Model: | Ratio |
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 | 63.34 | 6636392 | ||||
VIXM | ProShares VIX Mid-Term Futures ETF | 17.75 | 185019 |
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: | -5027.05 |
Total net P/L: | -15027.05 | Total ROI: | -150.27 % |
CAGR: | 0.00 % | Max. DD: | 143.80 % |
System Score: | 0.000 | Sharpe Ratio: | -1.526 |
Start Date: | 2019-01-02 | End Date: | 2023-12-29 |
Total days: | 1822 | ||
Commissions: | 116.91 | Comm.% P/L | 0.78 % |
Total Transactions: | 72 | Log. Linearity: | 54.687 % |
Total | ![]() |
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VXX | VIXM | |
---|---|---|---|---|---|
Total Profit/Loss | -14910.14 | -2131.42 | -12778.72 | -21580.22 | 6670.08 |
Total Profit | 3434.23 | 1860.79 | 1573.44 | 5458.65 | 9506.38 |
Total Loss | 18344.37 | 3992.21 | 14352.16 | 27038.87 | 2836.30 |
Profit Factor | 0.19 | 0.47 | 0.11 | 0.20 | 3.35 |
Trades | 18 | 13 | 5 | 18 | 18 |
Winning Trades | 10 | 6 | 4 | 10 | 7 |
Losing Trades | 8 | 7 | 1 | 8 | 11 |
% Profitable | 55.00 | 46.00 | 80.00 | 55.00 | 38.00 |
Profit/Loss Per Trade % | 0.00 | -1.62 | 0.00 | 0.00 | 2.75 |
Profit Per Trade % | 3.51 | 3.23 | 3.92 | 5.52 | 11.74 |
Loss Per Trade % | 17.69 | 5.45 | 153.86 | 23.32 | 2.57 |
Days In Trade | 264 | 205 | 59 | 264 | 264 |
Days In Trade (Avg. Per Trade) | 14.67 | 15.77 | 11.80 | 14.67 | 14.67 |
% Days In Trade | 14.49 | 11.25 | 3.24 | 14.49 | 14.49 |