Model: | Kalman-auto |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
VXX | iPath® Series B S&P 500® VIX Short-Term Futures ETN | 55.09 | 4437776 | ||||
VIXY | ProShares VIX Short-Term Futures ETF | 13.57 | 5131424 |
Usage Target: | 70.0 | 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: | 16427.48 |
Total net P/L: | 6427.48 | Total ROI: | 64.27 % |
CAGR: | 9.67 % | Max. DD: | 2.82 % |
System Score: | 9.493 | Sharpe Ratio: | 7.860 |
Start Date: | 2011-07-18 | End Date: | 2016-11-30 |
Total days: | 1962 | ||
Commissions: | 2423.65 | Comm.% P/L | 27.38 % |
Total Transactions: | 2300 | Log. Linearity: | 99.371 % |
Total | Long | Short | VXX | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | 8851.13 | 4342.09 | 4509.03 | -3282.40 | 12133.52 |
Total Profit | 10659.43 | 5224.99 | 5434.43 | 133384.52 | 142648.19 |
Total Loss | 1808.30 | 882.90 | 925.40 | 136666.92 | 130514.67 |
Profit Factor | 5.89 | 5.92 | 5.87 | 0.98 | 1.09 |
Trades | 575 | 287 | 288 | 575 | 575 |
Winning Trades | 471 | 237 | 234 | 274 | 305 |
Losing Trades | 104 | 50 | 54 | 301 | 270 |
% Profitable | 81.00 | 82.00 | 81.00 | 47.00 | 53.00 |
Profit/Loss Per Trade % | 0.12 | 0.12 | 0.12 | -0.12 | -0.03 |
Profit Per Trade % | 0.18 | 0.18 | 0.19 | 3.86 | 3.60 |
Loss Per Trade % | 0.16 | 0.16 | 0.16 | 3.49 | 3.84 |
Days In Trade | 1301 | 647 | 654 | 1301 | 1301 |
Days In Trade (Avg. Per Trade) | 2.26 | 2.25 | 2.27 | 2.26 | 2.26 |
% Days In Trade | 66.31 | 32.98 | 33.33 | 66.31 | 66.31 |