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.
| Strategy | Tickers | Sharpe | Sortino | APR | ADD | APR/ADD | TimeFrame |
|---|---|---|---|---|---|---|---|
| AtrTQQQ | TQQQ | 1.00 | 1.36 | 17.05% | -13.43% | 1.27 | EOD |
| AtrSPXL | SPXL | 0.80 | 1.05 | 11.95% | -14.20% | 0.84 | EOD |
| CtiSQQQ | SQQQ | 1.53 | 2.24 | 34.77% | -9.63% | 3.61 | EOD |
| CtiTQQQ | TQQQ | 0.88 | 1.14 | 28.59% | -18.60% | 1.54 | EOD |
| CtiTECL | TECL | 1.14 | 1.49 | 40.51% | -16.84% | 2.41 | EOD |
| CtiSOXL | SOXL | 0.62 | 0.84 | 27.84% | -30.06% | 0.93 | EOD |
| CtiTMF | TMF | 0.92 | 1.32 | 18.91% | -12.79% | 1.48 | EOD |
| VRP-SPX | SPXL, SSO, SPY, TMF, TLT, UBT | 1.24 | 1.68 | 35.88% | -16.44% | 2.18 | EOD |
| VRP-NDX | TQQQ, QLD, QQQ, TMF, TLT, UBT | 1.25 | 1.71 | 42.50% | -17.73% | 2.40 | EOD |
| SplineNDX | TQQQ, TMF | 1.56 | 2.14 | 57.27% | -14.64% | 3.91 | EOD |
| SplineSPX | SPXL, TMF | 1.73 | 2.36 | 56.76% | -13.79% | 4.12 | EOD |
| SplineQYLD | QYLD | 1.45 | 1.77 | 8.87% | -2.31% | 3.84 | EOD |
| SplineSVXY | SVXY | 1.77 | 2.37 | 28.94% | -5.76% | 5.03 | EOD |
| SplineVXX | VXX | 1.32 | 1.68 | 32.54% | -11.71% | 2.78 | EOD |
| SplineUVXY | UVXY | 1.39 | 1.71 | 61.83% | -16.94% | 3.65 | EOD |
| 3xADM-d | TQQQ, SPXL, TMF, TIP, TBF | 0.81 | 1.02 | 30.68% | -20.98% | 1.46 | EOD |
| 1xADM-d | QQQ, SPY, TLT, TIP, TBF | 0.92 | 1.25 | 11.23% | -8.34% | 1.35 | EOD |
| Hanly | VFINX, VINEX, VUSTX | 0.65 | 0.81 | 10.45% | -17.24% | 0.61 | EOM |
| Alvarez | EEM, EFA, GLD, HYG, IWM, LQD, QLD, SSO, UBT, VNQ, TMF, TBF | 0.79 | 0.95 | 23.80% | -15.76% | 1.51 | EOM |
| 3xADM | TQQQ, SPXL, TMF, TBF | 1.00 | 1.26 | 45.96% | -21.00% | 2.19 | EOM |
| 1xADM | QQQ, SPY, UBT, TIP, TBF | 0.92 | 1.16 | 18.44% | -10.42% | 1.77 | EOM |
| 3xADM | TQQQ, SPXL, TMF, TBF | 0.97 | 1.21 | 44.60% | -22.21% | 2.01 | EOM |
| BondYield | IEF, LQD, HYG, JNK, TLT, TBF | 0.74 | 1.01 | 5.90% | -5.65% | 1.04 | EOM |
| Factor | SPLV, MTUM, NOBL, RPV, USMV, QUAL, SIZE, VLUE, UBT, TBF | 0.54 | 0.67 | 8.68% | -11.44% | 0.76 | EOM |
| FX | FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ, UBT, TBF | 0.81 | 1.03 | 14.14% | -9.88% | 1.43 | EOM |
| GrayBeard | IAU, SPXL, TQQQ, TLT, SHV, UBT, TMF, TBF | 0.76 | 0.93 | 21.92% | -16.15% | 1.36 | EOM |
| Alternate | VO, VB, SCHB, QLD, TMF, GLD, IWM, TBF | 0.71 | 0.86 | 23.94% | -18.05% | 1.33 | EOM |
| Sector | XLE, XLF, XLI, XLB, XLY, XLRE, XLV, XLK, XLU, XLP, UBT, TBF | 0.80 | 1.05 | 17.65% | -14.24% | 1.24 | EOM |
| CalendarTrend | VFINX | 0.68 | 0.81 | 9.74% | -11.13% | 0.88 | EOM |
| DMIndicatorRSP | SPY | 0.74 | 0.90 | 7.44% | -8.56% | 0.87 | EOM |
| DMIndicatorMC | SPY | 0.44 | 0.56 | 4.70% | -10.10% | 0.47 | EOM |
| DMIndicatorKC | SPY | 0.63 | 0.78 | 6.26% | -8.24% | 0.76 | EOM |
| DMIndicatorCPI | SPY | 1.03 | 1.35 | 20.37% | -8.12% | 2.51 | EOM |
| SP500Bayes | SPY | 0.69 | 0.85 | 7.97% | -9.07% | 0.88 | EOD |
| IndicatorRR | SPY | 0.56 | 0.66 | 8.76% | -12.62% | 0.69 | EOD |
| MC-EOD | SPY | 0.32 | 0.41 | 3.08% | -10.15% | 0.30 | EOD |
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