| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| XLU | Utilities Select Sector SPDR® Fund | 12105 | 0.0439 | 44.76 | 22954170 | ||
| 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: | 7534.04 |
| Total net P/L: | -2465.96 | Total ROI: | -24.66 % |
| CAGR: | -5.11 % | Max. DD: | 37.88 % |
| System Score: | -1.968 | Sharpe Ratio: | -0.767 |
| Start Date: | 2021-01-04 | End Date: | 2026-05-29 |
| Total days: | 1971 | ||
| Commissions: | 2021.15 | Comm.% P/L | 454.38 % |
| Total Transactions: | 1660 | Log. Linearity: | 72.769 % |
| Total | Long |
Short |
XLU | SPY | |
|---|---|---|---|---|---|
| Total Profit/Loss | -444.81 | -1573.50 | 1128.69 | -3442.93 | 2998.12 |
| Total Profit | 21180.60 | 10950.30 | 10230.29 | 20929.81 | 21982.94 |
| Total Loss | 21625.41 | 12523.80 | 9101.61 | 24372.74 | 18984.82 |
| Profit Factor | 0.98 | 0.87 | 1.12 | 0.86 | 1.16 |
| Trades | 415 | 210 | 205 | 415 | 415 |
| Winning Trades | 264 | 127 | 137 | 207 | 231 |
| Losing Trades | 151 | 83 | 68 | 203 | 184 |
| % Profitable | 63.00 | 60.00 | 66.00 | 49.00 | 55.00 |
| Profit/Loss Per Trade % | -0.02 | -0.09 | 0.06 | -0.09 | 0.06 |
| Profit Per Trade % | 0.80 | 0.85 | 0.75 | 1.00 | 0.93 |
| Loss Per Trade % | 1.42 | 1.51 | 1.32 | 1.18 | 1.01 |
| Days In Trade | 1234 | 661 | 573 | 1234 | 1234 |
| Days In Trade (Avg. Per Trade) | 2.97 | 3.15 | 2.80 | 2.97 | 2.97 |
| % Days In Trade | 62.61 | 33.54 | 29.07 | 62.61 | 62.61 |