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 | 53.72 | 4525897 | ||||
VIXY | ProShares VIX Short-Term Futures ETF | 13.25 | 5145158 |
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 | Long | 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 |