Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
UVXY | ProShares Ultra VIX Short-Term Futures ETF | 15.44 | 17048469 | ||||
VIXY | ProShares VIX Short-Term Futures ETF | 41.49 | 1427773 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Inverted: | VIXY | Transformed: | UVXY | A=1000.0 B=0.1 | |
Regression Per: | 20 | ||||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2013.1 | Bid-Ask 0.01 / 0.01 |
Initial Capital: | 10000.00 | Final Equity: | 57711.66 |
Total net P/L: | 47711.66 | Total ROI: | 477.12 % |
CAGR: | 488.44 % | Max. DD: | 32.17 % |
System Score: | 387.439 | Sharpe Ratio: | 2.532 |
Start Date: | 2023-07-03 | End Date: | 2024-06-28 |
Total days: | 361 | ||
Commissions: | 275.59 | Comm.% P/L | 0.57 % |
Total Transactions: | 84 | Log. Linearity: | 92.569 % |
Total | ![]() |
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UVXY | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | 47987.25 | 0.00 | 47987.25 | 28230.03 | 19757.22 |
Total Profit | 53979.26 | 0.00 | 53979.26 | 31964.24 | 22015.02 |
Total Loss | 5992.01 | 0.00 | 5992.01 | 3734.21 | 2257.80 |
Profit Factor | 9.01 | 0.00 | 9.01 | 8.56 | 9.75 |
Trades | 21 | 0 | 21 | 21 | 21 |
Winning Trades | 16 | 0 | 16 | 16 | 16 |
Losing Trades | 5 | 0 | 5 | 5 | 4 |
% Profitable | 76.00 | 0.00 | 76.00 | 76.00 | 76.00 |
Profit/Loss Per Trade % | 8.75 | 0.00 | 8.75 | 5.36 | 3.76 |
Profit Per Trade % | 13.81 | 0.00 | 13.81 | 8.33 | 5.74 |
Loss Per Trade % | 5.86 | 0.00 | 5.86 | 3.57 | 2.90 |
Days In Trade | 224 | 0 | 224 | 224 | 224 |
Days In Trade (Avg. Per Trade) | 10.67 | 0.00 | 10.67 | 10.67 | 10.67 |
% Days In Trade | 62.05 | 0.00 | 62.05 | 62.05 | 62.05 |