Description
This strategy builds upon the work of swhanly by introducing a variation of the accelerating dual momentum approach. 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
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 46.00 |
| NoOfWins | 34.00 |
| NoOfLosses | 12.00 |
| SharpRatio | 0.94 |
| SortinoRatio | 1.20 |
| GrossProfit | $81914.59 |
| FirstDate | 2010-12-30 |
| LastDate | 2023-08-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $91914.59 |
| OpenEquity | $74441.01 |
| LongEquity | $81914.59 |
| ShortEquity | $0.00 |
| PercentWins | 73.91% |
| AveWin | 10.34% |
| AveLoss | -4.10% |
| AveWinLoss | 2.52 |
| Expectancy | 6.58% |
| AveDrawUp | 39.32% |
| AveDrawDown | -10.38% |
| MaxDrawDown | -24.61% |
| Kelly | 63.58% |
| Thorpe | 80.56 |
| Rachev | 0.83 |
| APR | 19.14% |
| CalmarRatio | 1.84 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| QQQ | 2010-12-30 | 2011-03-31 | $48.56 | $51.09 | Long | 166.0 | 5.22% | 2042.32 | 10420.46 |
| SPY | 2011-03-31 | 2011-07-29 | $104.73 | $102.66 | Long | 80.0 | -1.98% | 1948.67 | 10254.83 |
| UBT | 2011-07-29 | 2012-01-31 | $19.73 | $30.14 | Long | 421.0 | 52.75% | 2814.75 | 14636.63 |
| QQQ | 2012-01-31 | 2012-09-28 | $54.23 | $61.85 | Long | 218.0 | 14.06% | 3158.93 | 16298.46 |
| SPY | 2012-09-28 | 2013-07-31 | $117.32 | $139.81 | Long | 112.0 | 19.17% | 3613.72 | 18817.77 |
| QQQ | 2013-07-31 | 2014-03-31 | $69.11 | $80.98 | Long | 220.0 | 17.17% | 4128.48 | 21428.32 |
| SPY | 2014-03-31 | 2014-05-30 | $157.27 | $162.04 | Long | 110.0 | 3.03% | 4179.39 | 21952.83 |
| UBT | 2014-05-30 | 2014-06-30 | $29.09 | $28.92 | Long | 611.0 | -0.57% | 4196.51 | 21851.80 |
| QQQ | 2014-06-30 | 2014-07-31 | $86.97 | $88.00 | Long | 203.0 | 1.18% | 4217.03 | 22060.48 |
| UBT | 2014-07-31 | 2014-08-29 | $29.35 | $31.91 | Long | 608.0 | 8.72% | 4487.05 | 23615.54 |
| QQQ | 2014-08-29 | 2014-09-30 | $92.41 | $91.71 | Long | 207.0 | -0.76% | 4486.19 | 23470.80 |
| UBT | 2014-09-30 | 2014-10-31 | $30.67 | $32.44 | Long | 619.0 | 5.76% | 4702.14 | 24563.96 |
| QQQ | 2014-10-31 | 2015-07-31 | $94.13 | $104.79 | Long | 211.0 | 11.32% | 5108.42 | 26813.09 |
| TBF | 2015-07-31 | 2015-09-30 | $23.49 | $23.03 | Long | 924.0 | -1.96% | 5027.27 | 26387.85 |
| UBT | 2015-09-30 | 2015-10-30 | $35.42 | $34.92 | Long | 603.0 | -1.43% | 4974.23 | 26083.45 |
| TBF | 2015-10-30 | 2015-11-30 | $23.10 | $23.26 | Long | 914.0 | 0.69% | 4992.98 | 26229.39 |
| UBT | 2015-11-30 | 2016-04-29 | $34.42 | $39.32 | Long | 617.0 | 14.23% | 5577.19 | 29251.07 |
| SPY | 2016-04-29 | 2016-06-30 | $180.72 | $184.43 | Long | 131.0 | 2.06% | 5671.48 | 29738.01 |
| UBT | 2016-06-30 | 2016-07-29 | $45.32 | $47.29 | Long | 531.0 | 4.34% | 5913.18 | 30783.10 |
| QQQ | 2016-07-29 | 2016-11-30 | $109.08 | $111.51 | Long | 228.0 | 2.23% | 5984.68 | 31336.57 |
| SPY | 2016-11-30 | 2016-12-30 | $195.01 | $198.97 | Long | 130.0 | 2.03% | 6139.28 | 31850.78 |
| QQQ | 2016-12-30 | 2017-08-31 | $112.77 | $139.83 | Long | 228.0 | 23.99% | 7243.91 | 38019.48 |
| UBT | 2017-08-31 | 2017-09-29 | $39.56 | $37.66 | Long | 778.0 | -4.79% | 6988.16 | 36543.80 |
| QQQ | 2017-09-29 | 2017-11-30 | $139.41 | $148.71 | Long | 212.0 | 6.67% | 7411.65 | 38514.85 |
| SPY | 2017-11-30 | 2017-12-29 | $239.26 | $242.15 | Long | 130.0 | 1.21% | 7473.63 | 38890.79 |
| QQQ | 2017-12-29 | 2018-10-31 | $149.61 | $164.02 | Long | 210.0 | 9.64% | 7968.47 | 41918.62 |
| TBF | 2018-10-31 | 2018-12-31 | $22.77 | $21.21 | Long | 1491.0 | -6.86% | 7544.85 | 39591.33 |
| UBT | 2018-12-31 | 2019-06-28 | $36.75 | $43.97 | Long | 872.0 | 19.65% | 8836.50 | 45887.75 |
| QQQ | 2019-06-28 | 2019-07-31 | $181.62 | $185.86 | Long | 204.0 | 2.33% | 8902.85 | 46752.82 |
| UBT | 2019-07-31 | 2019-11-29 | $44.06 | $49.05 | Long | 859.0 | 11.32% | 9860.11 | 51036.01 |
| QQQ | 2019-11-29 | 2020-01-31 | $199.88 | $213.96 | Long | 206.0 | 7.04% | 10260.46 | 53935.66 |
| UBT | 2020-01-31 | 2020-06-30 | $53.00 | $65.00 | Long | 824.0 | 22.63% | 12354.19 | 63818.16 |
| QQQ | 2020-06-30 | 2021-02-26 | $242.75 | $309.00 | Long | 212.0 | 27.29% | 15045.71 | 77862.17 |
| SPY | 2021-02-26 | 2021-06-30 | $365.21 | $413.73 | Long | 172.0 | 13.28% | 16663.46 | 86206.94 |
| QQQ | 2021-06-30 | 2021-07-30 | $349.46 | $359.46 | Long | 199.0 | 2.86% | 16993.40 | 88196.54 |
| SPY | 2021-07-30 | 2021-08-31 | $423.83 | $436.44 | Long | 168.0 | 2.98% | 17263.22 | 90315.53 |
| QQQ | 2021-08-31 | 2021-09-30 | $374.63 | $353.34 | Long | 195.0 | -5.68% | 16400.78 | 86165.45 |
| UBT | 2021-09-30 | 2021-10-29 | $50.66 | $52.94 | Long | 1377.0 | 4.50% | 17267.93 | 89301.85 |
| QQQ | 2021-10-29 | 2021-11-30 | $381.13 | $388.74 | Long | 189.0 | 2.00% | 17272.44 | 90740.25 |
| UBT | 2021-11-30 | 2022-01-31 | $55.78 | $49.24 | Long | 1317.0 | -11.73% | 15608.56 | 82125.63 |
| TBF | 2022-01-31 | 2023-01-31 | $16.04 | $20.46 | Long | 4147.0 | 27.56% | 19255.80 | 100455.12 |
| SPY | 2023-01-31 | 2023-02-28 | $401.98 | $391.87 | Long | 202.0 | -2.51% | 18714.01 | 98413.55 |
| TBF | 2023-02-28 | 2023-03-31 | $21.62 | $20.67 | Long | 3686.0 | -4.41% | 18047.22 | 94897.50 |
| UBT | 2023-03-31 | 2023-05-31 | $26.55 | $24.82 | Long | 2895.0 | -6.50% | 17089.68 | 89899.11 |
| TBF | 2023-05-31 | 2023-06-30 | $21.40 | $21.50 | Long | 3402.0 | 0.44% | 17181.21 | 90220.19 |
| QQQ | 2023-06-30 | 2023-08-31 | $368.88 | $377.44 | Long | 198.0 | 2.32% | 17473.58 | 91914.59 |