Description
This is similar to 1xADM with shorter time frames 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 | default |
NoOfTrades | 149.00 |
NoOfWins | 84.00 |
NoOfLosses | 65.00 |
SharpRatio | 0.92 |
SortinoRatio | 1.25 |
GrossProfit | $33262.24 |
FirstDate | 2009-08-21 |
LastDate | 2023-05-26 |
FirstEquity | $10000.00 |
FinalEquity | $43262.24 |
OpenEquity | $31333.92 |
LongEquity | $33262.24 |
ShortEquity | $0.00 |
PercentWins | 56.38% |
AveWin | 3.70% |
AveLoss | -1.44% |
AveWinLoss | 2.58 |
Expectancy | 1.46% |
AveDrawUp | 24.31% |
AveDrawDown | -8.34% |
MaxDrawDown | -20.55% |
Kelly | 39.44% |
Thorpe | 125.85 |
Rachev | 0.85 |
APR | 11.23% |
CalmarRatio | 1.35 |
Trades
Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
---|---|---|---|---|---|---|---|---|---|
QQQ | 2009-08-21 | 2009-10-09 | $35.29 | $37.21 | Long | 207.0 | 5.45% | 3006.19 | 10376.61 |
TIP | 2009-10-09 | 2009-10-13 | $73.92 | $74.07 | Long | 100.0 | 0.20% | 2976.64 | 10420.17 |
QQQ | 2009-10-13 | 2009-10-15 | $37.56 | $37.90 | Long | 198.0 | 0.92% | 2941.59 | 10493.06 |
TIP | 2009-10-15 | 2009-10-19 | $73.92 | $74.31 | Long | 102.0 | 0.53% | 3000.04 | 10591.86 |
QQQ | 2009-10-19 | 2009-10-21 | $37.80 | $38.14 | Long | 199.0 | 0.91% | 3056.18 | 10582.14 |
TIP | 2009-10-21 | 2009-10-22 | $74.59 | $74.17 | Long | 101.0 | -0.57% | 3022.57 | 10626.66 |
SPY | 2009-10-22 | 2009-10-23 | $83.61 | $84.77 | Long | 90.0 | 1.39% | 3026.94 | 10648.01 |
TIP | 2009-10-23 | 2010-01-04 | $74.03 | $75.13 | Long | 103.0 | 1.49% | 3046.16 | 10765.24 |
TBF | 2010-01-04 | 2010-01-14 | $48.55 | $48.56 | Long | 159.0 | 0.02% | 3056.43 | 10769.72 |
TIP | 2010-01-14 | 2010-02-25 | $75.59 | $75.22 | Long | 102.0 | -0.49% | 3102.82 | 10725.76 |
TBF | 2010-02-25 | 2010-03-18 | $47.37 | $46.92 | Long | 161.0 | -0.95% | 3008.95 | 10640.84 |
TIP | 2010-03-18 | 2010-03-30 | $75.72 | $74.72 | Long | 101.0 | -1.32% | 2949.89 | 10526.65 |
TBF | 2010-03-30 | 2010-04-19 | $48.44 | $47.42 | Long | 157.0 | -2.10% | 2941.59 | 10379.82 |
TIP | 2010-04-19 | 2010-04-23 | $76.06 | $76.02 | Long | 98.0 | -0.05% | 2878.96 | 10402.62 |
TBF | 2010-04-23 | 2010-04-26 | $47.25 | $47.05 | Long | 159.0 | -0.43% | 2884.59 | 10349.19 |
TIP | 2010-04-26 | 2010-05-03 | $76.28 | $77.02 | Long | 98.0 | 0.98% | 3036.51 | 10507.61 |
QQQ | 2010-05-03 | 2010-05-04 | $43.76 | $43.66 | Long | 169.0 | -0.24% | 2849.51 | 10404.13 |
TIP | 2010-05-04 | 2010-05-05 | $77.20 | $77.12 | Long | 98.0 | -0.10% | 3142.71 | 10437.27 |
QQQ | 2010-05-05 | 2010-05-10 | $42.48 | $41.99 | Long | 171.0 | -1.17% | 3354.73 | 10355.11 |
TLT | 2010-05-10 | 2010-10-26 | $66.36 | $73.03 | Long | 105.0 | 10.06% | 3120.44 | 11004.18 |
TIP | 2010-10-26 | 2010-10-27 | $82.32 | $81.81 | Long | 96.0 | -0.62% | 3179.14 | 10938.52 |
TLT | 2010-10-27 | 2010-10-28 | $72.18 | $72.11 | Long | 108.0 | -0.10% | 3106.96 | 10970.20 |
TIP | 2010-10-28 | 2010-12-03 | $81.87 | $80.31 | Long | 96.0 | -1.91% | 3078.03 | 10932.73 |
TBF | 2010-12-03 | 2010-12-21 | $41.61 | $42.94 | Long | 186.0 | 3.21% | 3112.76 | 11083.74 |
QQQ | 2010-12-21 | 2011-01-25 | $48.79 | $50.05 | Long | 163.0 | 2.59% | 3151.39 | 11224.13 |
TBF | 2011-01-25 | 2011-02-10 | $43.19 | $44.43 | Long | 188.0 | 2.87% | 3291.95 | 11562.52 |
QQQ | 2011-02-10 | 2011-03-16 | $51.32 | $49.03 | Long | 160.0 | -4.48% | 3149.04 | 11085.09 |
TBF | 2011-03-16 | 2011-03-18 | $42.04 | $42.30 | Long | 190.0 | 0.62% | 3246.30 | 11201.31 |
TIP | 2011-03-18 | 2011-03-30 | $81.85 | $80.88 | Long | 97.0 | -1.18% | 3094.13 | 11039.54 |
TBF | 2011-03-30 | 2011-04-28 | $42.77 | $41.82 | Long | 187.0 | -2.22% | 3037.86 | 10920.25 |
TIP | 2011-04-28 | 2011-05-13 | $82.91 | $83.08 | Long | 95.0 | 0.21% | 3127.00 | 10965.82 |
TLT | 2011-05-13 | 2011-07-01 | $70.30 | $70.41 | Long | 111.0 | 0.15% | 3110.92 | 10930.69 |
TIP | 2011-07-01 | 2011-07-15 | $84.21 | $85.15 | Long | 93.0 | 1.13% | 3261.38 | 11101.95 |
TLT | 2011-07-15 | 2011-07-18 | $71.27 | $71.85 | Long | 109.0 | 0.81% | 3135.32 | 11094.40 |
TIP | 2011-07-18 | 2011-07-19 | $85.57 | $85.70 | Long | 93.0 | 0.15% | 3191.20 | 11262.81 |
TLT | 2011-07-19 | 2011-07-21 | $71.30 | $71.24 | Long | 111.0 | -0.08% | 3167.06 | 11104.11 |
TIP | 2011-07-21 | 2011-07-22 | $85.28 | $85.59 | Long | 93.0 | 0.36% | 3110.70 | 11157.01 |
TLT | 2011-07-22 | 2011-07-25 | $71.57 | $71.03 | Long | 112.0 | -0.75% | 3141.57 | 11113.45 |
TIP | 2011-07-25 | 2011-08-03 | $85.21 | $88.13 | Long | 93.0 | 3.42% | 3029.62 | 11351.66 |
TLT | 2011-08-03 | 2012-02-08 | $76.22 | $88.61 | Long | 109.0 | 16.25% | 3532.06 | 12735.11 |
QQQ | 2012-02-08 | 2012-04-25 | $55.83 | $59.45 | Long | 164.0 | 6.49% | 3961.84 | 13300.07 |
TIP | 2012-04-25 | 2012-04-26 | $92.28 | $92.57 | Long | 101.0 | 0.32% | 3684.38 | 13292.96 |
TLT | 2012-04-26 | 2012-04-27 | $89.98 | $89.67 | Long | 107.0 | -0.34% | 3723.13 | 13272.64 |
TIP | 2012-04-27 | 2012-04-30 | $92.78 | $92.70 | Long | 103.0 | -0.08% | 3721.39 | 13250.73 |
TLT | 2012-04-30 | 2012-05-03 | $90.09 | $89.60 | Long | 106.0 | -0.55% | 3761.27 | 13209.83 |
TIP | 2012-05-03 | 2012-05-08 | $92.72 | $93.04 | Long | 102.0 | 0.34% | 3769.36 | 13259.10 |
TLT | 2012-05-08 | 2012-09-21 | $91.17 | $93.53 | Long | 104.0 | 2.59% | 3869.21 | 13512.00 |
TIP | 2012-09-21 | 2012-10-01 | $95.32 | $95.76 | Long | 101.0 | 0.46% | 3918.48 | 13576.29 |
TLT | 2012-10-01 | 2012-10-08 | $96.23 | $94.68 | Long | 100.0 | -1.61% | 3851.04 | 13407.90 |
TIP | 2012-10-08 | 2012-11-21 | $96.32 | $96.16 | Long | 99.0 | -0.17% | 3902.70 | 13381.36 |
TLT | 2012-11-21 | 2012-11-30 | $96.61 | $97.62 | Long | 98.0 | 1.04% | 3791.79 | 13472.97 |
TIP | 2012-11-30 | 2013-01-04 | $96.77 | $95.20 | Long | 100.0 | -1.62% | 3591.06 | 13257.15 |
TBF | 2013-01-04 | 2013-01-28 | $29.02 | $29.15 | Long | 335.0 | 0.46% | 3789.96 | 13342.86 |
SPY | 2013-01-28 | 2013-01-31 | $124.25 | $123.91 | Long | 77.0 | -0.27% | 3772.81 | 13306.21 |
TBF | 2013-01-31 | 2013-02-01 | $29.14 | $28.90 | Long | 328.0 | -0.82% | 3662.85 | 13290.22 |
SPY | 2013-02-01 | 2013-04-12 | $124.54 | $131.77 | Long | 77.0 | 5.80% | 3791.64 | 13858.33 |
TLT | 2013-04-12 | 2013-04-15 | $95.40 | $96.03 | Long | 105.0 | 0.66% | 4034.78 | 13695.48 |
SPY | 2013-04-15 | 2013-04-17 | $131.20 | $129.78 | Long | 75.0 | -1.08% | 3863.43 | 13808.03 |
TLT | 2013-04-17 | 2013-05-08 | $96.16 | $94.77 | Long | 103.0 | -1.45% | 3913.68 | 13679.41 |
SPY | 2013-05-08 | 2013-07-31 | $134.87 | $141.03 | Long | 72.0 | 4.56% | 3949.00 | 14067.50 |
QQQ | 2013-07-31 | 2014-02-06 | $69.30 | $78.17 | Long | 146.0 | 12.79% | 4483.74 | 15334.60 |
TLT | 2014-02-06 | 2014-02-18 | $86.34 | $86.09 | Long | 126.0 | -0.29% | 4322.92 | 15369.70 |
QQQ | 2014-02-18 | 2014-04-01 | $82.76 | $81.60 | Long | 133.0 | -1.40% | 4368.31 | 15212.38 |
SPY | 2014-04-01 | 2014-04-08 | $158.94 | $156.09 | Long | 68.0 | -1.79% | 4192.85 | 15016.19 |
TLT | 2014-04-08 | 2015-04-06 | $88.44 | $109.62 | Long | 122.0 | 23.95% | 5137.52 | 17742.79 |
QQQ | 2015-04-06 | 2015-04-07 | $97.87 | $99.20 | Long | 127.0 | 1.36% | 5135.59 | 17818.86 |
TLT | 2015-04-07 | 2015-04-10 | $108.62 | $108.70 | Long | 116.0 | 0.07% | 4985.66 | 17801.45 |
QQQ | 2015-04-10 | 2015-05-04 | $100.46 | $102.46 | Long | 127.0 | 1.99% | 5115.22 | 17845.35 |
TLT | 2015-05-04 | 2015-05-05 | $103.89 | $102.69 | Long | 124.0 | -1.16% | 5111.39 | 17828.27 |
TIP | 2015-05-05 | 2015-05-08 | $92.30 | $92.21 | Long | 138.0 | -0.10% | 5272.88 | 17925.83 |
TBF | 2015-05-08 | 2015-08-12 | $24.21 | $23.47 | Long | 519.0 | -3.05% | 4839.66 | 17365.57 |
TLT | 2015-08-12 | 2015-09-15 | $105.11 | $101.93 | Long | 120.0 | -3.03% | 4643.94 | 17233.98 |
TBF | 2015-09-15 | 2015-10-05 | $24.13 | $23.46 | Long | 515.0 | -2.79% | 5017.50 | 16644.21 |
TLT | 2015-10-05 | 2015-11-13 | $104.53 | $101.03 | Long | 112.0 | -3.35% | 4665.38 | 16300.58 |
TBF | 2015-11-13 | 2015-12-01 | $24.21 | $23.74 | Long | 482.0 | -1.94% | 4479.84 | 16256.72 |
TLT | 2015-12-01 | 2016-04-29 | $102.89 | $109.86 | Long | 113.0 | 6.78% | 4857.05 | 16871.57 |
SPY | 2016-04-29 | 2016-05-02 | $182.38 | $182.56 | Long | 66.0 | 0.10% | 4776.68 | 16826.73 |
TLT | 2016-05-02 | 2016-05-03 | $110.27 | $111.03 | Long | 110.0 | 0.69% | 4964.25 | 16968.87 |
SPY | 2016-05-03 | 2016-05-05 | $182.21 | $181.36 | Long | 66.0 | -0.46% | 4784.16 | 17022.67 |
TLT | 2016-05-05 | 2016-07-14 | $111.47 | $119.83 | Long | 109.0 | 7.50% | 4795.03 | 17828.67 |
SPY | 2016-07-14 | 2016-08-03 | $191.92 | $191.10 | Long | 68.0 | -0.43% | 5139.70 | 17840.73 |
QQQ | 2016-08-03 | 2016-10-31 | $109.05 | $111.85 | Long | 116.0 | 2.56% | 5118.89 | 18124.42 |
TIP | 2016-10-31 | 2016-11-03 | $95.55 | $95.58 | Long | 136.0 | 0.03% | 5020.56 | 18141.50 |
TBF | 2016-11-03 | 2016-11-16 | $21.12 | $22.52 | Long | 620.0 | 6.59% | 5327.44 | 19123.69 |
QQQ | 2016-11-16 | 2016-11-28 | $110.11 | $112.91 | Long | 124.0 | 2.54% | 5528.34 | 19285.42 |
SPY | 2016-11-28 | 2016-12-23 | $197.14 | $202.13 | Long | 70.0 | 2.53% | 5593.66 | 19705.52 |
QQQ | 2016-12-23 | 2017-01-04 | $114.50 | $114.22 | Long | 123.0 | -0.24% | 5482.37 | 19703.55 |
SPY | 2017-01-04 | 2017-01-11 | $202.30 | $202.96 | Long | 70.0 | 0.33% | 5526.69 | 19724.39 |
QQQ | 2017-01-11 | 2017-03-27 | $117.05 | $124.08 | Long | 121.0 | 6.01% | 5829.00 | 20578.91 |
TBF | 2017-03-27 | 2017-04-03 | $22.32 | $22.54 | Long | 659.0 | 0.95% | 5854.49 | 20660.01 |
QQQ | 2017-04-03 | 2017-04-04 | $126.72 | $126.16 | Long | 117.0 | -0.44% | 5855.63 | 20646.93 |
TBF | 2017-04-04 | 2017-04-13 | $22.36 | $21.96 | Long | 660.0 | -1.80% | 5842.08 | 20310.24 |
QQQ | 2017-04-13 | 2017-05-19 | $125.06 | $131.72 | Long | 116.0 | 5.32% | 6065.57 | 21164.02 |
TLT | 2017-05-19 | 2017-07-21 | $108.31 | $110.86 | Long | 139.0 | 2.35% | 6185.02 | 21527.06 |
QQQ | 2017-07-21 | 2017-07-26 | $137.75 | $138.82 | Long | 111.0 | 0.78% | 6268.92 | 21656.29 |
TLT | 2017-07-26 | 2017-09-20 | $108.69 | $111.54 | Long | 141.0 | 2.62% | 6305.30 | 21953.01 |
QQQ | 2017-09-20 | 2017-10-30 | $140.10 | $145.22 | Long | 112.0 | 3.66% | 6476.43 | 22587.45 |
SPY | 2017-10-30 | 2017-10-31 | $233.24 | $233.88 | Long | 69.0 | 0.28% | 6392.65 | 22626.17 |
QQQ | 2017-10-31 | 2017-12-07 | $146.14 | $147.54 | Long | 111.0 | 0.95% | 6438.94 | 22769.14 |
SPY | 2017-12-07 | 2017-12-08 | $240.15 | $241.14 | Long | 68.0 | 0.41% | 6282.94 | 22788.53 |
QQQ | 2017-12-08 | 2017-12-18 | $149.13 | $152.53 | Long | 111.0 | 2.28% | 6550.63 | 23220.33 |
SPY | 2017-12-18 | 2017-12-19 | $245.05 | $245.40 | Long | 68.0 | 0.14% | 6613.72 | 23170.54 |
QQQ | 2017-12-19 | 2017-12-20 | $152.51 | $152.43 | Long | 109.0 | -0.06% | 6799.44 | 23152.35 |
SPY | 2017-12-20 | 2017-12-21 | $245.21 | $244.72 | Long | 67.0 | -0.20% | 6633.76 | 23174.83 |
QQQ | 2017-12-21 | 2018-04-05 | $151.95 | $155.65 | Long | 109.0 | 2.44% | 6565.10 | 23651.54 |
TBF | 2018-04-05 | 2018-04-23 | $22.09 | $22.44 | Long | 771.0 | 1.56% | 6872.54 | 23741.20 |
QQQ | 2018-04-23 | 2018-09-25 | $157.35 | $178.04 | Long | 108.0 | 13.15% | 7473.98 | 26050.86 |
SPY | 2018-09-25 | 2018-09-26 | $269.95 | $269.38 | Long | 69.0 | -0.21% | 7317.20 | 26058.03 |
QQQ | 2018-09-26 | 2018-10-09 | $178.51 | $173.55 | Long | 105.0 | -2.78% | 7198.46 | 25411.62 |
TBF | 2018-10-09 | 2018-12-13 | $23.37 | $22.27 | Long | 785.0 | -4.71% | 7010.34 | 24618.88 |
TLT | 2018-12-13 | 2018-12-14 | $108.38 | $108.47 | Long | 163.0 | 0.08% | 6959.28 | 24690.46 |
TBF | 2018-12-14 | 2018-12-17 | $22.28 | $22.28 | Long | 796.0 | 0.00% | 7004.37 | 24776.96 |
TLT | 2018-12-17 | 2019-12-26 | $108.50 | $128.52 | Long | 163.0 | 18.44% | 7994.50 | 28096.22 |
QQQ | 2019-12-26 | 2019-12-30 | $207.89 | $209.11 | Long | 96.0 | 0.58% | 7917.49 | 28107.02 |
TIP | 2019-12-30 | 2020-01-02 | $102.81 | $103.22 | Long | 196.0 | 0.39% | 7779.47 | 28315.75 |
QQQ | 2020-01-02 | 2020-01-31 | $209.99 | $218.93 | Long | 97.0 | 4.26% | 8166.81 | 29120.78 |
TLT | 2020-01-31 | 2020-02-05 | $136.27 | $133.80 | Long | 153.0 | -1.81% | 7668.53 | 28456.47 |
QQQ | 2020-02-05 | 2020-02-06 | $225.48 | $224.08 | Long | 93.0 | -0.62% | 8054.73 | 28576.00 |
TLT | 2020-02-06 | 2020-06-16 | $133.68 | $150.71 | Long | 153.0 | 12.74% | 7425.22 | 31022.99 |
QQQ | 2020-06-16 | 2020-07-10 | $239.27 | $257.63 | Long | 99.0 | 7.67% | 8767.03 | 32697.42 |
TLT | 2020-07-10 | 2020-07-30 | $158.97 | $161.90 | Long | 152.0 | 1.85% | 9552.16 | 33686.11 |
QQQ | 2020-07-30 | 2021-03-03 | $253.45 | $312.96 | Long | 94.0 | 23.48% | 11358.62 | 38657.78 |
SPY | 2021-03-03 | 2021-06-28 | $373.13 | $415.89 | Long | 74.0 | 11.46% | 11958.78 | 42386.29 |
QQQ | 2021-06-28 | 2021-07-21 | $346.84 | $354.33 | Long | 87.0 | 2.16% | 12075.41 | 42759.22 |
TIP | 2021-07-21 | 2021-07-23 | $117.21 | $117.56 | Long | 262.0 | 0.30% | 12192.75 | 42992.19 |
TLT | 2021-07-23 | 2021-07-26 | $142.05 | $143.07 | Long | 216.0 | 0.71% | 12004.35 | 43164.26 |
TIP | 2021-07-26 | 2021-08-05 | $118.21 | $118.48 | Long | 263.0 | 0.23% | 12294.24 | 43069.08 |
TLT | 2021-08-05 | 2021-08-12 | $144.93 | $140.45 | Long | 213.0 | -3.10% | 11734.96 | 42194.88 |
TIP | 2021-08-12 | 2021-08-16 | $118.12 | $118.46 | Long | 258.0 | 0.29% | 11462.35 | 42240.92 |
TLT | 2021-08-16 | 2021-10-07 | $143.43 | $138.00 | Long | 215.0 | -3.78% | 11498.39 | 41155.78 |
TIP | 2021-10-07 | 2021-11-08 | $118.06 | $120.24 | Long | 251.0 | 1.84% | 11634.90 | 41691.05 |
TLT | 2021-11-08 | 2021-11-11 | $143.75 | $143.32 | Long | 209.0 | -0.30% | 12053.81 | 41438.83 |
QQQ | 2021-11-11 | 2021-11-12 | $388.60 | $387.81 | Long | 76.0 | -0.20% | 11820.00 | 41393.11 |
TLT | 2021-11-12 | 2021-11-23 | $142.83 | $140.83 | Long | 208.0 | -1.40% | 11616.01 | 41068.65 |
TIP | 2021-11-23 | 2021-11-29 | $119.42 | $120.07 | Long | 247.0 | 0.54% | 11645.46 | 41473.92 |
TLT | 2021-11-29 | 2022-01-04 | $143.12 | $138.91 | Long | 207.0 | -2.94% | 11313.23 | 40320.90 |
TIP | 2022-01-04 | 2022-01-13 | $119.70 | $117.83 | Long | 243.0 | -1.56% | 11028.20 | 39754.68 |
TBF | 2022-01-13 | 2022-12-13 | $16.33 | $20.49 | Long | 1771.0 | 25.50% | 12324.66 | 46890.65 |
TLT | 2022-12-13 | 2022-12-22 | $107.68 | $102.62 | Long | 325.0 | -4.70% | 12612.47 | 45677.42 |
TBF | 2022-12-22 | 2023-01-19 | $21.54 | $20.70 | Long | 1535.0 | -3.91% | 13356.27 | 44327.85 |
SPY | 2023-01-19 | 2023-02-09 | $387.86 | $412.82 | Long | 80.0 | 6.43% | 13386.56 | 45616.58 |
QQQ | 2023-02-09 | 2023-02-17 | $308.36 | $300.61 | Long | 107.0 | -2.52% | 12274.62 | 45136.01 |
TBF | 2023-02-17 | 2023-03-27 | $22.21 | $21.37 | Long | 1498.0 | -3.80% | 13455.19 | 44078.50 |
TLT | 2023-03-27 | 2023-03-28 | $104.51 | $103.71 | Long | 295.0 | -0.77% | 12502.83 | 44130.12 |
TIP | 2023-03-28 | 2023-03-29 | $108.41 | $108.57 | Long | 291.0 | 0.15% | 12525.06 | 44284.17 |
TLT | 2023-03-29 | 2023-04-03 | $103.17 | $105.61 | Long | 306.0 | 2.36% | 12338.04 | 44822.69 |
TIP | 2023-04-03 | 2023-04-04 | $109.81 | $109.56 | Long | 296.0 | -0.23% | 12587.47 | 45177.43 |
TLT | 2023-04-04 | 2023-05-19 | $105.51 | $101.26 | Long | 305.0 | -4.02% | 12155.73 | 43454.43 |
TIP | 2023-05-19 | 2023-05-26 | $108.36 | $107.64 | Long | 289.0 | -0.67% | 11928.32 | 43011.68 |