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 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

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
1xADM-d 0.81 TBF 2023-07-07 Hold Long 6.98% EOD