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Model: Kalman-auto
HQ Backtest XLK vs SPYV
Symbol Title Sector Industry M.Cap.[M] Div Yield Last Close AvgVol 200d
XLK Technology Select Sector SPDR® Fund 0.0059 191.44 17027404
SPYV SPDR® Portfolio S&P 500 Value ETF 0.0137 60.87 3353362
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 0.03 / 0.03
Initial Capital: 10000.00 Final Equity: 4533.15
Total net P/L: -5466.85 Total ROI: -54.67 %
CAGR: -13.63 % Max. DD: 56.47 %
System Score: -10.347 Sharpe Ratio: -2.425
Start Date: 2021-01-04 End Date: 2026-05-29
Total days: 1971
Commissions: 1514.06 Comm.% P/L 38.30 %
Total Transactions: 1440 Log. Linearity: 91.225 %
Total enabled Long enabled Short XLK SPYV
Total Profit/Loss -3952.78 -598.22 -3354.57 -3115.51 -837.27
Total Profit 13228.87 6432.11 6796.76 21124.50 13392.89
Total Loss 17181.65 7030.32 10151.33 24240.01 14230.16
Profit Factor 0.77 0.91 0.67 0.87 0.94
Trades 360 174 186 360 360
Winning Trades 218 111 107 208 168
Losing Trades 142 63 79 152 191
% Profitable 60.00 63.00 57.00 57.00 46.00
Profit/Loss Per Trade % -0.16 -0.03 -0.29 -0.13 -0.06
Profit Per Trade % 0.77 0.74 0.80 1.28 0.94
Loss Per Trade % 1.56 1.36 1.72 1.99 0.91
Days In Trade 1086 510 576 1086 1086
Days In Trade (Avg. Per Trade) 3.02 2.93 3.10 3.02 3.02
% Days In Trade 55.10 25.88 29.22 55.10 55.10
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Trade Log
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Disclaimer: Backtested, simulated or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. There are numerous factors related to the stock market in general and to the implementation of any stock market timing program, which cannot be fully accounted for in the preparation of hypothetical performance results. The backtested results listed here do not take into consideration slippage, fees, taxes, or dividends and interest earned on cash positions. These factors would affect actual trading results. Simulated, backtested or hypothetical stock trading systems in general are also subject to the fact that they are designed with the benefit of hindsight. Backtested performance does not represent actual performance and should not be interpreted as an indication of such performance. No representation is being made that you will or is likely to achieve profits or losses similar to these being shown. This site provides impersonal educational stock trading information, and therefore, no consideration can or is made toward your financial circumstances. All material presented within is not to be regarded as investment advice, but for general informational purposes only.