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
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 50.00 |
| NoOfWins | 34.00 |
| NoOfLosses | 16.00 |
| SharpRatio | 0.93 |
| SortinoRatio | 1.18 |
| GrossProfit | $81598.68 |
| FirstDate | 2010-01-28 |
| LastDate | 2023-02-28 |
| FirstEquity | $10000.00 |
| FinalEquity | $91598.68 |
| OpenEquity | $76660.84 |
| LongEquity | $81598.68 |
| ShortEquity | $0.00 |
| PercentWins | 68.00% |
| AveWin | 10.21% |
| AveLoss | -3.64% |
| AveWinLoss | 2.80 |
| Expectancy | 5.78% |
| AveDrawUp | 40.13% |
| AveDrawDown | -11.05% |
| MaxDrawDown | -26.28% |
| Kelly | 56.59% |
| Thorpe | 81.33 |
| APR | 18.44% |
| CalmarRatio | 1.67 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| QQQ | 2010-01-28 | 2010-01-29 | $38.52 | $37.84 | Long | 217.0 | -1.75% | 1677.50 | 9854.14 |
| SPY | 2010-01-29 | 2010-02-26 | $83.44 | $86.04 | Long | 98.0 | 3.12% | 1677.12 | 10109.21 |
| QQQ | 2010-02-26 | 2010-06-30 | $39.59 | $37.89 | Long | 213.0 | -4.30% | 1636.23 | 9747.04 |
| TIP | 2010-06-30 | 2010-07-30 | $78.75 | $78.56 | Long | 103.0 | -0.24% | 1600.05 | 9727.43 |
| QQQ | 2010-07-30 | 2010-08-31 | $40.64 | $38.55 | Long | 200.0 | -5.13% | 1526.89 | 9310.51 |
| UBT | 2010-08-31 | 2010-09-30 | $23.37 | $22.14 | Long | 333.0 | -5.28% | 1482.18 | 8899.27 |
| QQQ | 2010-09-30 | 2011-03-31 | $43.63 | $51.24 | Long | 170.0 | 17.43% | 1753.05 | 10192.44 |
| SPY | 2011-03-31 | 2011-07-29 | $105.49 | $103.41 | Long | 80.0 | -1.98% | 1639.01 | 10025.61 |
| UBT | 2011-07-29 | 2011-10-27 | $20.11 | $25.47 | Long | 417.0 | 26.65% | 12260.34 | 12260.34 |
| UBT | 2011-10-28 | 2012-01-31 | $25.98 | $30.72 | Long | 394.0 | 18.25% | 2327.20 | 14128.14 |
| QQQ | 2012-01-31 | 2012-09-28 | $54.38 | $62.03 | Long | 217.0 | 14.06% | 2669.60 | 15787.03 |
| SPY | 2012-09-28 | 2013-07-31 | $118.18 | $140.83 | Long | 111.0 | 19.17% | 2985.73 | 18302.10 |
| QQQ | 2013-07-31 | 2014-03-31 | $69.30 | $81.20 | Long | 221.0 | 17.17% | 3505.60 | 20931.93 |
| SPY | 2014-03-31 | 2014-05-30 | $158.42 | $163.22 | Long | 110.0 | 3.03% | 3520.52 | 21460.29 |
| UBT | 2014-05-30 | 2014-06-30 | $29.65 | $29.48 | Long | 605.0 | -0.57% | 3565.85 | 21358.31 |
| QQQ | 2014-06-30 | 2014-07-31 | $87.22 | $88.25 | Long | 204.0 | 1.18% | 3529.15 | 21568.61 |
| UBT | 2014-07-31 | 2014-08-29 | $29.92 | $32.52 | Long | 603.0 | 8.72% | 3772.80 | 23140.75 |
| QQQ | 2014-08-29 | 2014-09-30 | $92.67 | $91.97 | Long | 209.0 | -0.76% | 3766.95 | 22994.20 |
| UBT | 2014-09-30 | 2014-10-31 | $31.26 | $33.06 | Long | 615.0 | 5.76% | 3994.52 | 24101.33 |
| QQQ | 2014-10-31 | 2015-07-31 | $94.40 | $105.09 | Long | 213.0 | 11.32% | 4308.79 | 26378.20 |
| TBF | 2015-07-31 | 2015-09-30 | $24.01 | $23.54 | Long | 919.0 | -1.96% | 4243.75 | 25945.82 |
| UBT | 2015-09-30 | 2015-10-30 | $36.11 | $35.60 | Long | 601.0 | -1.43% | 4197.48 | 25636.55 |
| TBF | 2015-10-30 | 2015-11-30 | $23.61 | $23.77 | Long | 908.0 | 0.69% | 4207.22 | 25784.77 |
| UBT | 2015-11-30 | 2016-04-29 | $35.09 | $40.08 | Long | 615.0 | 14.23% | 4825.96 | 28854.99 |
| SPY | 2016-04-29 | 2016-06-30 | $182.04 | $185.78 | Long | 132.0 | 2.06% | 4816.58 | 29349.23 |
| UBT | 2016-06-30 | 2016-07-29 | $46.20 | $48.21 | Long | 531.0 | 4.34% | 5036.73 | 30414.56 |
| QQQ | 2016-07-29 | 2016-11-30 | $109.39 | $111.82 | Long | 232.0 | 2.23% | 5245.63 | 30979.34 |
| SPY | 2016-11-30 | 2016-12-30 | $196.44 | $200.42 | Long | 131.0 | 2.03% | 5151.60 | 31501.30 |
| QQQ | 2016-12-30 | 2017-08-31 | $113.09 | $140.22 | Long | 233.0 | 23.99% | 6169.22 | 37823.10 |
| UBT | 2017-08-31 | 2017-09-29 | $40.32 | $38.39 | Long | 785.0 | -4.79% | 5967.01 | 36305.31 |
| QQQ | 2017-09-29 | 2017-11-30 | $139.81 | $149.13 | Long | 217.0 | 6.67% | 6274.91 | 38328.56 |
| SPY | 2017-11-30 | 2017-12-29 | $241.00 | $243.92 | Long | 133.0 | 1.21% | 6459.80 | 38715.99 |
| QQQ | 2017-12-29 | 2018-10-31 | $150.03 | $164.49 | Long | 215.0 | 9.64% | 6836.85 | 41824.68 |
| TBF | 2018-10-31 | 2018-12-31 | $23.28 | $21.68 | Long | 1503.0 | -6.86% | 6459.40 | 39426.25 |
| UBT | 2018-12-31 | 2019-06-28 | $37.46 | $44.82 | Long | 880.0 | 19.65% | 7654.60 | 45903.51 |
| QQQ | 2019-06-28 | 2019-07-31 | $182.14 | $186.39 | Long | 210.0 | 2.33% | 7629.59 | 46796.54 |
| UBT | 2019-07-31 | 2019-11-29 | $44.92 | $50.00 | Long | 872.0 | 11.32% | 8533.22 | 51228.77 |
| QQQ | 2019-11-29 | 2020-01-31 | $200.45 | $214.56 | Long | 213.0 | 7.04% | 8849.84 | 54235.43 |
| UBT | 2020-01-31 | 2020-03-13 | $54.03 | $61.24 | Long | 840.0 | 13.35% | 60292.66 | 60292.66 |
| UBT | 2020-03-30 | 2020-06-30 | $68.52 | $66.26 | Long | 736.0 | -3.31% | 9692.24 | 58623.97 |
| QQQ | 2020-06-30 | 2021-02-26 | $243.44 | $309.87 | Long | 201.0 | 27.29% | 12012.11 | 71976.95 |
| SPY | 2021-02-26 | 2021-06-30 | $367.88 | $416.75 | Long | 163.0 | 13.28% | 13356.74 | 79942.90 |
| QQQ | 2021-06-30 | 2021-07-30 | $350.45 | $360.48 | Long | 190.0 | 2.86% | 13539.52 | 81847.89 |
| SPY | 2021-07-30 | 2021-08-31 | $426.93 | $439.63 | Long | 160.0 | 2.98% | 14002.92 | 83880.74 |
| QQQ | 2021-08-31 | 2021-09-30 | $375.69 | $354.34 | Long | 186.0 | -5.68% | 13030.07 | 79911.00 |
| UBT | 2021-09-30 | 2021-10-29 | $51.65 | $53.97 | Long | 1295.0 | 4.50% | 13737.71 | 82917.75 |
| QQQ | 2021-10-29 | 2021-11-30 | $382.21 | $389.84 | Long | 181.0 | 2.00% | 13787.02 | 84299.16 |
| UBT | 2021-11-30 | 2022-01-31 | $56.86 | $50.20 | Long | 1240.0 | -11.73% | 12406.56 | 76031.12 |
| TBF | 2022-01-31 | 2023-01-31 | $16.40 | $20.92 | Long | 3880.0 | 27.56% | 15414.73 | 93563.55 |
| SPY | 2023-01-31 | 2023-02-28 | $404.92 | $394.74 | Long | 193.0 | -2.51% | 14937.84 | 91598.68 |