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 | 0 | 22.9 | 8267667 | |||
VIXY | ProShares VIX Short-Term Futures ETF | 0 | 22.85 | 2340934 |
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: | 15503.01 |
Total net P/L: | 5503.01 | Total ROI: | 55.03 % |
CAGR: | 10.40 % | Max. DD: | 21.06 % |
System Score: | 6.634 | Sharpe Ratio: | 1.966 |
Start Date: | 2018-03-28 | End Date: | 2022-08-31 |
Total days: | 1617 | ||
Commissions: | 508.62 | Comm.% P/L | 8.46 % |
Total Transactions: | 292 | Log. Linearity: | 86.074 % |
Total | ![]() |
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VXX | VIXY | |
---|---|---|---|---|---|
Total Profit/Loss | 6011.63 | 3833.81 | 2177.82 | -17783.53 | 23795.17 |
Total Profit | 12927.59 | 4870.33 | 8057.26 | 27395.84 | 52745.29 |
Total Loss | 6915.96 | 1036.52 | 5879.44 | 45179.37 | 28950.12 |
Profit Factor | 1.87 | 4.70 | 1.37 | 0.61 | 1.82 |
Trades | 73 | 34 | 39 | 73 | 73 |
Winning Trades | 70 | 33 | 37 | 32 | 42 |
Losing Trades | 3 | 1 | 2 | 41 | 31 |
% Profitable | 95.00 | 97.00 | 94.00 | 43.00 | 57.00 |
Profit/Loss Per Trade % | 0.65 | 0.78 | 0.53 | -1.85 | 1.69 |
Profit Per Trade % | 1.25 | 1.00 | 1.47 | 5.42 | 7.78 |
Loss Per Trade % | 12.23 | 6.26 | 15.33 | 6.84 | 5.42 |
Days In Trade | 270 | 136 | 134 | 270 | 270 |
Days In Trade (Avg. Per Trade) | 3.70 | 4.00 | 3.44 | 3.70 | 3.70 |
% Days In Trade | 16.70 | 8.41 | 8.29 | 16.70 | 16.70 |