DIG FAS - A Big Pair

In a continuation of yesterday's introduction of the REWIND pairs trader. . . here's a turbo version of the XLE XLF pair trade using the 3x bull energy versus the 3x financials. This trade is what I call buying risk and one metric that has yet to be clearly defined is the max daily drawdown such a pairing might incur. We're working on it at the REWIND development center.
Clearly the results are stunning and with a rolling correlation of 100% the profit potential is there for those willing to stick their neck out a bit.
For backtesting I've turned on condition #2, which looks for active z-score reversals and I've optimized for both P&L linearity and profits, although with this testing environment you can choose Linearity of P&L or Cumulative Profits or Linearity x Cum Profits.
Note in the Neutral Trade window that you have to trade 2.5 shares of DIG for every share of FAS to create a balanced capitalization.
For those attempting this trade I would first recommend reviewing an archived post that argued for certain visual aids to help you keep up your enthusiasm in high stress environments.
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Keep in mind that these results are reflective of daily bar activity. Those of you who have been with me for a while know my real interest is more on daytrading and the next iteration of this pairs study would have to focus on a 5 minute bar version. I'll keep you posted.