| Model: | Kalman-auto |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| SBR | Sabine Royalty Trust | Energy | Oil & Gas Midstream | 1091 | 0.0651 | 75.1 | 38752 |
| USO | United States Oil Fund LP | 133.7 | 14999098 |
| 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: | 12797.98 |
| Total net P/L: | 2797.98 | Total ROI: | 27.98 % |
| CAGR: | 4.46 % | Max. DD: | 49.21 % |
| System Score: | 0.001 | Sharpe Ratio: | 0.703 |
| Start Date: | 2021-01-04 | End Date: | 2026-08-31 |
| Total days: | 2065 | ||
| Commissions: | 2043.36 | Comm.% P/L | 42.21 % |
| Total Transactions: | 1788 | Log. Linearity: | 5.234 % |
| Total | Long |
Short |
SBR | USO | |
|---|---|---|---|---|---|
| Total Profit/Loss | 4841.34 | -947.98 | 5789.32 | -3204.51 | 8045.85 |
| Total Profit | 69927.40 | 35016.61 | 34910.79 | 61454.07 | 79086.53 |
| Total Loss | 65086.06 | 35964.59 | 29121.47 | 64658.58 | 71040.68 |
| Profit Factor | 1.07 | 0.97 | 1.20 | 0.95 | 1.11 |
| Trades | 447 | 227 | 220 | 447 | 447 |
| Winning Trades | 299 | 145 | 154 | 237 | 261 |
| Losing Trades | 148 | 82 | 66 | 209 | 185 |
| % Profitable | 66.00 | 63.00 | 70.00 | 53.00 | 58.00 |
| Profit/Loss Per Trade % | 0.09 | -0.04 | 0.22 | -0.07 | 0.10 |
| Profit Per Trade % | 1.73 | 1.78 | 1.68 | 1.84 | 2.18 |
| Loss Per Trade % | 3.06 | 3.09 | 3.01 | 2.11 | 2.69 |
| Days In Trade | 1244 | 662 | 582 | 1244 | 1244 |
| Days In Trade (Avg. Per Trade) | 2.78 | 2.92 | 2.65 | 2.78 | 2.78 |
| % Days In Trade | 60.24 | 32.06 | 28.18 | 60.24 | 60.24 |