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Model: Kalman-grid-v2
HQ Backtest VXX vs VIXY
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 enabled Long enabled 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
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Trade Log
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FB LN TW

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.