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 | default |
| NoOfTrades | 102.00 |
| NoOfWins | 63.00 |
| NoOfLosses | 39.00 |
| SharpRatio | 1.10 |
| SortinoRatio | 1.52 |
| GrossProfit | $52260.75 |
| FirstDate | 2010-12-08 |
| LastDate | 2023-07-10 |
| FirstEquity | $10000.00 |
| FinalEquity | $62260.75 |
| OpenEquity | $50709.42 |
| LongEquity | $52260.75 |
| ShortEquity | $0.00 |
| PercentWins | 61.76% |
| AveWin | 4.71% |
| AveLoss | -1.41% |
| AveWinLoss | 3.33 |
| Expectancy | 2.37% |
| AveDrawUp | 30.94% |
| AveDrawDown | -8.42% |
| MaxDrawDown | -22.69% |
| Kelly | 50.29% |
| Thorpe | 131.81 |
| Rachev | 0.83 |
| APR | 15.64% |
| CalmarRatio | 1.86 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| QQQ | 2010-12-08 | 2011-03-18 | $47.90 | $49.11 | Long | 167.0 | 2.53% | 1969.36 | 10140.84 |
| TBF | 2011-03-18 | 2011-04-07 | $41.37 | $42.17 | Long | 199.0 | 1.93% | 2036.19 | 10355.15 |
| SPY | 2011-04-07 | 2011-04-08 | $105.38 | $105.77 | Long | 79.0 | 0.37% | 1990.04 | 10391.96 |
| TBF | 2011-04-08 | 2011-05-04 | $42.43 | $40.25 | Long | 198.0 | -5.16% | 1863.76 | 9982.70 |
| TLT | 2011-05-04 | 2012-02-08 | $68.60 | $86.78 | Long | 118.0 | 26.50% | 2305.43 | 12154.02 |
| QQQ | 2012-02-08 | 2012-04-30 | $55.67 | $60.15 | Long | 176.0 | 8.04% | 2391.62 | 12868.63 |
| TLT | 2012-04-30 | 2012-05-01 | $88.23 | $88.34 | Long | 119.0 | 0.12% | 2551.69 | 12933.49 |
| QQQ | 2012-05-01 | 2012-05-02 | $59.84 | $59.68 | Long | 173.0 | -0.27% | 2470.66 | 12878.71 |
| TLT | 2012-05-02 | 2012-12-20 | $88.18 | $92.59 | Long | 118.0 | 5.00% | 2599.33 | 13432.77 |
| TBF | 2012-12-20 | 2013-01-28 | $27.61 | $28.51 | Long | 391.0 | 3.27% | 2771.01 | 13732.52 |
| SPY | 2013-01-28 | 2013-04-19 | $123.34 | $127.36 | Long | 89.0 | 3.26% | 2745.91 | 14096.18 |
| TLT | 2013-04-19 | 2013-04-30 | $94.67 | $94.92 | Long | 120.0 | 0.26% | 2713.21 | 14165.32 |
| SPY | 2013-04-30 | 2013-07-31 | $131.30 | $140.00 | Long | 87.0 | 6.63% | 2868.33 | 14893.35 |
| QQQ | 2013-07-31 | 2013-08-01 | $69.11 | $69.59 | Long | 174.0 | 0.70% | 2862.49 | 15025.21 |
| SPY | 2013-08-01 | 2013-08-02 | $140.87 | $141.11 | Long | 86.0 | 0.17% | 2847.74 | 15063.20 |
| QQQ | 2013-08-02 | 2014-02-07 | $69.83 | $79.17 | Long | 174.0 | 13.38% | 3328.06 | 16664.82 |
| TLT | 2014-02-07 | 2014-02-13 | $84.15 | $84.25 | Long | 158.0 | 0.12% | 3348.66 | 16838.51 |
| QQQ | 2014-02-13 | 2014-04-02 | $81.04 | $82.75 | Long | 164.0 | 2.10% | 3287.10 | 16947.67 |
| SPY | 2014-04-02 | 2014-04-10 | $158.52 | $157.33 | Long | 86.0 | -0.75% | 3232.99 | 16932.23 |
| TLT | 2014-04-10 | 2014-11-17 | $86.53 | $96.82 | Long | 157.0 | 11.90% | 3520.88 | 18424.12 |
| QQQ | 2014-11-17 | 2014-11-18 | $95.60 | $95.62 | Long | 156.0 | 0.02% | 3583.62 | 18462.05 |
| TLT | 2014-11-18 | 2015-03-30 | $96.45 | $106.70 | Long | 154.0 | 10.63% | 3657.55 | 20103.84 |
| QQQ | 2015-03-30 | 2015-03-31 | $99.14 | $99.39 | Long | 165.0 | 0.25% | 3920.41 | 20113.37 |
| TLT | 2015-03-31 | 2015-04-01 | $106.17 | $107.28 | Long | 152.0 | 1.05% | 4151.37 | 20142.58 |
| QQQ | 2015-04-01 | 2015-04-02 | $98.62 | $98.20 | Long | 163.0 | -0.43% | 3777.41 | 20008.81 |
| TLT | 2015-04-02 | 2015-04-07 | $107.77 | $106.38 | Long | 152.0 | -1.29% | 3625.25 | 19928.24 |
| QQQ | 2015-04-07 | 2015-05-06 | $98.92 | $100.52 | Long | 165.0 | 1.62% | 4035.46 | 20022.14 |
| TLT | 2015-05-06 | 2015-05-07 | $99.85 | $99.40 | Long | 162.0 | -0.46% | 3858.34 | 20042.27 |
| TBF | 2015-05-07 | 2015-06-22 | $24.08 | $24.62 | Long | 676.0 | 2.22% | 4023.65 | 20499.41 |
| QQQ | 2015-06-22 | 2015-06-24 | $103.62 | $103.58 | Long | 159.0 | -0.04% | 4016.71 | 20425.06 |
| TBF | 2015-06-24 | 2015-08-13 | $24.89 | $23.16 | Long | 662.0 | -6.94% | 3841.12 | 19329.37 |
| TLT | 2015-08-13 | 2015-09-14 | $102.03 | $100.70 | Long | 152.0 | -1.31% | 3775.68 | 19196.20 |
| TBF | 2015-09-14 | 2015-10-06 | $23.40 | $23.17 | Long | 657.0 | -0.96% | 3890.08 | 19103.53 |
| TLT | 2015-10-06 | 2015-11-16 | $101.40 | $99.33 | Long | 149.0 | -2.04% | 3650.27 | 18720.72 |
| TBF | 2015-11-16 | 2015-12-03 | $23.57 | $23.22 | Long | 638.0 | -1.51% | 3840.46 | 18242.56 |
| TLT | 2015-12-03 | 2016-04-27 | $100.85 | $107.15 | Long | 145.0 | 6.25% | 3856.76 | 19442.51 |
| SPY | 2016-04-27 | 2016-05-09 | $182.59 | $180.05 | Long | 85.0 | -1.39% | 3721.81 | 19208.44 |
| TLT | 2016-05-09 | 2016-07-14 | $109.50 | $117.35 | Long | 141.0 | 7.17% | 3692.87 | 20247.22 |
| SPY | 2016-07-14 | 2016-08-04 | $190.53 | $190.45 | Long | 87.0 | -0.04% | 3887.20 | 20311.47 |
| QQQ | 2016-08-04 | 2016-10-31 | $109.16 | $111.53 | Long | 150.0 | 2.17% | 4036.35 | 20572.25 |
| TBF | 2016-10-31 | 2016-11-16 | $20.70 | $22.02 | Long | 801.0 | 6.40% | 4110.49 | 21861.88 |
| QQQ | 2016-11-16 | 2016-11-29 | $109.80 | $112.58 | Long | 160.0 | 2.53% | 4365.44 | 22154.44 |
| SPY | 2016-11-29 | 2016-12-28 | $195.14 | $201.68 | Long | 91.0 | 3.35% | 4281.89 | 22538.26 |
| QQQ | 2016-12-28 | 2017-01-05 | $115.23 | $114.37 | Long | 160.0 | -0.74% | 4252.69 | 22591.43 |
| SPY | 2017-01-05 | 2017-01-11 | $201.41 | $201.49 | Long | 91.0 | 0.04% | 4263.19 | 22633.02 |
| QQQ | 2017-01-11 | 2017-03-28 | $116.72 | $124.76 | Long | 157.0 | 6.89% | 4530.85 | 24033.91 |
| TBF | 2017-03-28 | 2017-03-31 | $21.86 | $22.10 | Long | 884.0 | 1.12% | 4638.91 | 24083.28 |
| QQQ | 2017-03-31 | 2017-04-06 | $126.16 | $126.01 | Long | 154.0 | -0.11% | 4696.78 | 24020.21 |
| TBF | 2017-04-06 | 2017-04-10 | $21.91 | $21.89 | Long | 883.0 | -0.09% | 4497.78 | 24015.20 |
| QQQ | 2017-04-10 | 2017-04-11 | $126.00 | $125.77 | Long | 155.0 | -0.19% | 4650.44 | 23916.48 |
| TBF | 2017-04-11 | 2017-04-12 | $21.78 | $21.69 | Long | 888.0 | -0.43% | 4600.37 | 23830.29 |
| QQQ | 2017-04-12 | 2017-04-17 | $125.38 | $124.76 | Long | 154.0 | -0.49% | 4588.09 | 23863.10 |
| TBF | 2017-04-17 | 2017-04-18 | $21.48 | $21.42 | Long | 895.0 | -0.26% | 4519.09 | 23801.89 |
| QQQ | 2017-04-18 | 2017-05-23 | $124.96 | $132.98 | Long | 154.0 | 6.42% | 4818.42 | 24839.04 |
| TLT | 2017-05-23 | 2017-07-19 | $106.21 | $107.75 | Long | 190.0 | 1.45% | 4699.71 | 25355.04 |
| QQQ | 2017-07-19 | 2017-07-20 | $137.27 | $138.02 | Long | 150.0 | 0.54% | 4813.83 | 25348.24 |
| TLT | 2017-07-20 | 2017-07-21 | $108.36 | $108.57 | Long | 190.0 | 0.19% | 5112.78 | 25511.12 |
| QQQ | 2017-07-21 | 2017-07-28 | $137.36 | $136.90 | Long | 148.0 | -0.33% | 4723.71 | 25477.68 |
| TLT | 2017-07-28 | 2017-09-19 | $106.44 | $109.50 | Long | 194.0 | 2.88% | 5003.81 | 25966.14 |
| QQQ | 2017-09-19 | 2017-12-07 | $139.76 | $147.12 | Long | 150.0 | 5.27% | 5138.34 | 27071.76 |
| SPY | 2017-12-07 | 2017-12-12 | $238.41 | $241.24 | Long | 92.0 | 1.19% | 5226.91 | 27312.71 |
| QQQ | 2017-12-12 | 2017-12-14 | $149.36 | $149.77 | Long | 148.0 | 0.28% | 5450.44 | 27276.08 |
| SPY | 2017-12-14 | 2017-12-18 | $241.13 | $243.27 | Long | 91.0 | 0.89% | 5077.02 | 27628.03 |
| QQQ | 2017-12-18 | 2018-04-06 | $152.10 | $152.85 | Long | 148.0 | 0.49% | 5190.33 | 27620.86 |
| TBF | 2018-04-06 | 2018-04-24 | $21.50 | $22.00 | Long | 1047.0 | 2.32% | 5529.45 | 27634.80 |
| QQQ | 2018-04-24 | 2018-09-24 | $156.49 | $175.84 | Long | 145.0 | 12.36% | 5725.94 | 31014.97 |
| TBF | 2018-09-24 | 2018-09-25 | $22.15 | $22.21 | Long | 1142.0 | 0.25% | 5880.03 | 31135.43 |
| QQQ | 2018-09-25 | 2018-10-08 | $177.54 | $173.39 | Long | 142.0 | -2.33% | 5637.91 | 30573.59 |
| TBF | 2018-10-08 | 2018-10-09 | $22.87 | $22.85 | Long | 1087.0 | -0.08% | 5906.14 | 30542.99 |
| QQQ | 2018-10-09 | 2018-10-10 | $173.06 | $172.42 | Long | 142.0 | -0.37% | 5680.71 | 30317.91 |
| TBF | 2018-10-10 | 2018-12-14 | $22.84 | $21.79 | Long | 1082.0 | -4.59% | 5567.64 | 29242.06 |
| TLT | 2018-12-14 | 2019-07-03 | $106.23 | $121.46 | Long | 223.0 | 14.34% | 6158.84 | 32784.73 |
| QQQ | 2019-07-03 | 2019-07-05 | $185.27 | $184.92 | Long | 143.0 | -0.19% | 6319.19 | 32580.72 |
| TLT | 2019-07-05 | 2019-12-26 | $120.57 | $125.86 | Long | 218.0 | 4.39% | 6392.06 | 33953.95 |
| QQQ | 2019-12-26 | 2020-02-03 | $207.31 | $215.00 | Long | 132.0 | 3.71% | 6743.31 | 34886.68 |
| TLT | 2020-02-03 | 2020-02-07 | $133.47 | $132.80 | Long | 210.0 | -0.50% | 6878.54 | 34636.27 |
| QQQ | 2020-02-07 | 2020-02-10 | $223.81 | $223.11 | Long | 124.0 | -0.31% | 6352.34 | 34491.77 |
| TLT | 2020-02-10 | 2020-02-20 | $133.61 | $134.51 | Long | 211.0 | 0.68% | 6790.50 | 34536.10 |
| QQQ | 2020-02-20 | 2020-02-21 | $230.94 | $228.16 | Long | 121.0 | -1.21% | 6225.74 | 34443.58 |
| TLT | 2020-02-21 | 2020-06-15 | $136.10 | $151.74 | Long | 207.0 | 11.50% | 8289.29 | 38433.50 |
| QQQ | 2020-06-15 | 2020-07-10 | $227.50 | $256.90 | Long | 129.0 | 12.92% | 7334.50 | 41100.80 |
| TLT | 2020-07-10 | 2020-07-29 | $155.69 | $157.63 | Long | 219.0 | 1.25% | 8170.47 | 42043.77 |
| QQQ | 2020-07-29 | 2021-03-03 | $253.27 | $312.08 | Long | 133.0 | 23.22% | 10041.39 | 49227.97 |
| SPY | 2021-03-03 | 2021-06-28 | $370.43 | $412.87 | Long | 107.0 | 11.46% | 10639.15 | 54582.26 |
| QQQ | 2021-06-28 | 2021-07-28 | $345.87 | $360.48 | Long | 126.0 | 4.22% | 11042.56 | 56356.15 |
| TLT | 2021-07-28 | 2021-08-04 | $139.80 | $142.64 | Long | 322.0 | 2.03% | 11065.64 | 56888.15 |
| SPY | 2021-08-04 | 2021-08-05 | $425.06 | $425.48 | Long | 108.0 | 0.10% | 11170.89 | 56874.65 |
| TLT | 2021-08-05 | 2021-11-12 | $141.94 | $139.87 | Long | 323.0 | -1.46% | 11104.15 | 56688.64 |
| QQQ | 2021-11-12 | 2021-11-17 | $386.72 | $392.62 | Long | 117.0 | 1.53% | 11269.00 | 57575.96 |
| TLT | 2021-11-17 | 2022-01-07 | $136.63 | $135.59 | Long | 335.0 | -0.76% | 10954.91 | 56966.76 |
| TBF | 2022-01-07 | 2022-12-14 | $15.99 | $20.33 | Long | 2860.0 | 27.16% | 13927.42 | 69367.75 |
| TLT | 2022-12-14 | 2022-12-23 | $104.12 | $99.45 | Long | 530.0 | -4.49% | 11609.82 | 66809.45 |
| TBF | 2022-12-23 | 2023-01-18 | $21.30 | $20.19 | Long | 2583.0 | -5.23% | 11276.29 | 62767.62 |
| SPY | 2023-01-18 | 2023-02-13 | $394.59 | $404.19 | Long | 133.0 | 2.43% | 12265.91 | 65624.36 |
| QQQ | 2023-02-13 | 2023-02-17 | $299.82 | $299.76 | Long | 176.0 | -0.02% | 11527.03 | 64355.50 |
| TBF | 2023-02-17 | 2023-03-27 | $21.73 | $20.90 | Long | 2462.0 | -3.80% | 13655.37 | 62657.00 |
| TLT | 2023-03-27 | 2023-05-24 | $102.35 | $99.19 | Long | 482.0 | -3.09% | 12256.80 | 61818.08 |
| TBF | 2023-05-24 | 2023-05-26 | $21.73 | $22.02 | Long | 2264.0 | 1.31% | 12197.76 | 62589.50 |
| TLT | 2023-05-26 | 2023-05-30 | $98.05 | $99.31 | Long | 509.0 | 1.28% | 12733.68 | 62496.34 |
| TBF | 2023-05-30 | 2023-06-21 | $21.72 | $21.50 | Long | 2302.0 | -1.05% | 12184.59 | 61692.92 |
| QQQ | 2023-06-21 | 2023-07-07 | $365.21 | $366.70 | Long | 137.0 | 0.41% | 12423.71 | 62371.65 |
| TLT | 2023-07-07 | 2023-07-10 | $97.65 | $97.34 | Long | 512.0 | -0.32% | 11551.33 | 62058.63 |