The equity curve above shows the cumulative % daily returns of The Summit trading system tracked each day at the close. The curve comprises about 1800 trading days, and there are about 1490 hypothetical trades:
CAGR = 177.5%
monthly max drawdown = -40%
daily maximum drawdown = -40% (compounded -40%)
trade frequency = 4.18 trades per week on average
The system trades UVXY etp INTRADAY at the market open at 9.30 AM EST, mainly shorting UVXY. A more conservative version trades VXX instead of UVXY, reducing compounded drawdown to -18.6% and CAGR to 88.8%
The Summit exploits both roll-yield and VXX price behavior. The backtest extends from the inception of VXX inception in January 2009 to present.
What about the compounding effect? The extremely low drawdown of The Summit system allows traders to reinvest profits without incurring excessive financial losses. Below is the compounded equity curve:
$10,000 invested in January 2009 would have grown to over $29.264.255 by the beginning of March 2017.
The risk remains low even though gains are reinvested.
Lastly, the compounded drawdown chart:
Below, you can look at the cumulative monthly percentage returns (not compounded):