Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
MQY | BlackRock MuniYield Quality Closed Fund | Financial Services | Asset Management | 935 | 0.0437 | 10.52 | 174424 |
BHK | BlackRock Core Bond Closed Fund | Financial Services | Asset Management | 541 | 0.0894 | 9.93 | 170704 |
Usage Target: | 60.0 | Sigma: | 1.50 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Ve: | 0.001 | Neutrality: | dollar | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 8168.57 |
Total net P/L: | -1831.43 | Total ROI: | -18.31 % |
CAGR: | -3.46 % | Max. DD: | 35.23 % |
System Score: | -0.022 | Sharpe Ratio: | -0.594 |
Start Date: | 2017-01-02 | End Date: | 2022-09-30 |
Total days: | 2097 | ||
Commissions: | 4740.92 | Comm.% P/L | 162.95 % |
Total Transactions: | 1380 | Log. Linearity: | 18.630 % |
Total | ![]() |
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MQY | BHK | |
---|---|---|---|---|---|
Total Profit/Loss | 2909.49 | 1062.57 | 1846.92 | 4880.80 | -1971.31 |
Total Profit | 17194.75 | 7869.84 | 9324.92 | 19325.03 | 14457.14 |
Total Loss | 14285.27 | 6807.27 | 7478.00 | 14444.24 | 16428.45 |
Profit Factor | 1.20 | 1.16 | 1.25 | 1.34 | 0.88 |
Trades | 345 | 174 | 171 | 345 | 345 |
Winning Trades | 209 | 102 | 107 | 182 | 182 |
Losing Trades | 136 | 72 | 64 | 162 | 163 |
% Profitable | 60.00 | 58.00 | 62.00 | 52.00 | 52.00 |
Profit/Loss Per Trade % | 0.08 | 0.06 | 0.11 | 0.14 | -0.08 |
Profit Per Trade % | 0.84 | 0.77 | 0.89 | 1.09 | 0.81 |
Loss Per Trade % | 1.05 | 0.94 | 1.18 | 0.90 | 1.04 |
Days In Trade | 1216 | 613 | 603 | 1216 | 1216 |
Days In Trade (Avg. Per Trade) | 3.52 | 3.52 | 3.53 | 3.52 | 3.52 |
% Days In Trade | 57.99 | 29.23 | 28.76 | 57.99 | 57.99 |