| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| XLK | Technology Select Sector SPDR® Fund | 0.0059 | 191.44 | 17027404 | |||
| SPY | SPDR S&P 500 ETF Trust | 0.0077 | 746.74 | 75636076 |
| 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: | 8806.61 |
| Total net P/L: | -1193.39 | Total ROI: | -11.93 % |
| CAGR: | -2.33 % | Max. DD: | 23.86 % |
| System Score: | -0.014 | Sharpe Ratio: | -0.510 |
| Start Date: | 2021-01-04 | End Date: | 2026-05-29 |
| Total days: | 1971 | ||
| Commissions: | 1644.00 | Comm.% P/L | 364.84 % |
| Total Transactions: | 1644 | Log. Linearity: | 18.196 % |
| Total | Long |
Short |
XLK | SPY | |
|---|---|---|---|---|---|
| Total Profit/Loss | 450.61 | 2635.26 | -2184.66 | 4886.73 | -4436.12 |
| Total Profit | 15122.23 | 7973.46 | 7148.76 | 36528.10 | 20281.71 |
| Total Loss | 14671.62 | 5338.20 | 9333.42 | 31641.37 | 24717.84 |
| Profit Factor | 1.03 | 1.49 | 0.77 | 1.15 | 0.82 |
| Trades | 411 | 192 | 219 | 411 | 411 |
| Winning Trades | 276 | 136 | 140 | 251 | 173 |
| Losing Trades | 135 | 56 | 79 | 160 | 238 |
| % Profitable | 67.00 | 70.00 | 63.00 | 61.00 | 42.00 |
| Profit/Loss Per Trade % | 0.01 | 0.13 | -0.10 | 0.09 | -0.11 |
| Profit Per Trade % | 0.53 | 0.56 | 0.49 | 1.38 | 1.11 |
| Loss Per Trade % | 1.03 | 0.90 | 1.13 | 1.86 | 0.98 |
| Days In Trade | 1123 | 507 | 616 | 1123 | 1123 |
| Days In Trade (Avg. Per Trade) | 2.73 | 2.64 | 2.81 | 2.73 | 2.73 |
| % Days In Trade | 56.98 | 25.72 | 31.25 | 56.98 | 56.98 |