Description
This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular funds with decent performance and volatility.
This strategy uses the following risk-on assets: QQQ, SPY. with UBT being the risk off haven.
It will buy only one risk on asset at a time.
Trading happens on the Close of the signal day, the last trading day of the month
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 45.00 |
| NoOfWins | 33.00 |
| NoOfLosses | 12.00 |
| SharpRatio | 0.98 |
| SortinoRatio | 1.22 |
| GrossProfit | $79446.77 |
| FirstDate | 2010-01-28 |
| LastDate | 2022-02-28 |
| FirstEquity | $10000.00 |
| FinalEquity | $89446.77 |
| OpenEquity | $0.00 |
| LongEquity | $79446.77 |
| ShortEquity | $0.00 |
| PercentWins | 73.33% |
| AveWin | $3219.42 |
| AveLoss | $-2232.84 |
| AveWinLoss | 1.44 |
| Expectancy | 5.17% |
| AveDrawUp | 41.44% |
| AveDrawDown | -10.36% |
| MaxDrawDown | -26.27% |
| Kelly | 54.84% |
| Thrope | 83.78 |
| APR | 19.88% |
| CalmarRatio | 1.92 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| QQQ | 2010-01-28 | 2010-01-29 | $38.81 | $38.13 | Long | 215.0 | -1.75% | 1623.03 | 9854.38 |
| SPY | 2010-01-29 | 2010-02-26 | $84.86 | $87.51 | Long | 97.0 | 3.12% | 1654.42 | 10111.15 |
| QQQ | 2010-02-26 | 2010-06-30 | $39.89 | $38.18 | Long | 212.0 | -4.30% | 1601.86 | 9747.93 |
| UBT | 2010-06-30 | 2010-07-30 | $20.47 | $20.08 | Long | 398.0 | -1.88% | 1569.33 | 9595.12 |
| QQQ | 2010-07-30 | 2010-08-31 | $40.95 | $38.85 | Long | 196.0 | -5.13% | 1503.72 | 9183.40 |
| UBT | 2010-08-31 | 2010-09-30 | $23.56 | $22.31 | Long | 326.0 | -5.28% | 1435.70 | 8777.66 |
| QQQ | 2010-09-30 | 2011-03-31 | $43.96 | $51.63 | Long | 167.0 | 17.43% | 1688.87 | 10057.73 |
| SPY | 2011-03-31 | 2011-07-29 | $107.29 | $105.17 | Long | 78.0 | -1.98% | 1622.43 | 9892.29 |
| UBT | 2011-07-29 | 2011-10-27 | $20.27 | $25.67 | Long | 408.0 | 26.65% | 12095.92 | 12095.92 |
| UBT | 2011-10-28 | 2012-01-31 | $26.18 | $30.96 | Long | 386.0 | 18.25% | 2322.86 | 13940.13 |
| QQQ | 2012-01-31 | 2012-09-28 | $54.80 | $62.50 | Long | 212.0 | 14.06% | 2592.44 | 15573.19 |
| SPY | 2012-09-28 | 2013-07-31 | $120.19 | $143.24 | Long | 108.0 | 19.17% | 2977.65 | 18062.05 |
| QQQ | 2013-07-31 | 2014-03-31 | $69.84 | $81.83 | Long | 216.0 | 17.17% | 3411.66 | 20652.06 |
| SPY | 2014-03-31 | 2014-05-30 | $161.13 | $166.01 | Long | 107.0 | 3.03% | 3453.12 | 21174.78 |
| UBT | 2014-05-30 | 2014-06-30 | $29.88 | $29.71 | Long | 593.0 | -0.57% | 3496.96 | 21074.04 |
| QQQ | 2014-06-30 | 2014-07-31 | $87.89 | $88.92 | Long | 200.0 | 1.18% | 3493.01 | 21281.79 |
| UBT | 2014-07-31 | 2014-08-29 | $30.15 | $32.78 | Long | 590.0 | 8.72% | 3782.82 | 22832.09 |
| QQQ | 2014-08-29 | 2014-09-30 | $93.38 | $92.67 | Long | 204.0 | -0.76% | 3719.72 | 22687.95 |
| UBT | 2014-09-30 | 2014-10-31 | $31.51 | $33.32 | Long | 602.0 | 5.76% | 3899.97 | 23780.17 |
| QQQ | 2014-10-31 | 2015-07-31 | $95.12 | $105.89 | Long | 209.0 | 11.32% | 26031.38 | 26031.38 |
| UBT | 2015-08-31 | 2016-04-29 | $35.24 | $40.39 | Long | 618.0 | 14.63% | 4778.28 | 29217.45 |
| SPY | 2016-04-29 | 2016-06-30 | $185.15 | $188.95 | Long | 132.0 | 2.06% | 4855.65 | 29720.13 |
| UBT | 2016-06-30 | 2016-07-29 | $46.56 | $48.58 | Long | 534.0 | 4.34% | 5117.60 | 30799.87 |
| QQQ | 2016-07-29 | 2016-11-30 | $110.22 | $112.68 | Long | 233.0 | 2.23% | 5198.47 | 31371.41 |
| SPY | 2016-11-30 | 2016-12-30 | $199.79 | $203.85 | Long | 131.0 | 2.03% | 5236.98 | 31902.29 |
| QQQ | 2016-12-30 | 2017-08-31 | $113.95 | $141.29 | Long | 234.0 | 23.99% | 6276.09 | 38299.81 |
| UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 788.0 | -4.79% | 6052.94 | 36764.29 |
| QQQ | 2017-09-29 | 2017-11-30 | $140.88 | $150.27 | Long | 218.0 | 6.67% | 6456.78 | 38812.41 |
| SPY | 2017-11-30 | 2017-12-29 | $245.12 | $248.08 | Long | 132.0 | 1.21% | 6398.10 | 39203.49 |
| QQQ | 2017-12-29 | 2018-10-31 | $151.18 | $165.75 | Long | 217.0 | 9.64% | 6913.65 | 42365.11 |
| UBT | 2018-10-31 | 2019-06-28 | $32.61 | $45.17 | Long | 1087.0 | 38.51% | 9217.15 | 56017.69 |
| QQQ | 2019-06-28 | 2019-07-31 | $183.53 | $187.82 | Long | 255.0 | 2.33% | 9352.62 | 57110.38 |
| UBT | 2019-07-31 | 2019-11-29 | $45.27 | $50.39 | Long | 1055.0 | 11.32% | 10201.28 | 62514.76 |
| QQQ | 2019-11-29 | 2020-01-31 | $201.98 | $216.21 | Long | 259.0 | 7.04% | 10819.38 | 66198.73 |
| UBT | 2020-01-31 | 2020-03-13 | $54.45 | $61.72 | Long | 1017.0 | 13.35% | 73589.74 | 73589.74 |
| UBT | 2020-03-30 | 2020-06-30 | $69.06 | $66.78 | Long | 891.0 | -3.31% | 11699.53 | 71553.81 |
| QQQ | 2020-06-30 | 2021-02-26 | $245.30 | $312.25 | Long | 244.0 | 27.29% | 14551.75 | 87887.44 |
| SPY | 2021-02-26 | 2021-06-30 | $374.16 | $423.87 | Long | 196.0 | 13.28% | 16055.35 | 97629.63 |
| QQQ | 2021-06-30 | 2021-07-30 | $353.14 | $363.24 | Long | 231.0 | 2.86% | 16594.26 | 99963.42 |
| SPY | 2021-07-30 | 2021-08-31 | $434.21 | $447.14 | Long | 192.0 | 2.98% | 16889.41 | 102444.47 |
| QQQ | 2021-08-31 | 2021-09-30 | $378.56 | $357.06 | Long | 226.0 | -5.68% | 15917.66 | 97584.11 |
| UBT | 2021-09-30 | 2021-10-29 | $52.05 | $54.39 | Long | 1569.0 | 4.50% | 16525.85 | 101255.57 |
| QQQ | 2021-10-29 | 2021-11-30 | $385.14 | $392.83 | Long | 220.0 | 2.00% | 16810.56 | 102947.49 |
| UBT | 2021-11-30 | 2022-02-10 | $57.31 | $46.35 | Long | 1503.0 | -19.12% | 86474.61 | 86474.61 |
| UBT | 2022-02-25 | 2022-02-28 | $46.74 | $48.66 | Long | 1548.0 | 4.11% | 89446.77 | 89446.77 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| 1xADM | 0.90 | 0.00 | Out | EOM |