Backtest Results
| Symbol | Total Return | Ann. Return | Sharpe | B&H Sharpe | Max DD | Win Rate | Trades | Profit Factor |
|---|---|---|---|---|---|---|---|---|
| GOLD_ETFvt15_fwd5vol_v2 | +108.50% | +30.28% | 1.77 | 1.48 | -20.86% | 57.0% | 214 | 1.35 |
| GOLDvt15_fwd5vol_v2 | +102.50% | +28.92% | 1.71 | 1.50 | -20.71% | 56.9% | 237 | 1.34 |
| SP500vt15_fwd5vol_v2 | +60.04% | +18.45% | 1.38 | 1.40 | -15.00% | 57.0% | 94 | 1.27 |
| GOOGLEvt15_fwd5vol_v2 | +77.67% | +22.99% | 1.27 | 1.29 | -15.02% | 54.3% | 301 | 1.26 |
| DOWvt15_fwd5vol_v2 | +48.43% | +15.28% | 1.21 | 1.23 | -14.28% | 55.3% | 73 | 1.23 |
| NASDAQvt15_fwd5vol_v2 | +59.85% | +18.39% | 1.18 | 1.24 | -17.09% | 57.1% | 274 | 1.22 |
| APPLEvt15_fwd5vol_v2 | +35.19% | +11.47% | 0.73 | 0.86 | -19.95% | 54.0% | 316 | 1.14 |
| AMAZONvt15_fwd5vol_v2 | +31.47% | +10.35% | 0.65 | 0.85 | -16.59% | 51.7% | 336 | 1.12 |
| OIL_ETFvt15_fwd5vol_v2 | +29.11% | +9.63% | 0.64 | 0.76 | -14.73% | 51.0% | 345 | 1.11 |
| MICROSOFTvt15_fwd5vol_v2 | +21.30% | +7.20% | 0.49 | 0.61 | -24.76% | 53.0% | 305 | 1.09 |
| NAT_GASvt15_fwd5vol_v2 | +20.57% | +6.97% | 0.48 | 0.38 | -12.83% | 50.3% | 187 | 1.09 |
| USDJPYvt15_fwd5vol_v2 | +11.74% | +4.08% | 0.47 | 0.48 | -12.91% | 55.9% | 16 | 1.09 |
| GBPUSDvt15_fwd5vol_v2 | +6.36% | +2.24% | 0.36 | 0.36 | -9.36% | 51.1% | 1 | 1.06 |
| EURUSDvt15_fwd5vol_v2 | +5.92% | +2.09% | 0.34 | 0.35 | -8.46% | 47.0% | 1 | 1.06 |
| AUDUSDvt15_fwd5vol_v2 | +4.08% | +1.45% | 0.20 | 0.32 | -13.82% | 50.7% | 5 | 1.04 |
| OIL_WTIvt15_fwd5vol_v2 | +4.72% | +1.67% | 0.18 | 0.26 | -20.83% | 50.9% | 322 | 1.03 |
| OIL_BRENTvt15_fwd5vol_v2 | +1.36% | +0.49% | 0.11 | 0.27 | -23.71% | 52.0% | 318 | 1.02 |
| USDCHFvt15_fwd5vol_v2 | -7.91% | -2.92% | -0.34 | -0.30 | -17.45% | 53.1% | 10 | 0.94 |