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Model: Kalman-auto
HQ Backtest UPRO vs SPXL
Symbol Title Sector Exchange M.Cap.[M] Beta Float Avg.Price Avg.Volume Last volume
UPRO ProShares UltraPro SP 500 (ETF) NYSEARCA 705.04 0 0 0 235837
SPXL Direxion Large Cap Bull 3X Shares (ETF) NYSEARCA 479.29 0 0 0 175181
Usage Target: 60.0 Sigma: 1.50
Max Duration: 25 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: 9895.18
Total net P/L: -104.82 Total ROI: -1.05 %
CAGR: -0.19 % Max. DD: 2.74 %
System Score: -0.015 Sharpe Ratio: -0.410
Start Date: 2012-01-02 End Date: 2017-08-31
Total days: 2068
Commissions: 234.86 Comm.% P/L 180.61 %
Total Transactions: 108 Log. Linearity: 43.331 %
Total enabled Long enabled Short UPRO SPXL
Total Profit/Loss 130.04 -5.41 135.45 -4759.59 4889.63
Total Profit 375.19 44.44 330.74 5037.25 9768.91
Total Loss 245.15 49.85 195.30 9796.84 4879.29
Profit Factor 1.53 0.89 1.69 0.51 2.00
Trades 27 4 23 27 27
Winning Trades 14 3 11 10 17
Losing Trades 13 1 12 17 10
% Profitable 51.00 75.00 47.00 37.00 62.00
Profit/Loss Per Trade % 0.05 -0.01 0.06 -1.99 1.63
Profit Per Trade % 0.27 0.15 0.30 5.05 5.71
Loss Per Trade % 0.19 0.50 0.16 5.73 4.88
Days In Trade 483 81 402 483 483
Days In Trade (Avg. Per Trade) 17.89 20.25 17.48 17.89 17.89
% Days In Trade 23.36 3.92 19.44 23.36 23.36
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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.