Description
This is similar to 1xADM but working on a daily time frame and tighter stops.
This strategy uses the following risk-on assets: QQQ, SPY, with TLT, TBF and TIP being risk off havens.
It will buy only one risk-on asset at a time.
Trading happens on the NextOpen of the signal day
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | dc3c013c-dee1-4052-b3e3-3865cf31362f |
| NoOfTrades | 117.00 |
| NoOfWins | 75.00 |
| NoOfLosses | 42.00 |
| SharpRatio | 0.91 |
| SortinoRatio | 1.20 |
| GrossProfit | $98145.70 |
| FirstDate | 2010-12-06 |
| LastDate | 2023-12-27 |
| FirstEquity | $10000.00 |
| FinalEquity | $108145.70 |
| OpenEquity | $86596.94 |
| LongEquity | $98145.70 |
| ShortEquity | $0.00 |
| PercentWins | 64.10% |
| AveWin | 5.65% |
| AveLoss | -2.34% |
| AveWinLoss | 2.41 |
| Expectancy | 2.78% |
| MedianDrawUp | 45.05% |
| MednDrawDown | -13.06% |
| MaxDrawDown | -28.75% |
| Kelly | 49.20% |
| Thorpe | 4.52 |
| Rachev | 0.84 |
| PAPR | 9.84% |
| APR | 20.00% |
| CalmarRatio | 1.51 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| TBF | 2010-12-06 | 2010-12-07 | $40.02 | $40.36 | Long | 204 | 0.85% | 1935.44 | 9978.07 |
| QQQ | 2010-12-07 | 2011-03-18 | $48.13 | $48.92 | Long | 169 | 1.65% | 2019.13 | 10134.52 |
| SPY | 2011-03-18 | 2011-03-24 | $101.04 | $102.26 | Long | 81 | 1.21% | 1915.67 | 10328.89 |
| TBF | 2011-03-24 | 2011-03-29 | $40.32 | $40.66 | Long | 208 | 0.84% | 2059.75 | 10435.58 |
| SPY | 2011-03-29 | 2011-03-30 | $102.63 | $103.95 | Long | 81 | 1.28% | 2036.51 | 10424.44 |
| TBF | 2011-03-30 | 2011-04-04 | $40.79 | $40.39 | Long | 207 | -0.97% | 2026.98 | 10387.23 |
| SPY | 2011-04-04 | 2011-04-15 | $104.64 | $103.36 | Long | 80 | -1.22% | 2064.77 | 10260.14 |
| TBF | 2011-04-15 | 2011-05-04 | $40.35 | $39.24 | Long | 204 | -2.75% | 1983.72 | 10019.53 |
| SPY | 2011-05-04 | 2011-05-05 | $106.39 | $105.15 | Long | 76 | -1.17% | 1946.23 | 9923.52 |
| TBF | 2011-05-05 | 2011-05-06 | $38.97 | $39.11 | Long | 206 | 0.35% | 2065.61 | 10103.38 |
| UBT | 2011-05-06 | 2011-05-09 | $17.88 | $18.05 | Long | 444 | 0.96% | 1935.44 | 10071.39 |
| TBF | 2011-05-09 | 2011-05-10 | $38.96 | $39.02 | Long | 209 | 0.14% | 1982.39 | 10026.27 |
| UBT | 2011-05-10 | 2012-02-08 | $17.98 | $27.56 | Long | 451 | 53.31% | 2711.35 | 14473.47 |
| QQQ | 2012-02-08 | 2012-05-03 | $55.46 | $59.99 | Long | 211 | 8.17% | 3082.67 | 15493.94 |
| UBT | 2012-05-03 | 2012-05-08 | $27.92 | $28.96 | Long | 440 | 3.71% | 3113.14 | 15860.61 |
| QQQ | 2012-05-08 | 2012-05-09 | $57.52 | $57.01 | Long | 221 | -0.89% | 2709.16 | 15556.01 |
| UBT | 2012-05-09 | 2012-12-06 | $29.35 | $32.97 | Long | 443 | 12.34% | 3453.43 | 17355.82 |
| TBF | 2012-12-06 | 2012-12-10 | $25.96 | $26.17 | Long | 534 | 0.81% | 3228.15 | 17402.10 |
| UBT | 2012-12-10 | 2012-12-18 | $32.42 | $30.70 | Long | 438 | -5.32% | 2912.35 | 16790.53 |
| TBF | 2012-12-18 | 2013-01-22 | $26.88 | $27.23 | Long | 512 | 1.33% | 3319.35 | 16929.18 |
| SPY | 2013-01-22 | 2013-04-24 | $120.86 | $129.18 | Long | 112 | 6.88% | 3593.99 | 17844.91 |
| UBT | 2013-04-24 | 2013-04-29 | $31.54 | $32.08 | Long | 450 | 1.72% | 3486.75 | 18089.44 |
| SPY | 2013-04-29 | 2013-07-31 | $129.87 | $139.00 | Long | 112 | 7.03% | 3633.31 | 19054.81 |
| QQQ | 2013-07-31 | 2013-08-01 | $68.85 | $69.33 | Long | 224 | 0.70% | 3637.73 | 19223.87 |
| SPY | 2013-08-01 | 2013-08-02 | $139.86 | $140.10 | Long | 111 | 0.17% | 3606.88 | 19272.61 |
| QQQ | 2013-08-02 | 2014-04-02 | $69.56 | $82.43 | Long | 224 | 18.50% | 4287.78 | 22108.78 |
| SPY | 2014-04-02 | 2014-04-16 | $157.38 | $154.86 | Long | 113 | -1.60% | 4233.74 | 22051.33 |
| UBT | 2014-04-16 | 2014-11-14 | $26.72 | $31.78 | Long | 657 | 18.94% | 4754.00 | 25181.64 |
| QQQ | 2014-11-14 | 2014-11-19 | $95.13 | $95.78 | Long | 214 | 0.68% | 4924.38 | 25231.00 |
| UBT | 2014-11-19 | 2015-02-25 | $31.81 | $37.89 | Long | 639 | 19.10% | 5580.28 | 29109.77 |
| QQQ | 2015-02-25 | 2015-03-03 | $100.66 | $101.22 | Long | 234 | 0.56% | 6311.33 | 29150.92 |
| UBT | 2015-03-03 | 2015-03-05 | $36.44 | $36.32 | Long | 630 | -0.33% | 5573.89 | 29170.72 |
| QQQ | 2015-03-05 | 2015-03-06 | $100.92 | $100.71 | Long | 234 | -0.21% | 6236.83 | 28722.72 |
| UBT | 2015-03-06 | 2015-03-26 | $35.24 | $39.03 | Long | 650 | 10.78% | 6796.66 | 31730.11 |
| QQQ | 2015-03-26 | 2015-05-07 | $97.30 | $99.25 | Long | 255 | 2.00% | 5995.72 | 31952.19 |
| TBF | 2015-05-07 | 2015-06-19 | $23.48 | $23.87 | Long | 1112 | 1.68% | 5754.89 | 32397.34 |
| QQQ | 2015-06-19 | 2015-06-24 | $103.03 | $103.19 | Long | 260 | 0.15% | 6375.61 | 32475.24 |
| TBF | 2015-06-24 | 2015-08-14 | $24.27 | $22.66 | Long | 1080 | -6.60% | 6200.27 | 31012.20 |
| UBT | 2015-08-14 | 2015-09-11 | $34.77 | $33.74 | Long | 709 | -2.96% | 6122.05 | 30162.37 |
| TBF | 2015-09-11 | 2015-10-07 | $22.90 | $22.54 | Long | 1048 | -1.60% | 5454.32 | 29763.75 |
| UBT | 2015-10-07 | 2015-10-08 | $34.74 | $34.71 | Long | 699 | -0.09% | 5734.08 | 29972.23 |
| TBF | 2015-10-08 | 2015-10-12 | $22.44 | $22.49 | Long | 1069 | 0.24% | 5417.53 | 30162.38 |
| UBT | 2015-10-12 | 2015-11-10 | $34.16 | $32.14 | Long | 713 | -5.91% | 5535.79 | 28326.64 |
| TBF | 2015-11-10 | 2015-11-11 | $23.24 | $23.30 | Long | 981 | 0.24% | 5482.69 | 28381.49 |
| UBT | 2015-11-11 | 2015-11-12 | $32.13 | $32.34 | Long | 713 | 0.67% | 5671.39 | 28515.20 |
| TBF | 2015-11-12 | 2015-12-03 | $23.20 | $22.64 | Long | 986 | -2.41% | 6288.13 | 27647.95 |
| UBT | 2015-12-03 | 2016-04-27 | $33.34 | $37.76 | Long | 651 | 13.26% | 6214.00 | 30972.88 |
| SPY | 2016-04-27 | 2016-05-10 | $181.29 | $179.76 | Long | 136 | -0.84% | 5720.39 | 30491.07 |
| UBT | 2016-05-10 | 2016-07-14 | $39.78 | $45.17 | Long | 627 | 13.54% | 5665.49 | 34003.37 |
| SPY | 2016-07-14 | 2016-08-04 | $189.16 | $189.09 | Long | 150 | -0.04% | 6406.34 | 34112.11 |
| QQQ | 2016-08-04 | 2016-11-02 | $108.75 | $109.71 | Long | 254 | 0.89% | 6752.73 | 34210.00 |
| TBF | 2016-11-02 | 2016-11-15 | $20.07 | $21.49 | Long | 1371 | 7.07% | 6854.17 | 36409.50 |
| QQQ | 2016-11-15 | 2016-11-29 | $109.16 | $112.15 | Long | 269 | 2.74% | 7185.95 | 37075.14 |
| SPY | 2016-11-29 | 2016-12-28 | $193.74 | $200.23 | Long | 154 | 3.35% | 7144.44 | 37721.00 |
| QQQ | 2016-12-28 | 2017-01-06 | $114.79 | $114.72 | Long | 269 | -0.06% | 7373.74 | 38096.06 |
| SPY | 2017-01-06 | 2017-01-11 | $200.20 | $200.05 | Long | 153 | -0.08% | 7168.25 | 38056.50 |
| QQQ | 2017-01-11 | 2017-03-29 | $116.27 | $125.16 | Long | 265 | 7.64% | 7466.37 | 40196.27 |
| TBF | 2017-03-29 | 2017-03-30 | $21.46 | $21.42 | Long | 1532 | -0.17% | 7616.90 | 40342.20 |
| QQQ | 2017-03-30 | 2017-04-17 | $125.63 | $124.28 | Long | 260 | -1.07% | 7677.55 | 40014.26 |
| TBF | 2017-04-17 | 2017-04-18 | $20.94 | $20.89 | Long | 1540 | -0.26% | 7480.41 | 39911.74 |
| QQQ | 2017-04-18 | 2017-05-24 | $124.48 | $132.60 | Long | 260 | 6.53% | 8575.48 | 42193.54 |
| UBT | 2017-05-24 | 2017-07-06 | $35.55 | $36.22 | Long | 939 | 1.89% | 7872.56 | 42542.73 |
| QQQ | 2017-07-06 | 2017-07-11 | $130.02 | $131.90 | Long | 267 | 1.44% | 8000.96 | 43125.70 |
| UBT | 2017-07-11 | 2017-07-13 | $35.80 | $36.20 | Long | 980 | 1.10% | 7914.85 | 43517.03 |
| QQQ | 2017-07-13 | 2017-07-17 | $134.20 | $135.53 | Long | 265 | 0.99% | 8334.24 | 43954.62 |
| UBT | 2017-07-17 | 2017-07-18 | $36.11 | $36.70 | Long | 983 | 1.65% | 8953.70 | 44684.52 |
| QQQ | 2017-07-18 | 2017-07-31 | $135.35 | $137.41 | Long | 262 | 1.52% | 8502.81 | 44954.11 |
| UBT | 2017-07-31 | 2017-09-15 | $36.41 | $38.33 | Long | 1001 | 5.25% | 9144.67 | 46995.99 |
| QQQ | 2017-09-15 | 2017-09-18 | $138.68 | $139.29 | Long | 272 | 0.44% | 9212.35 | 46804.35 |
| UBT | 2017-09-18 | 2017-09-19 | $38.09 | $37.96 | Long | 993 | -0.34% | 9035.21 | 46902.05 |
| QQQ | 2017-09-19 | 2017-12-08 | $139.23 | $148.14 | Long | 272 | 6.41% | 9638.03 | 49382.80 |
| SPY | 2017-12-08 | 2017-12-12 | $237.68 | $239.52 | Long | 167 | 0.77% | 9314.26 | 49601.05 |
| QQQ | 2017-12-12 | 2017-12-14 | $148.79 | $149.20 | Long | 271 | 0.28% | 9527.85 | 49533.21 |
| SPY | 2017-12-14 | 2017-12-18 | $239.41 | $241.53 | Long | 168 | 0.89% | 9194.10 | 50177.69 |
| QQQ | 2017-12-18 | 2018-04-09 | $151.52 | $151.41 | Long | 270 | -0.07% | 9790.60 | 49881.22 |
| TBF | 2018-04-09 | 2018-04-23 | $20.97 | $21.40 | Long | 1921 | 2.05% | 10105.34 | 50601.34 |
| QQQ | 2018-04-23 | 2018-09-27 | $156.31 | $178.02 | Long | 261 | 13.89% | 10980.25 | 56613.55 |
| SPY | 2018-09-27 | 2018-09-28 | $265.05 | $264.67 | Long | 172 | -0.14% | 10679.79 | 56622.35 |
| QQQ | 2018-09-28 | 2018-10-11 | $178.30 | $164.55 | Long | 257 | -7.71% | 10287.14 | 52649.87 |
| TBF | 2018-10-11 | 2018-12-17 | $22.08 | $21.24 | Long | 1933 | -3.79% | 9745.53 | 51749.80 |
| UBT | 2018-12-17 | 2019-07-01 | $34.22 | $43.22 | Long | 1216 | 26.31% | 11036.82 | 62014.61 |
| QQQ | 2019-07-01 | 2019-07-02 | $184.40 | $183.32 | Long | 278 | -0.59% | 11794.21 | 62521.58 |
| UBT | 2019-07-02 | 2019-07-03 | $43.21 | $43.81 | Long | 1162 | 1.40% | 11763.34 | 62957.34 |
| QQQ | 2019-07-03 | 2019-07-05 | $184.57 | $184.22 | Long | 276 | -0.19% | 12442.26 | 62562.94 |
| UBT | 2019-07-05 | 2019-12-24 | $43.13 | $45.48 | Long | 1163 | 5.44% | 12323.63 | 65313.72 |
| QQQ | 2019-12-24 | 2020-02-03 | $206.26 | $214.18 | Long | 257 | 3.84% | 12927.60 | 67705.79 |
| UBT | 2020-02-03 | 2020-02-07 | $51.70 | $51.03 | Long | 1053 | -1.29% | 13600.95 | 66674.87 |
| QQQ | 2020-02-07 | 2020-02-11 | $222.96 | $226.94 | Long | 238 | 1.78% | 13444.42 | 67214.58 |
| UBT | 2020-02-11 | 2020-02-19 | $51.30 | $51.66 | Long | 1056 | 0.71% | 12168.33 | 68196.65 |
| QQQ | 2020-02-19 | 2020-02-24 | $229.74 | $215.68 | Long | 243 | -6.12% | 8445.78 | 64190.08 |
| UBT | 2020-02-24 | 2020-06-15 | $55.74 | $63.87 | Long | 1007 | 14.57% | 16554.33 | 74285.15 |
| QQQ | 2020-06-15 | 2020-07-13 | $226.63 | $260.69 | Long | 248 | 15.03% | 17941.47 | 82194.71 |
| UBT | 2020-07-13 | 2020-07-29 | $65.15 | $68.76 | Long | 971 | 5.54% | 16331.73 | 85088.75 |
| QQQ | 2020-07-29 | 2021-03-03 | $252.31 | $310.89 | Long | 271 | 23.22% | 20039.66 | 99670.44 |
| SPY | 2021-03-03 | 2021-06-28 | $367.78 | $409.92 | Long | 219 | 11.46% | 20917.79 | 110553.67 |
| QQQ | 2021-06-28 | 2021-06-29 | $344.55 | $347.25 | Long | 258 | 0.78% | 20997.94 | 110470.40 |
| SPY | 2021-06-29 | 2021-06-30 | $410.60 | $409.95 | Long | 218 | -0.16% | 20796.72 | 110266.92 |
| QQQ | 2021-06-30 | 2021-07-28 | $348.53 | $359.10 | Long | 257 | 3.04% | 22487.95 | 114147.10 |
| UBT | 2021-07-28 | 2021-08-02 | $52.73 | $53.38 | Long | 1718 | 1.22% | 21648.63 | 113609.94 |
| SPY | 2021-08-02 | 2021-08-05 | $422.55 | $422.44 | Long | 219 | -0.03% | 23086.70 | 113760.58 |
| UBT | 2021-08-05 | 2021-10-21 | $54.18 | $48.75 | Long | 1681 | -10.01% | 20233.51 | 105385.46 |
| SPY | 2021-10-21 | 2021-10-22 | $434.92 | $436.23 | Long | 195 | 0.30% | 20196.34 | 104943.03 |
| TBF | 2021-10-22 | 2021-10-28 | $15.74 | $15.27 | Long | 5406 | -2.99% | 18040.19 | 102272.85 |
| UBT | 2021-10-28 | 2021-11-10 | $52.04 | $54.44 | Long | 1628 | 4.61% | 21759.77 | 106024.80 |
| QQQ | 2021-11-10 | 2021-11-22 | $385.93 | $398.82 | Long | 220 | 3.34% | 21660.44 | 108673.09 |
| UBT | 2021-11-22 | 2022-01-07 | $51.88 | $48.95 | Long | 1693 | -5.66% | 20144.12 | 105035.79 |
| TBF | 2022-01-07 | 2022-12-15 | $15.59 | $19.66 | Long | 5412 | 26.07% | 21796.67 | 126417.20 |
| UBT | 2022-12-15 | 2022-12-23 | $27.61 | $24.63 | Long | 3793 | -10.81% | 19061.38 | 115511.46 |
| TBF | 2022-12-23 | 2023-01-17 | $20.77 | $20.21 | Long | 4629 | -2.68% | 21465.15 | 112463.40 |
| SPY | 2023-01-17 | 2023-02-13 | $391.25 | $401.30 | Long | 233 | 2.57% | 21483.10 | 116014.65 |
| QQQ | 2023-02-13 | 2023-02-23 | $298.68 | $295.54 | Long | 313 | -1.05% | 23045.71 | 113336.39 |
| TBF | 2023-02-23 | 2023-03-29 | $21.11 | $20.66 | Long | 4308 | -2.15% | 22771.78 | 113032.61 |
| UBT | 2023-03-29 | 2023-05-24 | $24.81 | $23.63 | Long | 3598 | -4.74% | 21683.05 | 108423.85 |
| TBF | 2023-05-24 | 2023-06-20 | $21.19 | $20.90 | Long | 4064 | -1.40% | 21784.09 | 106822.41 |
| QQQ | 2023-06-20 | 2023-07-07 | $364.03 | $365.30 | Long | 233 | 0.35% | 19341.03 | 106976.76 |
| TBF | 2023-07-07 | 2023-12-20 | $21.73 | $21.82 | Long | 4029 | 0.41% | 19493.28 | 107913.43 |
| UBT | 2023-12-20 | 2023-12-27 | $22.50 | $22.73 | Long | 3901 | 1.01% | 21548.77 | 108261.60 |