Strategy - 1xADM


Accelerating Dual Momentum

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
momentum  QQQ  SPY  UBT