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 | 43.62 | 4986984 | ||||
VIXY | ProShares VIX Short-Term Futures ETF | 42.9 | 1357574 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Ve: | auto | Neutrality: | beta | ||
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: | 15626.68 |
Total net P/L: | 5626.68 | Total ROI: | 56.27 % |
CAGR: | 23.98 % | Max. DD: | 2.60 % |
System Score: | 20.312 | Sharpe Ratio: | 6.008 |
Start Date: | 2019-01-02 | End Date: | 2021-01-29 |
Total days: | 758 | ||
Commissions: | 768.00 | Comm.% P/L | 12.01 % |
Total Transactions: | 768 | Log. Linearity: | 94.616 % |
Total | Long | Short | VXX | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | 6394.68 | 3290.05 | 3104.63 | -22033.86 | 28428.54 |
Total Profit | 6625.43 | 3406.23 | 3219.20 | 44773.87 | 70573.99 |
Total Loss | 230.75 | 116.18 | 114.57 | 66807.73 | 42145.45 |
Profit Factor | 28.71 | 29.32 | 28.10 | 0.67 | 1.67 |
Trades | 192 | 95 | 97 | 192 | 192 |
Winning Trades | 174 | 86 | 88 | 95 | 100 |
Losing Trades | 18 | 9 | 9 | 97 | 92 |
% Profitable | 90.00 | 90.00 | 90.00 | 49.00 | 52.00 |
Profit/Loss Per Trade % | 0.27 | 0.27 | 0.26 | -1.22 | 0.98 |
Profit Per Trade % | 0.30 | 0.31 | 0.30 | 3.74 | 5.55 |
Loss Per Trade % | 0.10 | 0.10 | 0.10 | 5.42 | 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 |