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Model: Kalman-auto
HQ Backtest VXX vs VIXY
Symbol Title Sector Exchange M.Cap.[M] Beta Float Avg.Price Avg.Volume Last volume
VXX iPath SP 500 VIX Short Term Futures TM ETN NYSEARCA 1470 0 0 0 0
VIXY ProShares Trust II NYSEARCA 264.97 0 0 0 0
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 enabled Long enabled 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
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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.