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 | $79392.42 |
| FirstDate | 2010-01-28 |
| LastDate | 2022-02-28 |
| FirstEquity | $10000.00 |
| FinalEquity | $89392.42 |
| OpenEquity | $0.00 |
| LongEquity | $79392.42 |
| ShortEquity | $0.00 |
| PercentWins | 73.33% |
| AveWin | 10.37% |
| AveLoss | -4.55% |
| AveWinLoss | 2.28 |
| Expectancy | 6.39% |
| AveDrawUp | 41.42% |
| AveDrawDown | -10.35% |
| MaxDrawDown | -26.28% |
| Kelly | 61.65% |
| Thrope | 83.83 |
| APR | 19.87% |
| CalmarRatio | 1.92 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| QQQ | 2010-01-28 | 2010-01-29 | $38.67 | $38.00 | Long | 216.0 | -1.75% | 1607.86 | 9854.23 |
| SPY | 2010-01-29 | 2010-02-26 | $84.15 | $86.77 | Long | 98.0 | 3.12% | 1685.60 | 10111.48 |
| QQQ | 2010-02-26 | 2010-06-30 | $39.74 | $38.04 | Long | 212.0 | -4.30% | 1603.51 | 9749.58 |
| UBT | 2010-06-30 | 2010-07-30 | $20.47 | $20.08 | Long | 398.0 | -1.88% | 1600.26 | 9596.77 |
| QQQ | 2010-07-30 | 2010-08-31 | $40.80 | $38.71 | Long | 196.0 | -5.13% | 1506.87 | 9186.55 |
| UBT | 2010-08-31 | 2010-09-30 | $23.56 | $22.31 | Long | 326.0 | -5.28% | 1465.63 | 8780.81 |
| QQQ | 2010-09-30 | 2011-03-31 | $43.80 | $51.44 | Long | 167.0 | 17.43% | 1651.23 | 10056.21 |
| SPY | 2011-03-31 | 2011-07-29 | $106.39 | $104.29 | Long | 79.0 | -1.98% | 1620.20 | 9890.05 |
| UBT | 2011-07-29 | 2011-10-27 | $20.27 | $25.67 | Long | 408.0 | 26.65% | 12093.68 | 12093.68 |
| UBT | 2011-10-28 | 2012-01-31 | $26.18 | $30.96 | Long | 386.0 | 18.25% | 2308.41 | 13937.89 |
| QQQ | 2012-01-31 | 2012-09-28 | $54.60 | $62.27 | Long | 213.0 | 14.06% | 2581.75 | 15572.68 |
| SPY | 2012-09-28 | 2013-07-31 | $119.18 | $142.03 | Long | 109.0 | 19.17% | 2964.53 | 18063.49 |
| QQQ | 2013-07-31 | 2014-03-31 | $69.58 | $81.53 | Long | 217.0 | 17.17% | 3400.59 | 20656.00 |
| SPY | 2014-03-31 | 2014-05-30 | $159.77 | $164.62 | Long | 108.0 | 3.03% | 3457.51 | 21179.17 |
| UBT | 2014-05-30 | 2014-06-30 | $29.88 | $29.71 | Long | 593.0 | -0.57% | 3477.91 | 21078.43 |
| QQQ | 2014-06-30 | 2014-07-31 | $87.56 | $88.60 | Long | 201.0 | 1.18% | 3497.68 | 21286.46 |
| UBT | 2014-07-31 | 2014-08-29 | $30.15 | $32.78 | Long | 590.0 | 8.72% | 3763.94 | 22836.76 |
| QQQ | 2014-08-29 | 2014-09-30 | $93.04 | $92.33 | Long | 205.0 | -0.76% | 3724.21 | 22692.44 |
| UBT | 2014-09-30 | 2014-10-31 | $31.51 | $33.32 | Long | 602.0 | 5.76% | 3882.20 | 23784.66 |
| QQQ | 2014-10-31 | 2015-07-31 | $94.77 | $105.51 | Long | 210.0 | 11.32% | 26038.39 | 26038.39 |
| UBT | 2015-08-31 | 2016-04-29 | $35.24 | $40.39 | Long | 618.0 | 14.63% | 4806.92 | 29224.46 |
| SPY | 2016-04-29 | 2016-06-30 | $183.59 | $187.37 | Long | 133.0 | 2.06% | 4862.21 | 29726.69 |
| UBT | 2016-06-30 | 2016-07-29 | $46.56 | $48.58 | Long | 534.0 | 4.34% | 5108.03 | 30806.43 |
| QQQ | 2016-07-29 | 2016-11-30 | $109.82 | $112.27 | Long | 234.0 | 2.23% | 5227.06 | 31378.34 |
| SPY | 2016-11-30 | 2016-12-30 | $198.12 | $202.13 | Long | 132.0 | 2.03% | 5227.21 | 31908.77 |
| QQQ | 2016-12-30 | 2017-08-31 | $113.54 | $140.78 | Long | 235.0 | 23.99% | 6245.84 | 38310.20 |
| UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 789.0 | -4.79% | 6033.05 | 36772.72 |
| QQQ | 2017-09-29 | 2017-11-30 | $140.36 | $149.72 | Long | 219.0 | 6.67% | 6495.74 | 38822.74 |
| SPY | 2017-11-30 | 2017-12-29 | $243.06 | $246.00 | Long | 133.0 | 1.21% | 6527.75 | 39213.47 |
| QQQ | 2017-12-29 | 2018-10-31 | $150.63 | $165.14 | Long | 217.0 | 9.64% | 6912.10 | 42363.56 |
| UBT | 2018-10-31 | 2019-06-28 | $32.61 | $45.17 | Long | 1087.0 | 38.51% | 9203.46 | 56016.13 |
| QQQ | 2019-06-28 | 2019-07-31 | $182.86 | $187.13 | Long | 256.0 | 2.33% | 9351.35 | 57109.11 |
| UBT | 2019-07-31 | 2019-11-29 | $45.27 | $50.39 | Long | 1055.0 | 11.32% | 10390.85 | 62513.49 |
| QQQ | 2019-11-29 | 2020-01-31 | $201.25 | $215.42 | Long | 259.0 | 7.04% | 10804.68 | 66184.02 |
| UBT | 2020-01-31 | 2020-03-13 | $54.45 | $61.72 | Long | 1017.0 | 13.35% | 73575.03 | 73575.03 |
| UBT | 2020-03-30 | 2020-06-30 | $69.06 | $66.78 | Long | 891.0 | -3.31% | 11903.17 | 71539.10 |
| QQQ | 2020-06-30 | 2021-02-26 | $244.41 | $311.11 | Long | 244.0 | 27.29% | 14351.23 | 87813.15 |
| SPY | 2021-02-26 | 2021-06-30 | $371.02 | $420.31 | Long | 198.0 | 13.28% | 15943.56 | 97572.11 |
| QQQ | 2021-06-30 | 2021-07-30 | $351.85 | $361.91 | Long | 232.0 | 2.86% | 16377.22 | 99907.44 |
| SPY | 2021-07-30 | 2021-08-31 | $430.57 | $443.38 | Long | 194.0 | 2.98% | 16773.16 | 102393.29 |
| QQQ | 2021-08-31 | 2021-09-30 | $377.18 | $355.75 | Long | 227.0 | -5.68% | 15914.84 | 97529.24 |
| UBT | 2021-09-30 | 2021-10-29 | $52.05 | $54.39 | Long | 1568.0 | 4.50% | 16777.73 | 101198.36 |
| QQQ | 2021-10-29 | 2021-11-30 | $383.73 | $391.39 | Long | 220.0 | 2.00% | 16804.48 | 102884.10 |
| UBT | 2021-11-30 | 2022-02-10 | $57.31 | $46.35 | Long | 1502.0 | -19.12% | 86422.18 | 86422.18 |
| UBT | 2022-02-25 | 2022-02-28 | $46.74 | $48.66 | Long | 1547.0 | 4.11% | 89392.42 | 89392.42 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| 1xADM | 0.90 | 0.00 | Out | EOM |