90 | -297.92 | -3445.01 | 4951.99 |
Total Profit | 10796.21 | 6089.71 | 4706.50 | 14715.95 | 19341.20 |
Total Loss | 9289.22 | 4284.80 | 5004.42 | 18160.96 | 14389.21 |
Profit Factor | 1.16 | 1.42 | 0.94 | 0.81 | 1.34 |
Trades | 138 | 70 | 68 | 138 | 138 |
Winning Trades | 92 | 49 | 43 | 66 | 70 |
Losing Trades | 46 | 21 | 25 | 72 | 68 |
% Profitable | 66.00 | 70.00 | 63.00 | 47.00 | 50.00 |
Profit/Loss Per Trade % | 0.10 | 0.24 | -0.04 | -0.23 | 0.25 |
Profit Per Trade % | 1.05 | 1.12 | 0.97 | 2.02 | 2.38 |
Loss Per Trade % | 1.73 | 1.76 | 1.71 | 2.17 | 1.86 |
Days In Trade | 372 | 193 | 179 | 372 | 372 |
Days In Trade (Avg. Per Trade) | 2.70 | 2.76 | 2.63 | 2.70 | 2.70 |
% Days In Trade | 27.23 | 14.13 | 13.10 | 27.23 | 27.23 |