Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
UVXY | ProShares Ultra VIX Short-Term Futures ETF | 29.49 | 15737768 | ||||
VIXY | ProShares VIX Short-Term Futures ETF | 61.91 | 1620129 |
Entry Threshold: | 1.50 | Exit Threshold: | 0.00 | ||
Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
Inverted: | UVXY | Transformed: | VIXY | 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: | 3149.99 |
Total net P/L: | -6850.01 | Total ROI: | -68.50 % |
CAGR: | -68.90 % | Max. DD: | 92.83 % |
System Score: | -4.930 | Sharpe Ratio: | -0.683 |
Start Date: | 2023-07-03 | End Date: | 2024-06-28 |
Total days: | 361 | ||
Commissions: | 148.00 | Comm.% P/L | 2.21 % |
Total Transactions: | 148 | Log. Linearity: | 41.516 % |
Total | ![]() |
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UVXY | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | -6702.01 | -2543.70 | -4158.30 | -4253.73 | -2448.28 |
Total Profit | 13539.43 | 7954.19 | 5585.25 | 7960.73 | 5578.71 |
Total Loss | 20241.44 | 10497.89 | 9743.55 | 12214.45 | 8026.99 |
Profit Factor | 0.67 | 0.76 | 0.57 | 0.65 | 0.69 |
Trades | 37 | 22 | 15 | 37 | 37 |
Winning Trades | 21 | 14 | 7 | 21 | 21 |
Losing Trades | 16 | 8 | 8 | 15 | 16 |
% Profitable | 56.00 | 63.00 | 46.00 | 56.00 | 56.00 |
Profit/Loss Per Trade % | -2.97 | -0.06 | -7.09 | -1.44 | -0.63 |
Profit Per Trade % | 11.84 | 14.25 | 7.19 | 7.01 | 4.98 |
Loss Per Trade % | 18.14 | 19.10 | 17.19 | 11.84 | 7.32 |
Days In Trade | 203 | 108 | 95 | 203 | 203 |
Days In Trade (Avg. Per Trade) | 5.49 | 4.91 | 6.33 | 5.49 | 5.49 |
% Days In Trade | 56.23 | 29.92 | 26.32 | 56.23 | 56.23 |