Strategy Backtester
Backtesting: Hedging by Volatility (Sandbox Version)
Author: Springroll
This System reflects a heading approach using a VIX Future ETF. The goal is to be able to hedge in volatile markets such as 2018, 2020 and 2022. Of course, extremes like the Covid crash are rare. However, the backtest shows that this system triggered as soon as the S&P 500 (SPXL) started to fluctuate. The instrument traded is VXX. It is still relatively young, so the number of data points are somewhat limited. I've been running this system in my sandbox since the beginning of March 2023, so I will observe it throughout the year.
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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.
Position Sizing
Starting Capital
Benchmark Symbol
Margin Factor
Sizing Method
Metric Strategy Results Benchmark Results (SPY)
Starting Capital 0.00 0.00
Profit 0.00 0.00
Profit % 0.00% 0.00%
APR (Annualized % Return) 0.00% 0.00%
Exposure % 0.00% 0.00%
Sharpe Ratio 0.00% 0.00%
WealthLab Score 0.00% 0.00%
Number of Positions 0.00% 0.00%
Average Profit % 0.00% 0.00%
Profit Factor 0.00% 0.00%
Payoff Ratio 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%
Maximum Drawdown % 0.00% 0.00%
Recovery Factor 0.00% 0.00%
Win % 0.00% 0.00%
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
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 %
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