Backtest Results
| Symbol | Total Return | Ann. Return | Sharpe | B&H Sharpe | Max DD | Win Rate | Trades | Profit Factor |
|---|---|---|---|---|---|---|---|---|
| GOLD_ETFvt15_fwd5vol_v2 | +86.87% | +25.24% | 1.52 | 1.22 | -20.86% | 56.3% | 234 | 1.29 |
| GOLDvt15_fwd5vol_v2 | +84.31% | +24.62% | 1.48 | 1.27 | -20.36% | 56.3% | 254 | 1.29 |
| SP500vt15_fwd5vol_v2 | +48.54% | +15.31% | 1.17 | 1.22 | -15.00% | 55.9% | 89 | 1.22 |
| GOOGLEvt15_fwd5vol_v2 | +65.09% | +19.78% | 1.12 | 1.13 | -15.02% | 54.3% | 311 | 1.22 |
| NASDAQvt15_fwd5vol_v2 | +48.69% | +15.35% | 1.00 | 1.10 | -17.09% | 56.1% | 277 | 1.19 |
| OIL_ETFvt15_fwd5vol_v2 | +46.67% | +14.79% | 0.92 | 1.04 | -14.73% | 51.7% | 348 | 1.17 |
| DOWvt15_fwd5vol_v2 | +32.62% | +10.70% | 0.87 | 0.93 | -14.28% | 53.9% | 73 | 1.16 |
| APPLEvt15_fwd5vol_v2 | +43.48% | +13.88% | 0.86 | 0.96 | -19.95% | 54.3% | 328 | 1.17 |
| NAT_GASvt15_fwd5vol_v2 | +28.30% | +9.39% | 0.61 | 0.44 | -11.55% | 50.6% | 189 | 1.11 |
| AMAZONvt15_fwd5vol_v2 | +23.71% | +7.96% | 0.52 | 0.71 | -16.59% | 51.6% | 336 | 1.10 |
| OIL_WTIvt15_fwd5vol_v2 | +18.95% | +6.45% | 0.46 | 0.50 | -20.83% | 51.9% | 324 | 1.08 |
| MICROSOFTvt15_fwd5vol_v2 | +19.12% | +6.50% | 0.45 | 0.58 | -24.76% | 52.4% | 308 | 1.09 |
| OIL_BRENTvt15_fwd5vol_v2 | +14.37% | +4.95% | 0.37 | 0.52 | -23.71% | 52.6% | 319 | 1.07 |
| GBPUSDvt15_fwd5vol_v2 | +5.76% | +2.04% | 0.33 | 0.34 | -9.36% | 51.0% | 1 | 1.06 |
| AUDUSDvt15_fwd5vol_v2 | +6.02% | +2.13% | 0.28 | 0.40 | -13.82% | 51.1% | 5 | 1.05 |
| EURUSDvt15_fwd5vol_v2 | +4.07% | +1.45% | 0.25 | 0.25 | -8.46% | 46.4% | 1 | 1.04 |
| USDJPYvt15_fwd5vol_v2 | +4.48% | +1.59% | 0.22 | 0.22 | -12.91% | 56.0% | 16 | 1.04 |
| USDCHFvt15_fwd5vol_v2 | -7.36% | -2.71% | -0.32 | -0.28 | -17.45% | 52.9% | 10 | 0.95 |