Model: | Residual |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
VIXM | ProShares VIX Mid-Term Futures ETF | 17.41 | 186773 | ||||
VIXY | ProShares VIX Short-Term Futures ETF | 59.15 | 1581092 |
Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
Max Duration: | 100 | Entry Mode: | Uptick | Reversals: | |
Regression Per: | 40 | ||||
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: | 16461.63 |
Total net P/L: | 6461.63 | Total ROI: | 64.62 % |
CAGR: | 9.97 % | Max. DD: | 15.06 % |
System Score: | 6.303 | Sharpe Ratio: | 1.591 |
Start Date: | 2020-01-02 | End Date: | 2025-03-31 |
Total days: | 1915 | ||
Commissions: | 110.24 | Comm.% P/L | 1.68 % |
Total Transactions: | 60 | Log. Linearity: | 85.835 % |
Total | ![]() |
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VIXM | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | 6571.87 | 6571.87 | 0.00 | -2781.31 | 9353.18 |
Total Profit | 9080.17 | 9080.17 | 0.00 | 5454.28 | 17023.54 |
Total Loss | 2508.30 | 2508.30 | 0.00 | 8235.59 | 7670.36 |
Profit Factor | 3.62 | 3.62 | 0.00 | 0.66 | 2.22 |
Trades | 15 | 15 | 0 | 15 | 15 |
Winning Trades | 11 | 11 | 0 | 6 | 11 |
Losing Trades | 4 | 4 | 0 | 9 | 4 |
% Profitable | 73.00 | 73.00 | 0.00 | 40.00 | 73.00 |
Profit/Loss Per Trade % | 3.44 | 3.44 | 0.00 | -1.78 | 3.25 |
Profit Per Trade % | 6.66 | 6.66 | 0.00 | 7.53 | 12.19 |
Loss Per Trade % | 4.87 | 4.87 | 0.00 | 7.29 | 15.46 |
Days In Trade | 271 | 271 | 0 | 271 | 271 |
Days In Trade (Avg. Per Trade) | 18.07 | 18.07 | 0.00 | 18.07 | 18.07 |
% Days In Trade | 14.15 | 14.15 | 0.00 | 14.15 | 14.15 |