Strategy - 1xADM-d


Daily Accelerating Dual Momentum

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

MetricMeasure
AccountNamedefault
NoOfTrades149.00
NoOfWins84.00
NoOfLosses65.00
SharpRatio0.92
SortinoRatio1.25
GrossProfit$33262.24
FirstDate2009-08-21
LastDate2023-05-26
FirstEquity$10000.00
FinalEquity$43262.24
OpenEquity$31333.92
LongEquity$33262.24
ShortEquity$0.00
PercentWins56.38%
AveWin3.70%
AveLoss-1.44%
AveWinLoss2.58
Expectancy1.46%
AveDrawUp24.31%
AveDrawDown-8.34%
MaxDrawDown-20.55%
Kelly39.44%
Thorpe125.85
Rachev0.85
APR11.23%
CalmarRatio1.35

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
QQQ2009-08-212009-10-09$35.29$37.21Long207.05.45%3006.1910376.61
TIP2009-10-092009-10-13$73.92$74.07Long100.00.20%2976.6410420.17
QQQ2009-10-132009-10-15$37.56$37.90Long198.00.92%2941.5910493.06
TIP2009-10-152009-10-19$73.92$74.31Long102.00.53%3000.0410591.86
QQQ2009-10-192009-10-21$37.80$38.14Long199.00.91%3056.1810582.14
TIP2009-10-212009-10-22$74.59$74.17Long101.0-0.57%3022.5710626.66
SPY2009-10-222009-10-23$83.61$84.77Long90.01.39%3026.9410648.01
TIP2009-10-232010-01-04$74.03$75.13Long103.01.49%3046.1610765.24
TBF2010-01-042010-01-14$48.55$48.56Long159.00.02%3056.4310769.72
TIP2010-01-142010-02-25$75.59$75.22Long102.0-0.49%3102.8210725.76
TBF2010-02-252010-03-18$47.37$46.92Long161.0-0.95%3008.9510640.84
TIP2010-03-182010-03-30$75.72$74.72Long101.0-1.32%2949.8910526.65
TBF2010-03-302010-04-19$48.44$47.42Long157.0-2.10%2941.5910379.82
TIP2010-04-192010-04-23$76.06$76.02Long98.0-0.05%2878.9610402.62
TBF2010-04-232010-04-26$47.25$47.05Long159.0-0.43%2884.5910349.19
TIP2010-04-262010-05-03$76.28$77.02Long98.00.98%3036.5110507.61
QQQ2010-05-032010-05-04$43.76$43.66Long169.0-0.24%2849.5110404.13
TIP2010-05-042010-05-05$77.20$77.12Long98.0-0.10%3142.7110437.27
QQQ2010-05-052010-05-10$42.48$41.99Long171.0-1.17%3354.7310355.11
TLT2010-05-102010-10-26$66.36$73.03Long105.010.06%3120.4411004.18
TIP2010-10-262010-10-27$82.32$81.81Long96.0-0.62%3179.1410938.52
TLT2010-10-272010-10-28$72.18$72.11Long108.0-0.10%3106.9610970.20
TIP2010-10-282010-12-03$81.87$80.31Long96.0-1.91%3078.0310932.73
TBF2010-12-032010-12-21$41.61$42.94Long186.03.21%3112.7611083.74
QQQ2010-12-212011-01-25$48.79$50.05Long163.02.59%3151.3911224.13
TBF2011-01-252011-02-10$43.19$44.43Long188.02.87%3291.9511562.52
QQQ2011-02-102011-03-16$51.32$49.03Long160.0-4.48%3149.0411085.09
TBF2011-03-162011-03-18$42.04$42.30Long190.00.62%3246.3011201.31
TIP2011-03-182011-03-30$81.85$80.88Long97.0-1.18%3094.1311039.54
TBF2011-03-302011-04-28$42.77$41.82Long187.0-2.22%3037.8610920.25
TIP2011-04-282011-05-13$82.91$83.08Long95.00.21%3127.0010965.82
TLT2011-05-132011-07-01$70.30$70.41Long111.00.15%3110.9210930.69
TIP2011-07-012011-07-15$84.21$85.15Long93.01.13%3261.3811101.95
TLT2011-07-152011-07-18$71.27$71.85Long109.00.81%3135.3211094.40
TIP2011-07-182011-07-19$85.57$85.70Long93.00.15%3191.2011262.81
TLT2011-07-192011-07-21$71.30$71.24Long111.0-0.08%3167.0611104.11
TIP2011-07-212011-07-22$85.28$85.59Long93.00.36%3110.7011157.01
TLT2011-07-222011-07-25$71.57$71.03Long112.0-0.75%3141.5711113.45
TIP2011-07-252011-08-03$85.21$88.13Long93.03.42%3029.6211351.66
TLT2011-08-032012-02-08$76.22$88.61Long109.016.25%3532.0612735.11
QQQ2012-02-082012-04-25$55.83$59.45Long164.06.49%3961.8413300.07
TIP2012-04-252012-04-26$92.28$92.57Long101.00.32%3684.3813292.96
TLT2012-04-262012-04-27$89.98$89.67Long107.0-0.34%3723.1313272.64
TIP2012-04-272012-04-30$92.78$92.70Long103.0-0.08%3721.3913250.73
TLT2012-04-302012-05-03$90.09$89.60Long106.0-0.55%3761.2713209.83
TIP2012-05-032012-05-08$92.72$93.04Long102.00.34%3769.3613259.10
TLT2012-05-082012-09-21$91.17$93.53Long104.02.59%3869.2113512.00
TIP2012-09-212012-10-01$95.32$95.76Long101.00.46%3918.4813576.29
TLT2012-10-012012-10-08$96.23$94.68Long100.0-1.61%3851.0413407.90
TIP2012-10-082012-11-21$96.32$96.16Long99.0-0.17%3902.7013381.36
TLT2012-11-212012-11-30$96.61$97.62Long98.01.04%3791.7913472.97
TIP2012-11-302013-01-04$96.77$95.20Long100.0-1.62%3591.0613257.15
TBF2013-01-042013-01-28$29.02$29.15Long335.00.46%3789.9613342.86
SPY2013-01-282013-01-31$124.25$123.91Long77.0-0.27%3772.8113306.21
TBF2013-01-312013-02-01$29.14$28.90Long328.0-0.82%3662.8513290.22
SPY2013-02-012013-04-12$124.54$131.77Long77.05.80%3791.6413858.33
TLT2013-04-122013-04-15$95.40$96.03Long105.00.66%4034.7813695.48
SPY2013-04-152013-04-17$131.20$129.78Long75.0-1.08%3863.4313808.03
TLT2013-04-172013-05-08$96.16$94.77Long103.0-1.45%3913.6813679.41
SPY2013-05-082013-07-31$134.87$141.03Long72.04.56%3949.0014067.50
QQQ2013-07-312014-02-06$69.30$78.17Long146.012.79%4483.7415334.60
TLT2014-02-062014-02-18$86.34$86.09Long126.0-0.29%4322.9215369.70
QQQ2014-02-182014-04-01$82.76$81.60Long133.0-1.40%4368.3115212.38
SPY2014-04-012014-04-08$158.94$156.09Long68.0-1.79%4192.8515016.19
TLT2014-04-082015-04-06$88.44$109.62Long122.023.95%5137.5217742.79
QQQ2015-04-062015-04-07$97.87$99.20Long127.01.36%5135.5917818.86
TLT2015-04-072015-04-10$108.62$108.70Long116.00.07%4985.6617801.45
QQQ2015-04-102015-05-04$100.46$102.46Long127.01.99%5115.2217845.35
TLT2015-05-042015-05-05$103.89$102.69Long124.0-1.16%5111.3917828.27
TIP2015-05-052015-05-08$92.30$92.21Long138.0-0.10%5272.8817925.83
TBF2015-05-082015-08-12$24.21$23.47Long519.0-3.05%4839.6617365.57
TLT2015-08-122015-09-15$105.11$101.93Long120.0-3.03%4643.9417233.98
TBF2015-09-152015-10-05$24.13$23.46Long515.0-2.79%5017.5016644.21
TLT2015-10-052015-11-13$104.53$101.03Long112.0-3.35%4665.3816300.58
TBF2015-11-132015-12-01$24.21$23.74Long482.0-1.94%4479.8416256.72
TLT2015-12-012016-04-29$102.89$109.86Long113.06.78%4857.0516871.57
SPY2016-04-292016-05-02$182.38$182.56Long66.00.10%4776.6816826.73
TLT2016-05-022016-05-03$110.27$111.03Long110.00.69%4964.2516968.87
SPY2016-05-032016-05-05$182.21$181.36Long66.0-0.46%4784.1617022.67
TLT2016-05-052016-07-14$111.47$119.83Long109.07.50%4795.0317828.67
SPY2016-07-142016-08-03$191.92$191.10Long68.0-0.43%5139.7017840.73
QQQ2016-08-032016-10-31$109.05$111.85Long116.02.56%5118.8918124.42
TIP2016-10-312016-11-03$95.55$95.58Long136.00.03%5020.5618141.50
TBF2016-11-032016-11-16$21.12$22.52Long620.06.59%5327.4419123.69
QQQ2016-11-162016-11-28$110.11$112.91Long124.02.54%5528.3419285.42
SPY2016-11-282016-12-23$197.14$202.13Long70.02.53%5593.6619705.52
QQQ2016-12-232017-01-04$114.50$114.22Long123.0-0.24%5482.3719703.55
SPY2017-01-042017-01-11$202.30$202.96Long70.00.33%5526.6919724.39
QQQ2017-01-112017-03-27$117.05$124.08Long121.06.01%5829.0020578.91
TBF2017-03-272017-04-03$22.32$22.54Long659.00.95%5854.4920660.01
QQQ2017-04-032017-04-04$126.72$126.16Long117.0-0.44%5855.6320646.93
TBF2017-04-042017-04-13$22.36$21.96Long660.0-1.80%5842.0820310.24
QQQ2017-04-132017-05-19$125.06$131.72Long116.05.32%6065.5721164.02
TLT2017-05-192017-07-21$108.31$110.86Long139.02.35%6185.0221527.06
QQQ2017-07-212017-07-26$137.75$138.82Long111.00.78%6268.9221656.29
TLT2017-07-262017-09-20$108.69$111.54Long141.02.62%6305.3021953.01
QQQ2017-09-202017-10-30$140.10$145.22Long112.03.66%6476.4322587.45
SPY2017-10-302017-10-31$233.24$233.88Long69.00.28%6392.6522626.17
QQQ2017-10-312017-12-07$146.14$147.54Long111.00.95%6438.9422769.14
SPY2017-12-072017-12-08$240.15$241.14Long68.00.41%6282.9422788.53
QQQ2017-12-082017-12-18$149.13$152.53Long111.02.28%6550.6323220.33
SPY2017-12-182017-12-19$245.05$245.40Long68.00.14%6613.7223170.54
QQQ2017-12-192017-12-20$152.51$152.43Long109.0-0.06%6799.4423152.35
SPY2017-12-202017-12-21$245.21$244.72Long67.0-0.20%6633.7623174.83
QQQ2017-12-212018-04-05$151.95$155.65Long109.02.44%6565.1023651.54
TBF2018-04-052018-04-23$22.09$22.44Long771.01.56%6872.5423741.20
QQQ2018-04-232018-09-25$157.35$178.04Long108.013.15%7473.9826050.86
SPY2018-09-252018-09-26$269.95$269.38Long69.0-0.21%7317.2026058.03
QQQ2018-09-262018-10-09$178.51$173.55Long105.0-2.78%7198.4625411.62
TBF2018-10-092018-12-13$23.37$22.27Long785.0-4.71%7010.3424618.88
TLT2018-12-132018-12-14$108.38$108.47Long163.00.08%6959.2824690.46
TBF2018-12-142018-12-17$22.28$22.28Long796.00.00%7004.3724776.96
TLT2018-12-172019-12-26$108.50$128.52Long163.018.44%7994.5028096.22
QQQ2019-12-262019-12-30$207.89$209.11Long96.00.58%7917.4928107.02
TIP2019-12-302020-01-02$102.81$103.22Long196.00.39%7779.4728315.75
QQQ2020-01-022020-01-31$209.99$218.93Long97.04.26%8166.8129120.78
TLT2020-01-312020-02-05$136.27$133.80Long153.0-1.81%7668.5328456.47
QQQ2020-02-052020-02-06$225.48$224.08Long93.0-0.62%8054.7328576.00
TLT2020-02-062020-06-16$133.68$150.71Long153.012.74%7425.2231022.99
QQQ2020-06-162020-07-10$239.27$257.63Long99.07.67%8767.0332697.42
TLT2020-07-102020-07-30$158.97$161.90Long152.01.85%9552.1633686.11
QQQ2020-07-302021-03-03$253.45$312.96Long94.023.48%11358.6238657.78
SPY2021-03-032021-06-28$373.13$415.89Long74.011.46%11958.7842386.29
QQQ2021-06-282021-07-21$346.84$354.33Long87.02.16%12075.4142759.22
TIP2021-07-212021-07-23$117.21$117.56Long262.00.30%12192.7542992.19
TLT2021-07-232021-07-26$142.05$143.07Long216.00.71%12004.3543164.26
TIP2021-07-262021-08-05$118.21$118.48Long263.00.23%12294.2443069.08
TLT2021-08-052021-08-12$144.93$140.45Long213.0-3.10%11734.9642194.88
TIP2021-08-122021-08-16$118.12$118.46Long258.00.29%11462.3542240.92
TLT2021-08-162021-10-07$143.43$138.00Long215.0-3.78%11498.3941155.78
TIP2021-10-072021-11-08$118.06$120.24Long251.01.84%11634.9041691.05
TLT2021-11-082021-11-11$143.75$143.32Long209.0-0.30%12053.8141438.83
QQQ2021-11-112021-11-12$388.60$387.81Long76.0-0.20%11820.0041393.11
TLT2021-11-122021-11-23$142.83$140.83Long208.0-1.40%11616.0141068.65
TIP2021-11-232021-11-29$119.42$120.07Long247.00.54%11645.4641473.92
TLT2021-11-292022-01-04$143.12$138.91Long207.0-2.94%11313.2340320.90
TIP2022-01-042022-01-13$119.70$117.83Long243.0-1.56%11028.2039754.68
TBF2022-01-132022-12-13$16.33$20.49Long1771.025.50%12324.6646890.65
TLT2022-12-132022-12-22$107.68$102.62Long325.0-4.70%12612.4745677.42
TBF2022-12-222023-01-19$21.54$20.70Long1535.0-3.91%13356.2744327.85
SPY2023-01-192023-02-09$387.86$412.82Long80.06.43%13386.5645616.58
QQQ2023-02-092023-02-17$308.36$300.61Long107.0-2.52%12274.6245136.01
TBF2023-02-172023-03-27$22.21$21.37Long1498.0-3.80%13455.1944078.50
TLT2023-03-272023-03-28$104.51$103.71Long295.0-0.77%12502.8344130.12
TIP2023-03-282023-03-29$108.41$108.57Long291.00.15%12525.0644284.17
TLT2023-03-292023-04-03$103.17$105.61Long306.02.36%12338.0444822.69
TIP2023-04-032023-04-04$109.81$109.56Long296.0-0.23%12587.4745177.43
TLT2023-04-042023-05-19$105.51$101.26Long305.0-4.02%12155.7343454.43
TIP2023-05-192023-05-26$108.36$107.64Long289.0-0.67%11928.3243011.68

Signals

StrategyRatioSizeTickerDateStateTypeProfitTimeFrame
1xADM-d0.900.72TBF2023-05-25HoldLong0.00%EOD