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: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | 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: | 10111.32 |
Total net P/L: | 111.32 | Total ROI: | 1.11 % |
CAGR: | 0.21 % | Max. DD: | 44.36 % |
System Score: | 0.001 | Sharpe Ratio: | 0.229 |
Start Date: | 2019-01-02 | End Date: | 2024-03-29 |
Total days: | 1913 | ||
Commissions: | 1435.39 | Comm.% P/L | 92.80 % |
Total Transactions: | 1432 | Log. Linearity: | 14.833 % |
Total | Long | Short | GOOG | MSFT | |
---|---|---|---|---|---|
Total Profit/Loss | 1546.71 | 1025.32 | 521.39 | -3010.79 | 4557.50 |
Total Profit | 27201.23 | 13644.17 | 13557.06 | 38565.21 | 40717.35 |
Total Loss | 25654.52 | 12618.85 | 13035.67 | 41576.00 | 36159.85 |
Profit Factor | 1.06 | 1.08 | 1.04 | 0.93 | 1.13 |
Trades | 358 | 189 | 169 | 358 | 358 |
Winning Trades | 230 | 124 | 106 | 180 | 189 |
Losing Trades | 128 | 65 | 63 | 178 | 169 |
% Profitable | 64.00 | 65.00 | 62.00 | 50.00 | 52.00 |
Profit/Loss Per Trade % | 0.04 | 0.03 | 0.05 | -0.07 | 0.06 |
Profit Per Trade % | 1.08 | 0.99 | 1.18 | 1.95 | 1.87 |
Loss Per Trade % | 1.76 | 1.73 | 1.79 | 2.03 | 1.90 |
Days In Trade | 1044 | 560 | 484 | 1044 | 1044 |
Days In Trade (Avg. Per Trade) | 2.92 | 2.96 | 2.86 | 2.92 | 2.92 |
% Days In Trade | 54.57 | 29.27 | 25.30 | 54.57 | 54.57 |