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Model: Ratio
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 33.68 7065660
VIXY ProShares VIX Short-Term Futures ETF 32.67 1861436
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: 12794.60
Total net P/L: 2794.60 Total ROI: 27.95 %
CAGR: 12.60 % Max. DD: 1.34 %
System Score: 9.462 Sharpe Ratio: 3.957
Start Date: 2019-01-02 End Date: 2021-01-29
Total days: 758
Commissions: 152.00 Comm.% P/L 5.16 %
Total Transactions: 152 Log. Linearity: 90.896 %
Total enabled Long enabled Short VXX VIXY
Total Profit/Loss 2946.60 1257.93 1688.67 -11020.62 13967.22
Total Profit 2946.60 1257.93 1688.67 7735.27 20858.53
Total Loss 0.00 0.00 0.00 18755.89 6891.31
Profit Factor 0.00 0.00 0.00 0.41 3.03
Trades 38 18 20 38 38
Winning Trades 38 18 20 16 22
Losing Trades 0 0 0 22 16
% Profitable 100.00 100.00 100.00 42.00 57.00
Profit/Loss Per Trade % 0.69 0.62 0.75 -2.97 2.85
Profit Per Trade % 0.69 0.62 0.75 4.23 8.28
Loss Per Trade % 0.00 0.00 0.00 7.47 3.76
Days In Trade 104 51 53 104 104
Days In Trade (Avg. Per Trade) 2.74 2.83 2.65 2.74 2.74
% Days In Trade 13.72 6.73 6.99 13.72 13.72
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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.