Model: | Kalman-grid-v2 |
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 | 56.85 | 4590752 | ||||
VIXY | ProShares VIX Short-Term Futures ETF | 14.05 | 5155041 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Ve: | auto | Neutrality: | dollar | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.5 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 15633.99 |
Total net P/L: | 5633.99 | Total ROI: | 56.34 % |
CAGR: | 24.01 % | Max. DD: | 2.55 % |
System Score: | 20.426 | Sharpe Ratio: | 6.018 |
Start Date: | 2019-01-02 | End Date: | 2021-01-29 |
Total days: | 758 | ||
Commissions: | 768.00 | Comm.% P/L | 12.00 % |
Total Transactions: | 768 | Log. Linearity: | 94.756 % |
Total | Long | Short | VXX | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | 6401.99 | 3189.48 | 3212.51 | -21972.69 | 28374.68 |
Total Profit | 6607.27 | 3315.55 | 3291.72 | 44762.22 | 70425.92 |
Total Loss | 205.29 | 126.07 | 79.22 | 66734.91 | 42051.24 |
Profit Factor | 32.19 | 26.30 | 41.55 | 0.67 | 1.67 |
Trades | 192 | 95 | 97 | 192 | 192 |
Winning Trades | 176 | 86 | 90 | 95 | 100 |
Losing Trades | 16 | 9 | 7 | 97 | 92 |
% Profitable | 91.00 | 90.00 | 92.00 | 49.00 | 52.00 |
Profit/Loss Per Trade % | 0.27 | 0.27 | 0.27 | -1.22 | 0.98 |
Profit Per Trade % | 0.30 | 0.31 | 0.30 | 3.74 | 5.55 |
Loss Per Trade % | 0.10 | 0.11 | 0.09 | 5.43 | 3.63 |
Days In Trade | 425 | 198 | 227 | 425 | 425 |
Days In Trade (Avg. Per Trade) | 2.21 | 2.08 | 2.34 | 2.21 | 2.21 |
% Days In Trade | 56.07 | 26.12 | 29.95 | 56.07 | 56.07 |