Strategy - 1xADM


Accelerating Dual Momentum

Description

This strategy builds upon the work of swhanly by introducing a variation of the accelerating dual momentum approach. However, instead of using leveraged funds, this strategy utilizes regular funds with solid performance and moderate volatility.

The strategy employs a combination of risk-on assets, such as QQQ and SPY and risk-off haven assets, UBT and TBF.

Only one risk-on asset is purchased at a time, based on the signal generated by the strategy.

Trading happens on the Close of the signal day, the last trading day of the month

Details

Metrics

MetricMeasure
AccountNamedefault
NoOfTrades50.00
NoOfWins34.00
NoOfLosses16.00
SharpRatio0.93
SortinoRatio1.18
GrossProfit$81598.68
FirstDate2010-01-28
LastDate2023-02-28
FirstEquity$10000.00
FinalEquity$91598.68
OpenEquity$76660.84
LongEquity$81598.68
ShortEquity$0.00
PercentWins68.00%
AveWin10.21%
AveLoss-3.64%
AveWinLoss2.80
Expectancy5.78%
AveDrawUp40.13%
AveDrawDown-11.05%
MaxDrawDown-26.28%
Kelly56.59%
Thorpe81.33
APR18.44%
CalmarRatio1.67

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
QQQ2010-01-282010-01-29$38.52$37.84Long217.0-1.75%1677.509854.14
SPY2010-01-292010-02-26$83.44$86.04Long98.03.12%1677.1210109.21
QQQ2010-02-262010-06-30$39.59$37.89Long213.0-4.30%1636.239747.04
TIP2010-06-302010-07-30$78.75$78.56Long103.0-0.24%1600.059727.43
QQQ2010-07-302010-08-31$40.64$38.55Long200.0-5.13%1526.899310.51
UBT2010-08-312010-09-30$23.37$22.14Long333.0-5.28%1482.188899.27
QQQ2010-09-302011-03-31$43.63$51.24Long170.017.43%1753.0510192.44
SPY2011-03-312011-07-29$105.49$103.41Long80.0-1.98%1639.0110025.61
UBT2011-07-292011-10-27$20.11$25.47Long417.026.65%12260.3412260.34
UBT2011-10-282012-01-31$25.98$30.72Long394.018.25%2327.2014128.14
QQQ2012-01-312012-09-28$54.38$62.03Long217.014.06%2669.6015787.03
SPY2012-09-282013-07-31$118.18$140.83Long111.019.17%2985.7318302.10
QQQ2013-07-312014-03-31$69.30$81.20Long221.017.17%3505.6020931.93
SPY2014-03-312014-05-30$158.42$163.22Long110.03.03%3520.5221460.29
UBT2014-05-302014-06-30$29.65$29.48Long605.0-0.57%3565.8521358.31
QQQ2014-06-302014-07-31$87.22$88.25Long204.01.18%3529.1521568.61
UBT2014-07-312014-08-29$29.92$32.52Long603.08.72%3772.8023140.75
QQQ2014-08-292014-09-30$92.67$91.97Long209.0-0.76%3766.9522994.20
UBT2014-09-302014-10-31$31.26$33.06Long615.05.76%3994.5224101.33
QQQ2014-10-312015-07-31$94.40$105.09Long213.011.32%4308.7926378.20
TBF2015-07-312015-09-30$24.01$23.54Long919.0-1.96%4243.7525945.82
UBT2015-09-302015-10-30$36.11$35.60Long601.0-1.43%4197.4825636.55
TBF2015-10-302015-11-30$23.61$23.77Long908.00.69%4207.2225784.77
UBT2015-11-302016-04-29$35.09$40.08Long615.014.23%4825.9628854.99
SPY2016-04-292016-06-30$182.04$185.78Long132.02.06%4816.5829349.23
UBT2016-06-302016-07-29$46.20$48.21Long531.04.34%5036.7330414.56
QQQ2016-07-292016-11-30$109.39$111.82Long232.02.23%5245.6330979.34
SPY2016-11-302016-12-30$196.44$200.42Long131.02.03%5151.6031501.30
QQQ2016-12-302017-08-31$113.09$140.22Long233.023.99%6169.2237823.10
UBT2017-08-312017-09-29$40.32$38.39Long785.0-4.79%5967.0136305.31
QQQ2017-09-292017-11-30$139.81$149.13Long217.06.67%6274.9138328.56
SPY2017-11-302017-12-29$241.00$243.92Long133.01.21%6459.8038715.99
QQQ2017-12-292018-10-31$150.03$164.49Long215.09.64%6836.8541824.68
TBF2018-10-312018-12-31$23.28$21.68Long1503.0-6.86%6459.4039426.25
UBT2018-12-312019-06-28$37.46$44.82Long880.019.65%7654.6045903.51
QQQ2019-06-282019-07-31$182.14$186.39Long210.02.33%7629.5946796.54
UBT2019-07-312019-11-29$44.92$50.00Long872.011.32%8533.2251228.77
QQQ2019-11-292020-01-31$200.45$214.56Long213.07.04%8849.8454235.43
UBT2020-01-312020-03-13$54.03$61.24Long840.013.35%60292.6660292.66
UBT2020-03-302020-06-30$68.52$66.26Long736.0-3.31%9692.2458623.97
QQQ2020-06-302021-02-26$243.44$309.87Long201.027.29%12012.1171976.95
SPY2021-02-262021-06-30$367.88$416.75Long163.013.28%13356.7479942.90
QQQ2021-06-302021-07-30$350.45$360.48Long190.02.86%13539.5281847.89
SPY2021-07-302021-08-31$426.93$439.63Long160.02.98%14002.9283880.74
QQQ2021-08-312021-09-30$375.69$354.34Long186.0-5.68%13030.0779911.00
UBT2021-09-302021-10-29$51.65$53.97Long1295.04.50%13737.7182917.75
QQQ2021-10-292021-11-30$382.21$389.84Long181.02.00%13787.0284299.16
UBT2021-11-302022-01-31$56.86$50.20Long1240.0-11.73%12406.5676031.12
TBF2022-01-312023-01-31$16.40$20.92Long3880.027.56%15414.7393563.55
SPY2023-01-312023-02-28$404.92$394.74Long193.0-2.51%14937.8491598.68

Signals

StrategyRatioSizeTickerDateStateTypeProfitTick
1xADM0.900.84TBF2023-02-28HoldLong0.00%EOM
momentum  QQQ  SPY  UBT  TIP  TBF