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 37.00
NoOfWins 29.00
NoOfLosses 8.00
SharpRatio 1.08
SortinoRatio 1.34
GrossProfit $105511.50
FirstDate 2010-01-29
LastDate 2021-08-31
FirstEquity $10000.00
FinalEquity $115511.50
OpenEquity $96507.30
LongEquity $105511.50
ShortEquity $0.00
PercentWins 78.38%
AveWin $3753.78
AveLoss $-418.53
AveWinLoss 8.97
Expectancy 8.79%
AveDrawUp 42.16%
AveDrawDown -10.61%
MaxDrawDown -24.60%
Kelly 75.97%
Thrope 88.13
APR 23.51%
CalmarRatio 2.22

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2010-01-29 2010-02-26 $85.70 $88.37 Long 97.0 3.12% 1691.45 10259.31
QQQ 2010-02-26 2010-06-30 $40.04 $38.32 Long 214.0 -4.30% 1622.44 9891.32
UBT 2010-06-30 2010-07-30 $20.47 $20.08 Long 404.0 -1.88% 1598.74 9736.20
QQQ 2010-07-30 2010-08-31 $41.10 $38.99 Long 198.0 -5.13% 1521.29 9318.76
UBT 2010-08-31 2010-09-30 $23.56 $22.31 Long 331.0 -5.28% 1493.74 8906.79
QQQ 2010-09-30 2011-03-31 $44.13 $51.82 Long 168.0 17.43% 1747.61 10199.26
SPY 2011-03-31 2011-07-29 $108.35 $106.21 Long 78.0 -1.98% 1640.71 10032.18
UBT 2011-07-29 2012-01-31 $20.27 $30.96 Long 414.0 52.75% 2359.05 14458.98
QQQ 2012-01-31 2012-09-28 $55.00 $62.73 Long 220.0 14.06% 2686.58 16159.89
SPY 2012-09-28 2013-07-31 $121.38 $144.65 Long 111.0 19.17% 3112.75 18743.20
QQQ 2013-07-31 2014-03-31 $70.09 $82.13 Long 223.0 17.17% 3527.84 21426.96
SPY 2014-03-31 2014-05-30 $162.72 $167.65 Long 110.0 3.03% 3590.53 21969.65
UBT 2014-05-30 2014-06-30 $29.88 $29.71 Long 615.0 -0.57% 3606.08 21865.17
QQQ 2014-06-30 2014-07-31 $88.21 $89.25 Long 207.0 1.18% 3628.89 22080.99
UBT 2014-07-31 2014-08-29 $30.15 $32.78 Long 612.0 8.72% 3913.80 23689.10
QQQ 2014-08-29 2014-09-30 $93.72 $93.01 Long 211.0 -0.76% 3846.53 23539.46
UBT 2014-09-30 2014-10-31 $31.51 $33.32 Long 625.0 5.76% 4051.90 24673.41
QQQ 2014-10-31 2015-07-31 $95.47 $106.28 Long 216.0 11.32% 4418.88 27008.56
UBT 2015-07-31 2016-04-29 $35.74 $40.39 Long 632.0 13.01% 4891.45 29946.35
SPY 2016-04-29 2016-06-30 $186.98 $190.82 Long 134.0 2.06% 4991.89 30461.69
UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 547.0 4.34% 5237.98 31567.71
QQQ 2016-07-29 2016-11-30 $110.63 $113.09 Long 238.0 2.23% 5318.26 32153.67
SPY 2016-11-30 2016-12-30 $201.77 $205.86 Long 133.0 2.03% 5362.88 32697.98
QQQ 2016-12-30 2017-08-31 $114.37 $141.81 Long 239.0 23.99% 6419.56 39256.06
UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 808.0 -4.79% 6150.58 37681.56
QQQ 2017-09-29 2017-11-30 $141.39 $150.82 Long 223.0 6.67% 6613.54 39784.35
SPY 2017-11-30 2017-12-29 $247.54 $250.54 Long 134.0 1.21% 6652.70 40185.28
QQQ 2017-12-29 2018-10-31 $151.73 $166.35 Long 221.0 9.64% 7084.94 43416.98
UBT 2018-10-31 2019-06-28 $32.61 $45.17 Long 1114.0 38.51% 9515.54 57408.68
QQQ 2019-06-28 2019-07-31 $184.20 $188.51 Long 260.0 2.33% 9546.89 58526.88
UBT 2019-07-31 2019-11-29 $45.27 $50.39 Long 1082.0 11.32% 10550.70 64069.57
QQQ 2019-11-29 2020-01-31 $202.72 $217.00 Long 264.0 7.04% 11097.74 67838.42
UBT 2020-01-31 2020-06-30 $54.45 $66.78 Long 1042.0 22.63% 13217.47 80677.29
QQQ 2020-06-30 2021-02-26 $246.20 $313.39 Long 274.0 27.29% 16334.35 99086.40
SPY 2021-02-26 2021-06-30 $377.86 $428.06 Long 219.0 13.28% 18282.12 110079.49
QQQ 2021-06-30 2021-07-30 $354.43 $364.57 Long 259.0 2.86% 18426.10 112705.75
SPY 2021-07-30 2021-08-31 $438.51 $451.56 Long 215.0 2.98% 19004.20 115511.50

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
1xADM 0.90 0.84 QQQ 2021-08-31 Hold Long -0.43% EOM
momentum  QQQ  SPY  UBT