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Model: Ratio
HQ Backtest VIXM vs VXZ
Symbol Title Sector Industry M.Cap.[M] Div Yield Last Close AvgVol 200d
VIXM ProShares VIX Mid-Term Futures ETF 16.73 175428
VXZ iPath® Series B S&P 500® VIX Mid-Term Futures ETN 58.62 19006
Entry Threshold: 2.00 Exit Threshold: 0.00
Max Duration: 20 Entry Mode: Uptick Reversals:
MA Period: 15 MA Type: EMA StdDev Period: 15
RSI Period: 14 RSI Threshold: 0
Margin Req. 1: 50.0 Margin Req. 2: 50.0
Version: 5 Model Version: 2016.1 Bid-Ask 0.01 / 0.01
Initial Capital: 10000.00 Final Equity: 14896.04
Total net P/L: 4896.04 Total ROI: 48.96 %
CAGR: 7.18 % Max. DD: 2.23 %
System Score: 7.011 Sharpe Ratio: 6.972
Start Date: 2012-01-02 End Date: 2017-09-29
Total days: 2097
Commissions: 478.32 Comm.% P/L 8.90 %
Total Transactions: 364 Log. Linearity: 99.196 %
Total enabled Long enabled Short VIXM VXZ
Total Profit/Loss 5374.36 2487.30 2887.05 1283.51 4090.85
Total Profit 5384.85 2497.79 2887.05 13436.33 15113.31
Total Loss 10.49 10.49 0.00 12152.82 11022.46
Profit Factor 513.33 238.11 0.00 1.11 1.37
Trades 91 42 49 91 91
Winning Trades 90 41 49 47 52
Losing Trades 1 1 0 44 39
% Profitable 98.00 97.00 100.00 51.00 57.00
Profit/Loss Per Trade % 0.48 0.48 0.48 0.08 0.27
Profit Per Trade % 0.49 0.49 0.48 2.32 2.33
Loss Per Trade % 0.09 0.09 0.00 2.22 2.29
Days In Trade 330 184 146 330 330
Days In Trade (Avg. Per Trade) 3.63 4.38 2.98 3.63 3.63
% Days In Trade 15.74 8.77 6.96 15.74 15.74
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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.