Strategy - 1xADM-d


Daily Accelerating Dual Momentum

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 965f73e4-6648-4cd6-b2cf-7df59590838f
NoOfTrades 119.00
NoOfWins 76.00
NoOfLosses 43.00
SharpRatio 0.87
SortinoRatio 1.14
GrossProfit $100337.80
FirstDate 2010-08-03
LastDate 2024-04-04
FirstEquity $10000.00
FinalEquity $110337.80
OpenEquity $89521.92
LongEquity $100337.80
ShortEquity $0.00
PercentWins 63.87%
AveWin 5.68%
AveLoss -2.42%
AveWinLoss 2.35
Expectancy 2.76%
MedianDrawUp 45.04%
MednDrawDown -13.06%
MaxDrawDown -28.74%
Kelly 48.49%
Thorpe 4.26
Rachev 1.17
PAPR 9.31%
APR 19.20%
CalmarRatio 1.40

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
UBT 2010-08-03 2010-11-17 $18.85 $17.81 Long 428 -5.54% 1887.00 9556.63
TBF 2010-11-17 2010-12-07 $40.14 $40.36 Long 191 0.55% 1846.45 9508.36
QQQ 2010-12-07 2011-03-18 $48.13 $48.92 Long 161 1.65% 1841.88 9656.71
SPY 2011-03-18 2011-03-24 $101.04 $102.26 Long 78 1.21% 1834.84 9843.58
TBF 2011-03-24 2011-03-29 $40.32 $40.66 Long 198 0.84% 1982.85 9945.06
SPY 2011-03-29 2011-03-30 $102.63 $103.95 Long 77 1.28% 1910.90 9934.14
TBF 2011-03-30 2011-04-04 $40.79 $40.39 Long 198 -0.97% 1956.38 9898.62
SPY 2011-04-04 2011-04-15 $104.64 $103.36 Long 76 -1.22% 1943.86 9777.68
TBF 2011-04-15 2011-05-04 $40.35 $39.24 Long 195 -2.75% 1935.24 9548.11
SPY 2011-05-04 2011-05-05 $106.39 $105.15 Long 72 -1.17% 1827.93 9456.70
TBF 2011-05-05 2011-05-06 $38.97 $39.11 Long 197 0.35% 1970.72 9628.34
UBT 2011-05-06 2011-05-09 $17.88 $18.05 Long 423 0.96% 1851.19 9597.86
TBF 2011-05-09 2011-05-10 $38.96 $39.02 Long 199 0.14% 1885.48 9554.82
UBT 2011-05-10 2012-02-08 $17.98 $27.56 Long 430 53.31% 2590.21 13794.89
QQQ 2012-02-08 2012-05-03 $55.46 $59.99 Long 201 8.17% 2920.12 14767.24
UBT 2012-05-03 2012-05-08 $27.92 $28.96 Long 420 3.71% 3004.11 15117.09
QQQ 2012-05-08 2012-05-09 $57.52 $57.01 Long 210 -0.89% 2589.42 14827.28
UBT 2012-05-09 2012-12-06 $29.35 $32.97 Long 422 12.34% 3290.27 16541.79
TBF 2012-12-06 2012-12-10 $25.96 $26.17 Long 509 0.81% 3091.56 16585.94
UBT 2012-12-10 2012-12-18 $32.42 $30.70 Long 417 -5.32% 2776.17 16003.82
TBF 2012-12-18 2013-01-22 $26.88 $27.23 Long 488 1.33% 3133.88 16136.13
SPY 2013-01-22 2013-04-24 $120.86 $129.18 Long 107 6.88% 3424.99 17010.86
UBT 2013-04-24 2013-04-29 $31.54 $32.08 Long 429 1.72% 3293.32 17244.09
SPY 2013-04-29 2013-07-31 $129.87 $139.00 Long 107 7.03% 3433.33 18166.37
QQQ 2013-07-31 2013-08-01 $68.85 $69.33 Long 214 0.70% 3583.66 18327.31
SPY 2013-08-01 2013-08-02 $139.86 $140.10 Long 105 0.17% 3407.83 18374.20
QQQ 2013-08-02 2014-04-02 $69.56 $82.43 Long 214 18.50% 4051.30 21083.77
SPY 2014-04-02 2014-04-16 $157.38 $154.86 Long 108 -1.60% 4051.20 21028.09
UBT 2014-04-16 2014-11-14 $26.72 $31.78 Long 626 18.94% 4537.65 24010.73
QQQ 2014-11-14 2014-11-19 $95.13 $95.78 Long 204 0.68% 4704.53 24057.78
UBT 2014-11-19 2015-02-25 $31.81 $37.89 Long 609 19.10% 5331.05 27754.45
QQQ 2015-02-25 2015-03-03 $100.66 $101.22 Long 223 0.56% 6005.31 27793.55
UBT 2015-03-03 2015-03-05 $36.44 $36.32 Long 601 -0.33% 5324.89 27812.46
QQQ 2015-03-05 2015-03-06 $100.92 $100.71 Long 223 -0.21% 5937.09 27385.17
UBT 2015-03-06 2015-03-26 $35.24 $39.03 Long 620 10.78% 6493.53 30253.64
QQQ 2015-03-26 2015-05-07 $97.30 $99.25 Long 243 2.00% 5722.55 30465.23
TBF 2015-05-07 2015-06-19 $23.48 $23.87 Long 1060 1.68% 5476.67 30889.47
QQQ 2015-06-19 2015-06-24 $103.03 $103.19 Long 248 0.15% 6072.48 30963.79
TBF 2015-06-24 2015-08-14 $24.27 $22.66 Long 1030 -6.60% 5911.37 29568.45
UBT 2015-08-14 2015-09-11 $34.77 $33.74 Long 676 -2.96% 5841.87 28758.16
TBF 2015-09-11 2015-10-07 $22.90 $22.54 Long 999 -1.60% 5181.65 28378.20
UBT 2015-10-07 2015-10-08 $34.74 $34.71 Long 667 -0.09% 5472.42 28576.89
TBF 2015-10-08 2015-10-12 $22.44 $22.49 Long 1019 0.24% 5158.75 28758.34
UBT 2015-10-12 2015-11-10 $34.16 $32.14 Long 680 -5.91% 5285.39 27007.56
TBF 2015-11-10 2015-11-11 $23.24 $23.30 Long 935 0.24% 5220.86 27059.83
UBT 2015-11-11 2015-11-12 $32.13 $32.34 Long 680 0.67% 5409.29 27187.37
TBF 2015-11-12 2015-12-03 $23.20 $22.64 Long 940 -2.41% 5984.88 26360.38
UBT 2015-12-03 2016-04-27 $33.34 $37.76 Long 621 13.26% 5865.71 29532.29
SPY 2016-04-27 2016-05-10 $181.29 $179.76 Long 130 -0.84% 5447.12 29072.10
UBT 2016-05-10 2016-07-14 $39.78 $45.17 Long 598 13.54% 5406.52 32421.97
SPY 2016-07-14 2016-08-04 $189.16 $189.09 Long 143 -0.04% 6128.75 32525.59
QQQ 2016-08-04 2016-11-02 $108.75 $109.71 Long 242 0.89% 6443.29 32618.82
TBF 2016-11-02 2016-11-15 $20.07 $21.49 Long 1307 7.07% 6588.32 34715.32
QQQ 2016-11-15 2016-11-29 $109.16 $112.15 Long 256 2.74% 6818.36 35348.95
SPY 2016-11-29 2016-12-28 $193.74 $200.23 Long 147 3.35% 6867.43 35966.31
QQQ 2016-12-28 2017-01-06 $114.79 $114.72 Long 256 -0.06% 7006.76 36323.49
SPY 2017-01-06 2017-01-11 $200.20 $200.05 Long 146 -0.08% 6912.51 36285.49
QQQ 2017-01-11 2017-03-29 $116.27 $125.16 Long 252 7.64% 7128.32 38320.00
TBF 2017-03-29 2017-03-30 $21.46 $21.42 Long 1460 -0.17% 7369.85 38458.89
QQQ 2017-03-30 2017-04-17 $125.63 $124.28 Long 247 -1.07% 7322.75 38147.62
TBF 2017-04-17 2017-04-18 $20.94 $20.89 Long 1468 -0.26% 7115.43 38049.93
QQQ 2017-04-18 2017-05-24 $124.48 $132.60 Long 248 6.53% 8183.48 40226.25
UBT 2017-05-24 2017-07-06 $35.55 $36.22 Long 895 1.89% 7447.03 40558.99
QQQ 2017-07-06 2017-07-11 $130.02 $131.90 Long 255 1.44% 7639.66 41115.69
UBT 2017-07-11 2017-07-13 $35.80 $36.20 Long 934 1.10% 7632.91 41488.56
QQQ 2017-07-13 2017-07-17 $134.20 $135.53 Long 252 0.99% 7951.46 41904.96
UBT 2017-07-17 2017-07-18 $36.11 $36.70 Long 937 1.65% 8506.68 42600.98
QQQ 2017-07-18 2017-07-31 $135.35 $137.41 Long 250 1.52% 8118.42 42858.23
UBT 2017-07-31 2017-09-15 $36.41 $38.33 Long 954 5.25% 8623.19 44804.59
QQQ 2017-09-15 2017-09-18 $138.68 $139.29 Long 260 0.44% 8809.43 44622.15
UBT 2017-09-18 2017-09-19 $38.09 $37.96 Long 946 -0.34% 8658.19 44715.22
QQQ 2017-09-19 2017-12-08 $139.23 $148.14 Long 259 6.41% 9236.57 47077.40
SPY 2017-12-08 2017-12-12 $237.68 $239.52 Long 159 0.77% 8930.98 47285.20
QQQ 2017-12-12 2017-12-14 $148.79 $149.20 Long 258 0.28% 9120.19 47220.53
SPY 2017-12-14 2017-12-18 $239.41 $241.53 Long 160 0.89% 8823.98 47834.29
QQQ 2017-12-18 2018-04-09 $151.52 $151.41 Long 257 -0.07% 9339.49 47551.84
TBF 2018-04-09 2018-04-23 $20.97 $21.40 Long 1831 2.05% 9603.84 48237.97
QQQ 2018-04-23 2018-09-27 $156.31 $178.02 Long 249 13.89% 10727.96 53973.46
SPY 2018-09-27 2018-09-28 $265.05 $264.67 Long 163 -0.14% 10185.09 53982.48
QQQ 2018-09-28 2018-10-11 $178.30 $164.55 Long 245 -7.71% 9805.11 50195.44
TBF 2018-10-11 2018-12-17 $22.08 $21.24 Long 1843 -3.79% 9301.83 49337.15
UBT 2018-12-17 2019-07-01 $34.22 $43.22 Long 1159 26.31% 10526.83 59120.76
QQQ 2019-07-01 2019-07-02 $184.40 $183.32 Long 265 -0.59% 11234.20 59604.18
UBT 2019-07-02 2019-07-03 $43.21 $43.81 Long 1108 1.40% 11236.84 60019.53
QQQ 2019-07-03 2019-07-05 $184.57 $184.22 Long 263 -0.19% 11850.19 59643.68
UBT 2019-07-05 2019-12-24 $43.13 $45.48 Long 1109 5.44% 11750.90 62266.74
QQQ 2019-12-24 2020-02-03 $206.26 $214.18 Long 245 3.84% 12318.02 64547.17
UBT 2020-02-03 2020-02-07 $51.70 $51.03 Long 1004 -1.29% 12943.30 63564.22
QQQ 2020-02-07 2020-02-11 $222.96 $226.94 Long 227 1.78% 12855.22 64079.44
UBT 2020-02-11 2020-02-19 $51.30 $51.66 Long 1006 0.71% 11753.12 65014.60
QQQ 2020-02-19 2020-02-24 $229.74 $215.68 Long 231 -6.12% 8062.30 61204.83
UBT 2020-02-24 2020-06-15 $55.74 $63.87 Long 960 14.57% 15662.09 70832.27
QQQ 2020-06-15 2020-07-13 $226.63 $260.69 Long 237 15.03% 17113.54 78389.03
UBT 2020-07-13 2020-07-29 $65.15 $68.76 Long 926 5.54% 15689.63 81148.34
QQQ 2020-07-29 2021-03-03 $252.31 $310.89 Long 258 23.22% 19033.76 95028.43
SPY 2021-03-03 2021-06-28 $367.78 $409.92 Long 209 11.46% 19947.31 105414.08
QQQ 2021-06-28 2021-06-29 $344.55 $347.25 Long 246 0.78% 19966.44 105334.66
SPY 2021-06-29 2021-06-30 $410.60 $409.95 Long 208 -0.16% 19847.99 105140.59
QQQ 2021-06-30 2021-07-28 $348.53 $359.10 Long 245 3.04% 21448.76 108839.73
UBT 2021-07-28 2021-08-02 $52.73 $53.38 Long 1638 1.22% 20564.90 108327.06
SPY 2021-08-02 2021-08-05 $422.55 $422.44 Long 209 -0.03% 22004.59 108471.12
UBT 2021-08-05 2021-10-21 $54.18 $48.75 Long 1603 -10.01% 19262.84 100484.70
SPY 2021-10-21 2021-10-22 $434.92 $436.23 Long 186 0.30% 19266.62 100062.85
TBF 2021-10-22 2021-10-28 $15.74 $15.27 Long 5154 -2.99% 17216.75 97517.17
UBT 2021-10-28 2021-11-10 $52.04 $54.44 Long 1552 4.61% 21044.32 101096.10
QQQ 2021-11-10 2021-11-22 $385.93 $398.82 Long 209 3.34% 20656.81 103609.21
UBT 2021-11-22 2022-01-07 $51.88 $48.95 Long 1614 -5.66% 19202.85 100141.69
TBF 2022-01-07 2022-12-15 $15.59 $19.66 Long 5160 26.07% 20789.11 120527.53
UBT 2022-12-15 2022-12-23 $27.61 $24.63 Long 3616 -10.81% 18160.44 110130.77
TBF 2022-12-23 2023-01-17 $20.77 $20.21 Long 4414 -2.68% 20130.96 107223.71
SPY 2023-01-17 2023-02-13 $391.25 $401.30 Long 223 2.57% 20616.03 110617.31
QQQ 2023-02-13 2023-02-23 $298.68 $295.54 Long 298 -1.05% 21988.62 108066.57
TBF 2023-02-23 2023-03-29 $21.11 $20.66 Long 4107 -2.15% 21705.81 107777.21
UBT 2023-03-29 2023-05-24 $24.81 $23.63 Long 3431 -4.74% 20675.47 103382.31
TBF 2023-05-24 2023-06-20 $21.19 $20.90 Long 3875 -1.40% 20467.53 101856.13
QQQ 2023-06-20 2023-07-07 $364.03 $365.30 Long 223 0.35% 18435.34 102003.58
TBF 2023-07-07 2023-12-20 $21.73 $21.82 Long 3842 0.41% 18579.20 102896.79
UBT 2023-12-20 2023-12-27 $22.50 $22.73 Long 3720 1.01% 20625.47 103228.70
QQQ 2023-12-27 2024-04-04 $410.41 $446.33 Long 201 8.75% 20815.88 108550.85

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
1xADM-d 0.81 TBF 2024-04-22 Buy@NextOpen Long 0.00% EndOfDay
1xADM-d 0.82 SPY 2024-04-03 Sell@NextOpen Long -4.55% EndOfDay