Trade Idea – $UVXY down for five days in row

When $UVXY is down for five days in row

$UVXY down for five days in row stockchart 

$UVXY (ProShares Ultra VIX Short-Term Fut ETF ) down for five days in row trading strategy

  • $UVXY ETF closes down for five or more days in row
  • Go long  at next day’s open
  • Exit at close next trading day

Below the backtest performance summary for the “Go Long at Next Open and exit at next day close when $UVXY closes down for five days in row” trading strategy during the last four years.

Go Long at Next Open and exit at next day close when $UVXY closes down for five days in row trading strategy Backtest Performance Summary
Total number of trades 27 Percent profitable 74%
Number of winning trades 20 Number of losing trades 7
Average profit per trade % 4.97 Median trade 2.04
Average winning trade % 7.65% Average losing trade % -2.69%
Largest winning trade % 25.44% Largest losing trade % 5.61%
Max consecutive winners 6 Max consecutive losers 1
Ratio avg win/avg loss % 2.84  T-test 3.22
Profit Factor 8.1 Outlier Adjusted Profit Factor 6.19

ps: take those profit factor ( which is gross  profit in point change / gross loss in point change) with a pinch of salt plsss , as back in late 2011, $UVXY was trading at above 10000 ( for split adjusted levels) !!!, but a look at the pay-off ratio ( average win% divided by average loss%) is still at 2.84 , a trading strategy worth having a loot at.

Below the details of  change from next day’s open to next day’s close ( as on 23 July 2013 , meant for 24 July 2013 open to close in this case) change , change % for $UVXY ETF, when ever  $UVXY down for five days in row  since last 4 years.

Date Nxt Open 2 Cls Change  Nxt Open 2 Cls  Change % Date Nxt Open 2 Cls Change  Nxt Open 2 Cls  Change %
23-Jul-13 ?? ??
11-Jul-13 0.91 1.86 08-Jun-12 362 25.44
10-Jul-13 0.53 1.1 21-Mar-12 -108 -5.61
01-Jul-13 0.44 0.64 13-Mar-12 191 8.03
12-Apr-13 13.8 21.66 23-Feb-12 312.08 9.96
12-Feb-13 1.8 1.82 06-Feb-12 30 0.93
11-Feb-13 -2 -1.98 23-Jan-12 -192.12 -4.17
16-Jan-13 5 3.92 10-Jan-12 65.99 1.2
08-Jan-13 5.1 3.52 09-Jan-12 107.98 2.04
07-Jan-13 -1.5 -0.99 22-Dec-11 504.14 7.79
24-Sep-12 50.4 18.1 21-Dec-11 288.06 4.52
21-Sep-12 -15.4 -5.14 06-Dec-11 330.1 3.28
07-Sep-12 26.9 7.48 05-Dec-11 -90.01 -0.91
20-Jun-12 235 21.17 02-Dec-11 780.13 8.58

try Quant Ideas to find high probability winning trades for tomorrow 

 you might want to consider subscribing to our daily quant rants email  !!

3 thoughts on “Trade Idea – $UVXY down for five days in row

    • admin Post authorReply

      1) yep, apart from the gapup/gapdown studies , we try to post all our blog posts well before the market open , why such Q ??
      2) Even if they are delayed posts , the reader will get to learn a trading strategy , ain’t it ??

  1. Pingback: Daily Quant Ideas from Paststat » Blog Archive Trade Idea - When $NLY looses by 2% in a day

Leave a Reply