Strategy Backtester
Backtesting: Volatility Cruiser
Author: Darcy
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.
DataSet
Go to My DataSets to define your own DataSets (subscribers only!)
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.
Scale
Position Sizing
Starting Capital
Determines how much simulated capital your backtest starts with
Benchmark Symbol
Your strategy results will be compared with a buy and hold of this symbol
Margin Factor
Controls how much leverage to use in the simulated trading account
Sizing Method
Controls how many shares each simulated trade will have
Percent
Each trade will use this percentage of the current simulated account equity
| Metric | Strategy Results | Benchmark Results (SPY) |
|---|---|---|
| Starting Capital | 0.00 | 0.00 |
| Profit | 0.00 | 0.00 |
| Profit % | 0.00% | 0.00% |
| CAGR (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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