Model: | Ratio |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
SPY | SPDR S&P 500 ETF Trust | 0.0109 | 523.3 | 76242704 | |||
VIXY | ProShares VIX Short-Term Futures ETF | 11.92 | 4337327 |
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: | -16290.00 |
Total net P/L: | -26290.00 | Total ROI: | -262.90 % |
CAGR: | 0.00 % | Max. DD: | 243.12 % |
System Score: | 0.000 | Sharpe Ratio: | 0.887 |
Start Date: | 2019-01-02 | End Date: | 2024-03-29 |
Total days: | 1913 | ||
Commissions: | 68.00 | Comm.% P/L | 0.26 % |
Total Transactions: | 68 | Log. Linearity: | 52.286 % |
Total | Long | Short | SPY | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | -26222.00 | -23323.58 | -2898.42 | -2994.59 | -23227.41 |
Total Profit | 5676.84 | 3181.73 | 2495.11 | 780.14 | 5145.66 |
Total Loss | 31898.84 | 26505.31 | 5393.53 | 3774.73 | 28373.07 |
Profit Factor | 0.18 | 0.12 | 0.46 | 0.21 | 0.18 |
Trades | 17 | 5 | 12 | 17 | 17 |
Winning Trades | 9 | 3 | 6 | 8 | 9 |
Losing Trades | 8 | 2 | 6 | 9 | 8 |
% Profitable | 52.00 | 60.00 | 50.00 | 47.00 | 52.00 |
Profit/Loss Per Trade % | 0.00 | 0.00 | -2.37 | -1.94 | 0.00 |
Profit Per Trade % | 6.67 | 11.05 | 4.55 | 1.04 | 6.07 |
Loss Per Trade % | 25.20 | 93.70 | 8.24 | 3.93 | 22.74 |
Days In Trade | 245 | 59 | 186 | 245 | 245 |
Days In Trade (Avg. Per Trade) | 14.41 | 11.80 | 15.50 | 14.41 | 14.41 |
% Days In Trade | 12.81 | 3.08 | 9.72 | 12.81 | 12.81 |