Strategies

Strategies as of 5/29/2023 03:31:25 EDT

There are two primary strategies used in these systems: End of Day (EOD) and End of Month (EOM).

EOD strategies are typically more volatile and may involve taking new positions on a daily basis. These strategies require active management and close attention, as the frequent changes in positions can increase the risk.

In contrast, EOM strategies are usually less volatile and hold positions for at least one month. These strategies tend to be more passive, as trades typically occur on the last trading day of the month, at the market close. Wide stop-loss orders are used to limit potential losses, but it is rare for an exit to be triggered earlier. The longer holding period of these strategies can lead to lower turnover and capital gain taxes, making them an attractive option for investors.


StrategyTickersSharpeSortinoAPRADDAPR/ADDTimeFrame
AtrTQQQTQQQ1.001.3617.05%-13.43%1.27EOD
AtrSPXLSPXL0.801.0511.95%-14.20%0.84EOD
CtiSQQQSQQQ1.532.2434.77%-9.63%3.61EOD
CtiTQQQTQQQ0.881.1428.59%-18.60%1.54EOD
CtiTECLTECL1.141.4940.51%-16.84%2.41EOD
CtiSOXLSOXL0.620.8427.84%-30.06%0.93EOD
CtiTMFTMF0.921.3218.91%-12.79%1.48EOD
VRP-SPXSPXL, SSO, SPY, TMF, TLT, UBT1.241.6835.88%-16.44%2.18EOD
VRP-NDXTQQQ, QLD, QQQ, TMF, TLT, UBT1.251.7142.50%-17.73%2.40EOD
SplineNDXTQQQ, TMF1.562.1457.27%-14.64%3.91EOD
SplineSPXSPXL, TMF1.732.3656.76%-13.79%4.12EOD
SplineQYLDQYLD1.451.778.87%-2.31%3.84EOD
SplineSVXYSVXY1.772.3728.94%-5.76%5.03EOD
SplineVXXVXX1.321.6832.54%-11.71%2.78EOD
SplineUVXYUVXY1.391.7161.83%-16.94%3.65EOD
3xADM-dTQQQ, SPXL, TMF, TIP, TBF0.811.0230.68%-20.98%1.46EOD
1xADM-dQQQ, SPY, TLT, TIP, TBF0.921.2511.23%-8.34%1.35EOD
HanlyVFINX, VINEX, VUSTX0.650.8110.45%-17.24%0.61EOM
AlvarezEEM, EFA, GLD, HYG, IWM, LQD, QLD, SSO, UBT, VNQ, TMF, TBF0.790.9523.80%-15.76%1.51EOM
3xADMTQQQ, SPXL, TMF, TBF1.001.2645.96%-21.00%2.19EOM
1xADMQQQ, SPY, UBT, TIP, TBF0.921.1618.44%-10.42%1.77EOM
3xADMTQQQ, SPXL, TMF, TBF0.971.2144.60%-22.21%2.01EOM
BondYieldIEF, LQD, HYG, JNK, TLT, TBF0.741.015.90%-5.65%1.04EOM
FactorSPLV, MTUM, NOBL, RPV, USMV, QUAL, SIZE, VLUE, UBT, TBF0.540.678.68%-11.44%0.76EOM
FXFXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ, UBT, TBF0.811.0314.14%-9.88%1.43EOM
GrayBeardIAU, SPXL, TQQQ, TLT, SHV, UBT, TMF, TBF0.760.9321.92%-16.15%1.36EOM
AlternateVO, VB, SCHB, QLD, TMF, GLD, IWM, TBF0.710.8623.94%-18.05%1.33EOM
SectorXLE, XLF, XLI, XLB, XLY, XLRE, XLV, XLK, XLU, XLP, UBT, TBF0.801.0517.65%-14.24%1.24EOM
CalendarTrendVFINX0.680.819.74%-11.13%0.88EOM
DMIndicatorRSPSPY0.740.907.44%-8.56%0.87EOM
DMIndicatorMCSPY0.440.564.70%-10.10%0.47EOM
DMIndicatorKCSPY0.630.786.26%-8.24%0.76EOM
DMIndicatorCPISPY1.031.3520.37%-8.12%2.51EOM
SP500BayesSPY0.690.857.97%-9.07%0.88EOD
IndicatorRRSPY0.560.668.76%-12.62%0.69EOD
MC-EODSPY0.320.413.08%-10.15%0.30EOD

Notes

From the table above, a specific strategy decides what to invest in, while an indicator simply recommends either RiskOn or RiskOff

APR is the average annual percent return, ADD is average drawdown seen

TimeFrame indicates the frequency of the data being used for the strategy, EOD - EndOfDay, EOM - EndOfMonth