Strategies
Strategies as of 1/28/2023 12:33:58 EDT
There are two main types of strategies used in these systems: End of Day (EOD) and End of Month (EOM).
EOD strategies tend to be more volatile and may involve taking new positions on a daily basis. These strategies require more active management and attention, as the frequent changes in positions can increase the risk.
On the other hand, EOM strategies are generally 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.
| Strategy | Tickers | Sharpe | Sortino | APR | ADD | APR/ADD | Tick |
|---|---|---|---|---|---|---|---|
| Cycler321x | TLT, UBT, TMF | 1.24 | 1.78 | 31.75% | -11.86% | 2.68 | EOD |
| VSlopes | SPXL, SPY, TMF, UBT, SSO, TLT | 1.13 | 1.58 | 23.18% | -11.14% | 2.08 | EOD |
| HighLowSOXL | SOXL | 0.66 | 0.85 | 26.18% | -23.62% | 1.11 | EOD |
| HighLowUDOW | UDOW | 0.70 | 0.86 | 13.38% | -17.81% | 0.75 | EOD |
| HighLowSPXL | SPXL | 0.68 | 0.84 | 12.91% | -11.29% | 1.14 | EOD |
| AtrTQQQ | TQQQ | 1.04 | 1.42 | 20.10% | -14.76% | 1.36 | EOD |
| AtrSPXL | SPXL | 0.79 | 1.03 | 13.33% | -15.70% | 0.85 | EOD |
| CtiSQQQ | SQQQ | 1.34 | 1.88 | 40.59% | -12.60% | 3.22 | EOD |
| CtiTQQQ | TQQQ | 1.05 | 1.33 | 39.84% | -20.12% | 1.98 | EOD |
| CtiTECL | TECL | 1.11 | 1.43 | 45.47% | -20.09% | 2.26 | EOD |
| CtiSOXL | SOXL | 0.75 | 0.99 | 40.44% | -28.41% | 1.42 | EOD |
| CtiTMF | TMF | 0.71 | 0.99 | 16.59% | -14.80% | 1.12 | EOD |
| VRP-SPX | SPXL, SSO, SPY, TMF, TLT, UBT | 1.53 | 1.98 | 41.29% | -11.24% | 3.67 | EOD |
| VRP-NDX | TQQQ, QLD, QQQ, TMF, TLT, UBT | 1.38 | 1.74 | 46.14% | -15.87% | 2.91 | EOD |
| 3xADM-d | TQQQ, SPXL, TMF, TIP, TBF | 0.83 | 1.04 | 26.53% | -21.20% | 1.25 | EOD |
| 1xADM-d | QQQ, SPY, UBT, TIP, TBF | 0.77 | 0.98 | 14.02% | -12.83% | 1.09 | EOD |
| Alvarez-d | EEM, EFA, GLD, HYG, IWM, LQD, QLD, SSO, UBT, VNQ, TMF, TIP, TBF | 0.85 | 1.09 | 29.18% | -20.14% | 1.45 | EOD |
| GrayBeard-d | IAU, SPXL, SHV, UBT, TIP, TBF | 0.77 | 0.99 | 21.13% | -19.11% | 1.11 | EOD |
| Hanly | VFINX, VINEX, VUSTX | 0.65 | 0.81 | 10.44% | -17.24% | 0.61 | EOM |
| Alvarez | EEM, EFA, GLD, HYG, IWM, LQD, QLD, SSO, UBT, VNQ, TMF, TBF | 0.80 | 0.96 | 25.08% | -14.89% | 1.68 | EOM |
| 3xADM | TQQQ, SPXL, TMF, TBF | 0.99 | 1.25 | 43.52% | -20.64% | 2.11 | EOM |
| 1xADM | QQQ, SPY, UBT, TBF | 0.92 | 1.15 | 18.27% | -10.69% | 1.71 | EOM |
| 3xADM | TQQQ, SPXL, TMF, TBF | 1.01 | 1.26 | 48.86% | -21.91% | 2.23 | EOM |
| BondYield | IEF, LQD, HYG, JNK, TLT, TBF | 0.80 | 1.09 | 5.16% | -5.55% | 0.93 | EOM |
| Factor | SPLV, MTUM, NOBL, RPV, USMV, QUAL, SIZE, VLUE, UBT, TBF | 0.73 | 0.91 | 11.85% | -10.85% | 1.09 | EOM |
| FX | FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ, UBT, TBF | 0.93 | 1.17 | 16.34% | -9.50% | 1.72 | EOM |
| GrayBeard | IAU, SPXL, TQQQ, TLT, SHV, UBT, TMF, TBF | 0.85 | 1.07 | 22.84% | -14.57% | 1.57 | EOM |
| Alternate | VO, VB, SCHB, QLD, TMF, GLD, IWM, TBF | 0.72 | 0.88 | 23.13% | -20.49% | 1.13 | EOM |
| Sector | XLE, XLF, XLI, XLB, XLY, XLRE, XLV, XLK, XLU, XLP, UBT, TBF | 0.82 | 1.06 | 19.65% | -12.95% | 1.52 | EOM |
| CalendarTrend | VFINX | 0.66 | 0.79 | 9.28% | -10.87% | 0.85 | EOM |
| DMIndicatorRSP | SPY | 0.73 | 0.90 | 7.30% | -8.42% | 0.87 | EOM |
| DMIndicatorMC | SPY | 0.45 | 0.57 | 4.88% | -10.41% | 0.47 | EOM |
| DMIndicatorKC | SPY | 0.77 | 1.01 | 5.52% | -5.43% | 1.02 | EOM |
| DMIndicatorCPI | SPY | 0.64 | 0.82 | 7.05% | -7.47% | 0.94 | EOM |
| SP500Bayes | SPY | 0.70 | 0.85 | 8.03% | -9.05% | 0.89 | EOD |
| MC-EOD | SPY | 0.32 | 0.40 | 3.02% | -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
Tick indicates the frequency of the data being used for the strategy, EOD - EndOfDay, EOM - EndOfMonth