Portfolio

Portfolio Image

Finance ETFs

Created by: OmniVest
Date Created: 12/17/2015

Return:

+3%

ROAI:

+29%

Stability:

 
57

Consistency:

 
42
Type:
Designed:
Direction:
Trade Length:
Security Class:
Approach:
Subscription:
Select Portfolio
Bullish Market
Long
Short
Non-Inverse ETFs
Reversion to Mean


How This Portfolio was Built:
This Portfolio has a large number of Single Symbol Strategies, each generating sparse trades based on Reversion to Mean principles.
Open Positions
StrategySymbolL/SQTY %QTYEntry DateEntry PriceCurrent PriceCurrent P/L %Funding Style
(No open Positions)
Date Range:
% Wins:
Compound Annual Return:
Return On Avg. Investment:
Max Draw Down:
Average Annual MDD:
8/13/2021 - 8/12/2022
64.7%
2.5%
29.5%
4.4%
3.9%
Calmar:
Trades per Month:
Allocation %/Trade:
Average % Invested:
Ending Equity:

0.6
4.3
15.0%
8.6%
$102,532

Historical Positions
Symbol
Sym
StrategyQTY %QTYL/SEntry PriceExit Price
Realized P/L%
P/L%
Entry DateExit DateFunding Style
IYFR9-Long-ETF-Financ-IYF14.89 %182Long$83.76$82.92-1.00 %
4/5/2022 9:30:00 AM
4/05/22 9:30:00
4/11/2022 9:30:00 AM
4/11/22 9:30:00
Paper
KBWBR8-Long-ETF-Financ-KBWB14.95 %217Long$65.89$68.193.49 %
2/24/2022 9:30:00 AM
2/24/22 9:30:00
3/1/2022 9:30:00 AM
3/01/22 9:30:00
Paper
KBWBR7-Long-ETF-Financ-KBWB14.95 %217Long$65.89$68.343.72 %
2/24/2022 9:30:00 AM
2/24/22 9:30:00
2/28/2022 9:30:00 AM
2/28/22 9:30:00
Paper
KBER7-Long-ETF-Financ-KBE14.93 %270Long$53.15$55.424.27 %
2/24/2022 9:30:00 AM
2/24/22 9:30:00
2/28/2022 9:30:00 AM
2/28/22 9:30:00
Paper
IYFR9-Long-ETF-Financ-IYF14.92 %177Long$81.25$84.133.54 %
2/24/2022 9:30:00 AM
2/24/22 9:30:00
2/28/2022 9:30:00 AM
2/28/22 9:30:00
Paper
IATR7-Long-ETF-Financ-IAT14.97 %239Long$60.13$62.804.44 %
2/24/2022 9:30:00 AM
2/24/22 9:30:00
2/28/2022 9:30:00 AM
2/28/22 9:30:00
Paper
KRER5-Long-ETF-Financ-KRE14.98 %205Long$73.56$72.54-1.39 %
2/23/2022 9:30:00 AM
2/23/22 9:30:00
2/28/2022 9:30:00 AM
2/28/22 9:30:00
Paper
KRER8-Long-ETF-Financ-KRE14.95 %211Long$70.63$71.711.53 %
1/28/2022 9:30:00 AM
1/28/22 9:30:00
2/1/2022 9:30:00 AM
2/01/22 9:30:00
Paper
IATR8-Long-ETF-Financ-IAT14.98 %241Long$61.79$62.771.59 %
1/28/2022 9:30:00 AM
1/28/22 9:30:00
2/1/2022 9:30:00 AM
2/01/22 9:30:00
Paper
IYFR7-Long-ETF-Financ-IYF14.90 %176Long$85.73$84.08-1.92 %
1/26/2022 9:30:00 AM
1/26/22 9:30:00
1/28/2022 9:30:00 AM
1/28/22 9:30:00
Paper
VFHR7-Long-ETF-Financ-VFH14.88 %160Long$96.78$93.09-3.81 %
1/20/2022 9:30:00 AM
1/20/22 9:30:00
1/25/2022 9:30:00 AM
1/25/22 9:30:00
Paper
IYFR9-Long-ETF-Financ-IYF14.96 %179Long$86.96$83.49-3.99 %
1/20/2022 9:30:00 AM
1/20/22 9:30:00
1/25/2022 9:30:00 AM
1/25/22 9:30:00
Paper
IYFR7-Long-ETF-Financ-IYF14.96 %179Long$86.96$83.49-3.99 %
1/20/2022 9:30:00 AM
1/20/22 9:30:00
1/25/2022 9:30:00 AM
1/25/22 9:30:00
Paper
FXOR9-Long-ETF-Financ-FXO14.99 %335Long$46.63$44.68-4.18 %
1/20/2022 9:30:00 AM
1/20/22 9:30:00
1/25/2022 9:30:00 AM
1/25/22 9:30:00
Paper
FXOR7-Long-ETF-Financ-FXO14.99 %335Long$46.63$44.68-4.18 %
1/20/2022 9:30:00 AM
1/20/22 9:30:00
1/25/2022 9:30:00 AM
1/25/22 9:30:00
Paper
FXOR5-Long-ETF-Financ-FXO14.99 %335Long$46.63$44.68-4.18 %
1/20/2022 9:30:00 AM
1/20/22 9:30:00
1/25/2022 9:30:00 AM
1/25/22 9:30:00
Paper
XLKR3-Long-ETF-Financ-XLK14.82 %91Long$165.00$172.214.37 %
12/20/2021 9:30:00 AM
12/20/21 9:30:00
12/23/2021 9:30:00 AM
12/23/21 9:30:00
Paper
KBWBR8-Long-ETF-Financ-KBWB14.98 %228Long$67.32$69.022.53 %
12/14/2021 9:30:00 AM
12/14/21 9:30:00
12/16/2021 9:30:00 AM
12/16/21 9:30:00
Paper
IATR8-Long-ETF-Financ-IAT14.95 %253Long$60.55$62.072.51 %
12/14/2021 9:30:00 AM
12/14/21 9:30:00
12/16/2021 9:30:00 AM
12/16/21 9:30:00
Paper
KBER4-Long-ETF-Financ-KBE14.94 %277Long$54.24$55.011.42 %
11/30/2021 9:30:00 AM
11/30/21 9:30:00
12/3/2021 9:30:00 AM
12/03/21 9:30:00
Paper
FXOR4-Long-ETF-Financ-FXO14.95 %330Long$45.83$45.950.26 %
11/30/2021 9:30:00 AM
11/30/21 9:30:00
12/3/2021 9:30:00 AM
12/03/21 9:30:00
Paper
EUFNVBX1-Long-ETF-Financ-EUFN14.98 %787Long$19.42$19.641.13 %
11/30/2021 9:30:00 AM
11/30/21 9:30:00
12/3/2021 9:30:00 AM
12/03/21 9:30:00
Paper
PSPR7-Long-ETF-Financ-PSP14.98 %970Long$15.93$15.72-1.32 %
11/29/2021 9:30:00 AM
11/29/21 9:30:00
12/3/2021 9:30:00 AM
12/03/21 9:30:00
Paper
PSPVBX1-Long-ETF-Financ-PSP14.99 %965Long$16.05$15.72-2.06 %
11/26/2021 9:30:00 AM
11/26/21 9:30:00
12/3/2021 9:30:00 AM
12/03/21 9:30:00
Paper
EUFNR1-Long-ETF-Financ-EUFN14.98 %749Long$20.76$19.64-5.39 %
11/18/2021 9:30:00 AM
11/18/21 9:30:00
12/3/2021 9:30:00 AM
12/03/21 9:30:00
Paper
EUFNR5-Long-ETF-Financ-EUFN14.98 %751Long$20.30$19.54-3.74 %
11/19/2021 9:30:00 AM
11/19/21 9:30:00
11/29/2021 9:30:00 AM
11/29/21 9:30:00
Paper
FXOR9-Long-ETF-Financ-FXO14.96 %328Long$47.13$47.681.17 %
11/19/2021 9:30:00 AM
11/19/21 9:30:00
11/24/2021 9:30:00 AM
11/24/21 9:30:00
Paper
FXOR7-Long-ETF-Financ-FXO14.96 %328Long$47.13$47.681.17 %
11/19/2021 9:30:00 AM
11/19/21 9:30:00
11/24/2021 9:30:00 AM
11/24/21 9:30:00
Paper
EUFNR9-Long-ETF-Financ-EUFN14.98 %751Long$20.30$20.15-0.74 %
11/19/2021 9:30:00 AM
11/19/21 9:30:00
11/24/2021 9:30:00 AM
11/24/21 9:30:00
Paper
EUFNR8-Long-ETF-Financ-EUFN14.98 %749Long$20.76$20.15-2.94 %
11/18/2021 9:30:00 AM
11/18/21 9:30:00
11/24/2021 9:30:00 AM
11/24/21 9:30:00
Paper
EUFNR8-Long-ETF-Financ-EUFN14.99 %747Long$20.89$20.980.43 %
11/11/2021 9:30:00 AM
11/11/21 9:30:00
11/15/2021 9:30:00 AM
11/15/21 9:30:00
Paper
XLKVBX1-Long-ETF-Financ-XLK14.81 %103Long$149.86$150.700.56 %
10/1/2021 9:30:00 AM
10/01/21 9:30:00
10/4/2021 9:30:00 AM
10/04/21 9:30:00
Paper
PSPVBX1-Long-ETF-Financ-PSP14.98 %997Long$15.66$15.56-0.64 %
9/23/2021 9:30:00 AM
9/23/21 9:30:00
9/24/2021 9:30:00 AM
9/24/21 9:30:00
Paper
XLKVBX1-Long-ETF-Financ-XLK14.85 %100Long$153.27$155.651.55 %
9/22/2021 9:30:00 AM
9/22/21 9:30:00
9/24/2021 9:30:00 AM
9/24/21 9:30:00
Paper
IYFVBX1-Long-ETF-Financ-IYF14.90 %189Long$81.74$83.502.15 %
9/22/2021 9:30:00 AM
9/22/21 9:30:00
9/24/2021 9:30:00 AM
9/24/21 9:30:00
Paper
IYFR9-Long-ETF-Financ-IYF14.90 %189Long$81.74$82.871.38 %
9/22/2021 9:30:00 AM
9/22/21 9:30:00
9/23/2021 9:30:00 AM
9/23/21 9:30:00
Paper
FXOR9-Long-ETF-Financ-FXO14.96 %354Long$43.79$44.010.50 %
9/22/2021 9:30:00 AM
9/22/21 9:30:00
9/23/2021 9:30:00 AM
9/23/21 9:30:00
Paper
FXOR4-Long-ETF-Financ-FXO14.96 %354Long$43.79$44.010.50 %
9/22/2021 9:30:00 AM
9/22/21 9:30:00
9/23/2021 9:30:00 AM
9/23/21 9:30:00
Paper
IYFR8-Long-ETF-Financ-IYF14.98 %190Long$81.30$82.871.93 %
9/21/2021 9:30:00 AM
9/21/21 9:30:00
9/23/2021 9:30:00 AM
9/23/21 9:30:00
Paper
KBER8-Long-ETF-Financ-KBE14.97 %300Long$50.70$50.54-0.32 %
9/9/2021 9:30:00 AM
9/09/21 9:30:00
9/17/2021 9:30:00 AM
9/17/21 9:30:00
Paper
KRER7-Long-ETF-Financ-KRE14.98 %238Long$63.90$64.581.06 %
9/9/2021 9:30:00 AM
9/09/21 9:30:00
9/14/2021 9:30:00 AM
9/14/21 9:30:00
Paper
KBWBR8-Long-ETF-Financ-KBWB14.96 %236Long$64.51$65.922.19 %
9/9/2021 9:30:00 AM
9/09/21 9:30:00
9/14/2021 9:30:00 AM
9/14/21 9:30:00
Paper
KBER7-Long-ETF-Financ-KBE14.97 %300Long$50.70$51.211.01 %
9/9/2021 9:30:00 AM
9/09/21 9:30:00
9/14/2021 9:30:00 AM
9/14/21 9:30:00
Paper
IATR8-Long-ETF-Financ-IAT14.95 %265Long$57.38$58.501.95 %
9/9/2021 9:30:00 AM
9/09/21 9:30:00
9/14/2021 9:30:00 AM
9/14/21 9:30:00
Paper
IYFR7-Long-ETF-Financ-IYF14.92 %180Long$84.69$84.11-0.68 %
9/7/2021 9:30:00 AM
9/07/21 9:30:00
9/14/2021 9:30:00 AM
9/14/21 9:30:00
Paper
IYFR9-Long-ETF-Financ-IYF14.99 %180Long$82.53$84.121.93 %
8/19/2021 9:30:00 AM
8/19/21 9:30:00
8/24/2021 9:30:00 AM
8/24/21 9:30:00
Paper
IYFR7-Long-ETF-Financ-IYF14.99 %180Long$82.53$84.121.93 %
8/19/2021 9:30:00 AM
8/19/21 9:30:00
8/24/2021 9:30:00 AM
8/24/21 9:30:00
Paper
IATR9-Long-ETF-Financ-IAT14.98 %263Long$56.22$57.652.54 %
8/19/2021 9:30:00 AM
8/19/21 9:30:00
8/24/2021 9:30:00 AM
8/24/21 9:30:00
Paper
IATR7-Long-ETF-Financ-IAT14.98 %263Long$56.22$57.652.54 %
8/19/2021 9:30:00 AM
8/19/21 9:30:00
8/24/2021 9:30:00 AM
8/24/21 9:30:00
Paper
FXOR9-Long-ETF-Financ-FXO14.99 %336Long$44.10$44.992.02 %
8/19/2021 9:30:00 AM
8/19/21 9:30:00
8/24/2021 9:30:00 AM
8/24/21 9:30:00
Paper
FXOR7-Long-ETF-Financ-FXO14.99 %336Long$44.10$44.992.02 %
8/19/2021 9:30:00 AM
8/19/21 9:30:00
8/24/2021 9:30:00 AM
8/24/21 9:30:00
Paper
Strategies Used
AllocationEquityStrategy% WinsTPMCARMDDAvg MDD% TradeAvg % InvCalmarDays
100%ThumbnailR10-Long-ETF-Financ-IAT0.0 %0.00.0 %0.0 %0.0 %0.0 %0.0 %0.00.0
100%ThumbnailR10-Long-ETF-Financ-KBWB0.0 %0.00.0 %0.0 %0.0 %0.0 %0.0 %0.00.0
100%ThumbnailR10-Long-ETF-Financ-KRE0.0 %0.00.0 %0.0 %0.0 %0.0 %0.0 %0.00.0
100%ThumbnailR11-Long-ETF-Financ-FXO100.0 %0.10.0 %0.1 %0.0 %15.0 %0.1 %0.40.1
100%ThumbnailR11-Long-ETF-Financ-KBWB100.0 %0.10.1 %0.0 %0.0 %14.9 %0.1 %11.00.1
100%ThumbnailR13-Long-ETF-Financ-KRE0.0 %0.00.0 %0.0 %0.0 %0.0 %0.0 %0.00.0
100%ThumbnailR1-Long-ETF-Financ-EUFN0.0 %0.1-0.8 %1.1 %0.5 %15.0 %0.6 %-0.80.1
100%ThumbnailR1-Long-ETF-Financ-KBE100.0 %0.10.1 %0.1 %0.0 %14.9 %0.1 %1.30.1
100%ThumbnailR1-Long-ETF-Financ-KRE0.0 %0.00.0 %0.0 %0.0 %0.0 %0.0 %0.00.0
100%ThumbnailR3-Long-ETF-Financ-EUFN0.0 %0.1-0.1 %0.1 %0.1 %15.0 %0.1 %-1.00.1
100%ThumbnailR3-Long-ETF-Financ-XLK100.0 %0.10.6 %0.0 %0.0 %14.9 %0.2 %0.00.1
100%ThumbnailR4-Long-ETF-Financ-FXO100.0 %0.30.1 %0.5 %0.2 %15.0 %0.3 %0.30.3
100%ThumbnailR4-Long-ETF-Financ-KBE100.0 %0.20.7 %0.4 %0.2 %15.0 %0.3 %1.70.2
100%ThumbnailR4-Long-ETF-Financ-KRE100.0 %0.10.2 %0.3 %0.2 %14.9 %0.2 %0.60.1
100%ThumbnailR5-Long-ETF-Financ-EUFN0.0 %0.2-1.0 %0.9 %0.5 %15.0 %0.4 %-1.00.2
100%ThumbnailR5-Long-ETF-Financ-FXO50.0 %0.2-0.5 %0.7 %0.3 %15.0 %0.3 %-0.70.2
100%ThumbnailR5-Long-ETF-Financ-IAT100.0 %0.10.5 %0.2 %0.1 %14.9 %0.3 %2.30.1
100%ThumbnailR5-Long-ETF-Financ-KRE50.0 %0.20.3 %0.6 %0.3 %15.0 %0.6 %0.50.2
100%ThumbnailR7-Long-ETF-Financ-FXO80.0 %0.40.4 %0.6 %0.3 %15.0 %0.6 %0.60.4
100%ThumbnailR7-Long-ETF-Financ-IAT75.0 %0.31.2 %0.4 %0.2 %14.9 %0.7 %3.00.3
100%ThumbnailR7-Long-ETF-Financ-IYF50.0 %0.5-0.3 %0.9 %0.6 %14.9 %0.9 %-0.30.5
100%ThumbnailR7-Long-ETF-Financ-KBE100.0 %0.42.0 %0.4 %0.3 %15.0 %0.9 %4.90.4
100%ThumbnailR7-Long-ETF-Financ-KBWB100.0 %0.31.3 %0.3 %0.2 %14.9 %0.6 %3.90.3
100%ThumbnailR7-Long-ETF-Financ-KRE100.0 %0.42.1 %0.4 %0.3 %14.9 %0.9 %5.10.4
100%ThumbnailR7-Long-ETF-Financ-PSP0.0 %0.3-0.6 %0.8 %0.4 %15.0 %0.6 %-0.70.3
100%ThumbnailR7-Long-ETF-Financ-VFH80.0 %0.40.5 %0.6 %0.3 %14.9 %0.6 %0.90.4
100%ThumbnailR8-Long-ETF-Financ-EUFN50.0 %0.2-0.4 %0.4 %0.2 %15.0 %0.3 %-0.90.2
100%ThumbnailR8-Long-ETF-Financ-IAT100.0 %0.30.9 %0.1 %0.0 %15.0 %0.4 %10.10.3
100%ThumbnailR8-Long-ETF-Financ-IYF100.0 %0.10.3 %0.1 %0.0 %14.9 %0.1 %4.10.1
100%ThumbnailR8-Long-ETF-Financ-KBE0.0 %0.10.0 %0.3 %0.2 %14.9 %0.3 %-0.10.1
100%ThumbnailR8-Long-ETF-Financ-KBWB100.0 %0.31.2 %0.4 %0.2 %14.9 %0.5 %3.30.3
100%ThumbnailR8-Long-ETF-Financ-KRE50.0 %0.20.2 %0.3 %0.2 %15.0 %0.5 %0.60.2
100%ThumbnailR8-Long-ETF-Financ-VFH100.0 %0.20.3 %0.2 %0.1 %14.9 %0.5 %1.60.2
100%ThumbnailR8-Long-ETF-Financ-XLK0.0 %0.00.0 %0.0 %0.0 %0.0 %0.0 %0.00.0
100%ThumbnailR9-Long-ETF-Financ-EUFN50.0 %0.3-0.2 %0.5 %0.3 %15.0 %0.5 %-0.40.3
100%ThumbnailR9-Long-ETF-Financ-FXO71.4 %0.60.1 %0.7 %0.6 %14.9 %1.0 %0.10.6
100%ThumbnailR9-Long-ETF-Financ-IAT66.7 %0.30.6 %0.4 %0.2 %14.9 %0.4 %1.50.3
100%ThumbnailR9-Long-ETF-Financ-IYF62.5 %0.70.9 %0.6 %0.4 %14.9 %1.2 %1.40.7
100%ThumbnailVBX1-Long-ETF-Financ-EUFN33.3 %0.3-1.5 %1.7 %1.1 %15.0 %0.6 %-0.90.3
100%ThumbnailVBX1-Long-ETF-Financ-FXO100.0 %0.10.0 %0.4 %0.2 %15.0 %0.1 %0.00.1
100%ThumbnailVBX1-Long-ETF-Financ-IAT100.0 %0.10.1 %0.5 %0.2 %14.9 %0.1 %0.20.1
100%ThumbnailVBX1-Long-ETF-Financ-IYF100.0 %0.30.5 %0.4 %0.2 %14.9 %0.3 %1.20.3
100%ThumbnailVBX1-Long-ETF-Financ-KRE100.0 %0.10.0 %0.5 %0.3 %14.9 %0.1 %0.10.1
100%ThumbnailVBX1-Long-ETF-Financ-PSP0.0 %0.2-0.4 %0.7 %0.4 %15.0 %0.3 %-0.60.2
100%ThumbnailVBX1-Long-ETF-Financ-VFH100.0 %0.20.2 %0.5 %0.2 %14.9 %0.2 %0.50.2
100%ThumbnailVBX1-Long-ETF-Financ-XLK100.0 %0.30.4 %0.6 %0.3 %14.9 %0.5 %0.70.3
Lists Used
List NameDescriptionDynamic List
ETF-Financ-EUFNList: ETF-Financ-EUFNNo
ETF-Financ-FXOList: ETF-Financ-FXONo
ETF-Financ-IATList: ETF-Financ-IATNo
ETF-Financ-IYFList: ETF-Financ-IYFNo
ETF-Financ-KBEList: ETF-Financ-KBENo
ETF-Financ-KBWBList: ETF-Financ-KBWBNo
ETF-Financ-KREList: ETF-Financ-KRENo
ETF-Financ-PSPList: ETF-Financ-PSPNo
ETF-Financ-VFHList: ETF-Financ-VFHNo
ETF-Financ-XLKList: ETF-Financ-XLKNo
Filters Used
Strategy NameFilter NameDescriptionPeriodicityDynamic Entries & Exits
(no filters used)

Warnings

Simulation Starting Balance: $100,000.00
 
Creation (Inception) Date: 12/17/2015
 
Back Test: 1/1/2011 to 12/31/2014
 
Forward Test: 12/31/2014 to 12/17/2015
 
Max Draw Down: 4.4%
 
Per Trade Allocation: 15%/trade
 
Minimum Volume: 500,000
 
Minimum Price: $5,000.00
 
Avg Trades/Month: 4.3
 

Settings

Balance:
100,000
Return Calculation:
Compound
List Type:
List
List:
ETF-Financ
Goal:
15%
NumStrategies:
5
Optimize On:
CAR
Filter Limit:
10
Filter On:
CAR
Direction:
Long
Min Volume:
500,000
Min Price:
$5,000.00
Sim Start Date:
1/1/2011
Sim End Date:
12/31/2014
Date Created:
12/17/2015
Approach Breakout:
No
Approach RTM:
Yes
Approach Swing:
No
Approach Trending:
No

Strategy Types Used

Strategy Type
#
%
Most Effectively Used in
Breakout:
0
0%
Very Strong Trending Markets
RTM:
46
100%
Volatile, Trending Markets
Swing:
0
0%
Cyclical Markets
Trending:
0
0%
Strong Trending Markets