Backtesting: Volatility Cruiser
This strategy was produced using the Evolver, along with some manipulation. My goal was to evolve a strategy with a DD below 20 and APR below 34. To accomplish that I filled the evolver slots with my ratio strategies and ran generations till the evolver used some of my indicators. I then plugged in external symbols of the sectors and indices and let that evolve. I ran 1316 generations on the S+P 500 in 8 hours and devised a strategy that uses the Vix. Not sure how robust a strategy it is, but the results look good. It has no optimization on my part, only what the evolver came up with. It also has no weighting, which VK would encourage.
Go to My DataSets to define your own DataSets (subscribers only!)
This DataSet is available to subscribers only.
Dynamic DataSets ensure that symbols are only processed if they were in the corresponding index at a particular point in time. Read this Blog article to learn more.
Data Range & Scale
The Web Backtester currently uses a Data Range of 10 years of daily data. We'll offer more options here in a future update.
|Metric||Strategy Results||Benchmark Results (SPY)|
|APR (Annualized % Return)||0.00%||0.00%|
|Number of Positions||0.00%||0.00%|
|Average Profit %||0.00%||0.00%|
|Average Bars Held||0.00%||0.00%|
|NSF (Non-Sufficient Funds) Position Count||0.00%||0.00%|
|Maximum Drawdown %||0.00%||0.00%|
The most recent 100 Positions out of 1,234 total are presented here.
|Symbol||Position||Quantity||Entry Date||Entry Price||Exit Date||Exit Price||Bars Held||Profit||Profit %|
Signals are available to subscribers only. Click here to learn more about Wealth-Lab subscription options!