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 | 42.85 | 4960266 | ||||
VIXY | ProShares VIX Short-Term Futures ETF | 42.11 | 1381446 |
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: | 11242.66 |
Total net P/L: | 1242.66 | Total ROI: | 12.43 % |
CAGR: | 2.26 % | Max. DD: | 28.30 % |
System Score: | 0.000 | Sharpe Ratio: | 0.657 |
Start Date: | 2019-01-02 | End Date: | 2024-03-29 |
Total days: | 1913 | ||
Commissions: | 495.45 | Comm.% P/L | 28.51 % |
Total Transactions: | 376 | Log. Linearity: | 2.367 % |
Total | ![]() |
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VXX | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | 1738.11 | 1871.14 | -133.03 | 1401.47 | 336.64 |
Total Profit | 7349.40 | 3194.83 | 4154.57 | 35050.42 | 37910.11 |
Total Loss | 5611.29 | 1323.69 | 4287.60 | 33648.95 | 37573.47 |
Profit Factor | 1.31 | 2.41 | 0.97 | 1.04 | 1.01 |
Trades | 94 | 43 | 51 | 94 | 94 |
Winning Trades | 89 | 40 | 49 | 45 | 49 |
Losing Trades | 5 | 3 | 2 | 49 | 45 |
% Profitable | 94.00 | 93.00 | 96.00 | 47.00 | 52.00 |
Profit/Loss Per Trade % | 0.17 | 0.33 | 0.04 | -0.49 | -0.16 |
Profit Per Trade % | 0.69 | 0.65 | 0.71 | 6.04 | 6.54 |
Loss Per Trade % | 8.16 | 3.74 | 15.16 | 5.83 | 6.36 |
Days In Trade | 388 | 197 | 191 | 388 | 388 |
Days In Trade (Avg. Per Trade) | 4.13 | 4.58 | 3.75 | 4.13 | 4.13 |
% Days In Trade | 20.28 | 10.30 | 9.98 | 20.28 | 20.28 |