Strategy - 1xADM


Accelerating Dual Momentum

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

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
1xADM 0.81 TBF 2023-08-31 Hold Long 3.94% EOM
momentum  QQQ  SPY  UBT  TBF