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Model: Ratio
HQ Backtest VXX vs VXZ
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 48.04 5877835
VXZ iPath® Series B S&P 500® VIX Mid-Term Futures ETN 58.43 18624
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 0.10 / 0.10
Initial Capital: 10000.00 Final Equity: -5580.88
Total net P/L: -15580.88 Total ROI: -155.81 %
CAGR: 0.00 % Max. DD: 136.80 %
System Score: 0.000 Sharpe Ratio: -1.629
Start Date: 2018-03-28 End Date: 2024-11-29
Total days: 2438
Commissions: 116.00 Comm.% P/L 0.75 %
Total Transactions: 116 Log. Linearity: 62.220 %
Total enabled Long enabled Short VXX VXZ
Total Profit/Loss -15464.88 -314.83 -15150.05 -28109.93 12645.05
Total Profit 9026.79 5244.69 3782.10 10587.75 16371.91
Total Loss 24491.67 5559.52 18932.15 38697.68 3726.86
Profit Factor 0.37 0.94 0.20 0.27 4.39
Trades 29 18 11 29 29
Winning Trades 18 10 8 15 12
Losing Trades 11 8 3 14 17
% Profitable 62.00 55.00 72.00 51.00 41.00
Profit/Loss Per Trade % 0.00 -0.04 0.00 0.00 2.83
Profit Per Trade % 4.12 4.45 3.71 5.71 9.71
Loss Per Trade % 13.92 5.28 40.58 15.72 1.73
Days In Trade 377 261 116 377 377
Days In Trade (Avg. Per Trade) 13.00 14.50 10.55 13.00 13.00
% Days In Trade 15.46 10.71 4.76 15.46 15.46
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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.