Strategy - 3xADM-d


Leveraged Daily Accelerating Dual Momentum

Description

This is similar to 3xADM with a daily time frames and tighter stops. However, here the use of leveraged funds boosts performance and volatility.

This strategy uses the following risk-on assets: TQQQ, SPXL, with TMF and TBF being the risk off haven.

It will buy only one risk-on asset at a time.

Trading happens on the NextOpen of the signal day

Details

Metrics

Metric Measure
AccountName 512bf235-884a-46a9-8a50-2048d6de234b
NoOfTrades 145.00
NoOfWins 83.00
NoOfLosses 62.00
SharpRatio 0.89
SortinoRatio 1.14
GrossProfit $736091.39
FirstDate 2010-08-03
LastDate 2024-04-22
FirstEquity $10000.00
FinalEquity $746091.39
OpenEquity $601499.25
LongEquity $736091.39
ShortEquity $0.00
PercentWins 57.24%
AveWin 9.43%
AveLoss -2.75%
AveWinLoss 3.43
Expectancy 4.22%
MedianDrawUp 96.52%
MednDrawDown -21.39%
MaxDrawDown -39.27%
Kelly 44.77%
Thorpe 2.50
Rachev 1.18
PAPR 16.54%
APR 36.93%
CalmarRatio 1.77

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TMF 2010-08-03 2010-11-08 $90.64 $88.45 Long 89 -2.41% 9805.32 9805.32
TMF 2010-11-09 2010-11-15 $88.15 $79.84 Long 89 -9.42% 9066.19 9066.19
TBF 2010-11-18 2010-12-07 $40.20 $40.36 Long 182 0.39% 1566.10 8832.90
TQQQ 2010-12-07 2011-03-17 $0.75 $0.75 Long 10099 1.20% 2050.12 9130.31
SPXL 2011-03-17 2011-03-18 $5.73 $5.90 Long 1246 2.98% 1975.63 9342.26
TBF 2011-03-18 2011-04-07 $40.34 $41.12 Long 184 1.93% 1909.15 9516.96
SPXL 2011-04-07 2011-04-13 $6.57 $6.36 Long 1161 -3.29% 1854.52 9218.73
TBF 2011-04-13 2011-05-03 $41.08 $39.39 Long 181 -4.12% 8983.36 8983.36
TMF 2011-05-10 2012-02-08 $80.38 $141.73 Long 89 76.33% 2623.64 14622.57
TQQQ 2012-02-08 2012-04-30 $0.94 $1.17 Long 12522 24.23% 3108.44 17207.11
TMF 2012-04-30 2012-05-01 $146.38 $146.97 Long 97 0.40% 3670.43 17518.54
TQQQ 2012-05-01 2012-05-02 $1.15 $1.15 Long 11885 -0.51% 3272.24 17312.14
TMF 2012-05-02 2012-10-23 $146.07 $164.42 Long 96 12.57% 19056.85 19056.85
TMF 2012-11-09 2012-12-05 $179.40 $179.17 Long 89 -0.13% 19036.78 19036.78
TMF 2012-12-11 2012-12-13 $174.41 $166.14 Long 87 -4.74% 18316.83 18316.83
TBF 2012-12-20 2012-12-24 $26.92 $26.77 Long 549 -0.58% 18231.36 18231.36
TBF 2012-12-26 2012-12-28 $26.71 $26.46 Long 551 -0.96% 18090.08 18090.08
TBF 2012-12-31 2013-01-25 $26.50 $27.48 Long 553 3.70% 3444.62 18722.92
SPXL 2013-01-25 2013-04-19 $7.84 $8.58 Long 1938 9.46% 3912.50 20006.11
TMF 2013-04-19 2013-04-30 $170.06 $171.39 Long 95 0.78% 3779.02 20312.08
SPXL 2013-04-30 2013-07-31 $9.39 $11.18 Long 1749 19.14% 4345.53 23336.82
TQQQ 2013-07-31 2014-02-07 $1.61 $2.34 Long 11766 45.23% 6905.59 32126.80
TMF 2014-02-07 2014-02-13 $113.22 $113.44 Long 221 0.20% 7001.18 33179.75
TQQQ 2014-02-13 2014-04-01 $2.51 $2.53 Long 9942 0.61% 6036.18 32371.61
SPXL 2014-04-01 2014-04-10 $15.42 $15.25 Long 1692 -1.12% 6053.16 32506.20
TMF 2014-04-10 2014-11-17 $122.20 $166.77 Long 211 36.48% 7983.42 41166.72
TQQQ 2014-11-17 2014-11-18 $3.91 $3.91 Long 8514 0.08% 8461.06 41419.03
TMF 2014-11-18 2015-03-27 $164.87 $212.08 Long 199 28.63% 9449.85 51144.34
TQQQ 2015-03-27 2015-03-31 $4.11 $4.26 Long 10036 3.85% 10473.44 52676.45
TMF 2015-03-31 2015-04-01 $213.14 $220.20 Long 196 3.31% 11960.92 52983.71
TQQQ 2015-04-01 2015-05-06 $4.17 $4.38 Long 10005 5.17% 55787.44 55787.44
TBF 2015-05-07 2015-06-22 $23.48 $24.00 Long 1932 2.22% 10909.89 56795.88
TQQQ 2015-06-22 2015-06-24 $4.76 $4.76 Long 9636 -0.14% 10965.79 56543.47
TBF 2015-06-24 2015-08-12 $24.27 $22.38 Long 1886 -7.77% 53175.66 53175.66
TMF 2015-08-19 2015-08-28 $179.13 $178.97 Long 235 -0.09% 53138.36 53138.36
TMF 2015-09-09 2015-09-10 $164.96 $170.36 Long 249 3.27% 54482.13 54482.13
TBF 2015-09-17 2015-09-29 $23.39 $22.46 Long 1889 -3.95% 52735.00 52735.00
TBF 2015-09-30 2015-10-01 $22.48 $22.31 Long 1901 -0.77% 52404.24 52404.24
TMF 2015-10-23 2015-10-27 $179.20 $185.14 Long 231 3.32% 53776.58 53776.58
TMF 2015-10-29 2015-11-05 $179.25 $171.22 Long 236 -4.48% 51882.22 51882.22
TMF 2015-11-06 2015-11-09 $164.55 $158.95 Long 245 -3.40% 50510.04 50510.04
TBF 2015-11-17 2015-11-19 $23.17 $22.77 Long 1779 -1.70% 49809.53 49809.53
TBF 2015-11-23 2015-12-02 $22.86 $22.38 Long 1769 -2.08% 48967.16 48967.16
TMF 2015-12-04 2016-04-27 $165.07 $201.90 Long 229 22.31% 11845.73 57934.04
SPXL 2016-04-27 2016-05-09 $20.09 $19.22 Long 2268 -4.32% 10896.90 55787.61
TMF 2016-05-09 2016-07-14 $215.14 $261.22 Long 207 21.42% 9346.15 64693.22
SPXL 2016-07-14 2016-08-04 $22.39 $22.31 Long 2484 -0.35% 11801.03 65261.85
TQQQ 2016-08-04 2016-10-31 $4.79 $5.04 Long 11063 5.35% 13494.67 67457.62
TBF 2016-10-31 2016-11-15 $20.18 $21.49 Long 2681 6.49% 13879.91 72286.18
TQQQ 2016-11-15 2016-11-29 $4.75 $5.15 Long 12043 8.26% 15026.21 76145.63
SPXL 2016-11-29 2016-12-28 $23.54 $25.89 Long 2583 9.96% 14777.82 79951.16
TQQQ 2016-12-28 2017-01-04 $5.49 $5.30 Long 12220 -3.49% 14945.62 80360.53
SPXL 2017-01-04 2017-01-11 $25.54 $25.79 Long 2530 0.97% 14729.94 80641.51
TQQQ 2017-01-11 2017-03-28 $5.69 $6.90 Long 11496 21.22% 17811.38 94798.11
TBF 2017-03-28 2017-03-31 $21.31 $21.55 Long 3579 1.12% 17942.27 95086.63
TQQQ 2017-03-31 2017-04-06 $7.13 $7.10 Long 10798 -0.36% 18571.57 94551.52
TBF 2017-04-06 2017-04-10 $21.36 $21.35 Long 3561 -0.09% 17534.02 94408.39
TQQQ 2017-04-10 2017-04-11 $7.10 $7.06 Long 10850 -0.62% 18042.39 93814.39
TBF 2017-04-11 2017-04-12 $21.24 $21.14 Long 3582 -0.43% 18548.73 92874.74
TQQQ 2017-04-12 2017-04-17 $6.99 $6.88 Long 10766 -1.55% 18098.23 92808.64
TBF 2017-04-17 2017-04-18 $20.94 $20.89 Long 3558 -0.26% 16811.98 92904.40
TQQQ 2017-04-18 2017-05-23 $6.92 $8.27 Long 10927 19.58% 20875.29 105126.01
TMF 2017-05-23 2017-07-14 $182.94 $186.09 Long 472 1.72% 20860.83 109725.21
TQQQ 2017-07-14 2017-07-17 $8.62 $8.74 Long 10197 1.49% 22592.02 110533.86
TMF 2017-07-17 2017-07-19 $183.28 $189.63 Long 477 3.47% 18807.66 113947.21
TQQQ 2017-07-19 2017-07-20 $8.97 $9.12 Long 10506 1.70% 21029.20 113894.96
TMF 2017-07-20 2017-07-21 $192.62 $193.53 Long 486 0.47% 24299.98 116085.38
TQQQ 2017-07-21 2017-07-28 $8.98 $8.89 Long 10113 -0.97% 19967.62 115474.38
TMF 2017-07-28 2017-09-19 $182.64 $196.80 Long 516 7.75% 23413.40 121474.22
TQQQ 2017-09-19 2017-12-06 $9.34 $10.48 Long 10499 12.11% 26332.96 133864.65
SPXL 2017-12-06 2017-12-19 $40.08 $43.36 Long 2671 8.17% 27263.90 140887.88
TQQQ 2017-12-19 2017-12-22 $11.83 $11.60 Long 9710 -1.97% 26387.07 139754.15
SPXL 2017-12-22 2017-12-26 $42.86 $42.63 Long 2648 -0.54% 27781.39 139247.48
TQQQ 2017-12-26 2017-12-27 $11.42 $11.42 Long 9760 -0.01% 26194.48 139229.99
SPXL 2017-12-27 2017-12-28 $42.75 $42.95 Long 2645 0.47% 26020.88 139092.82
TQQQ 2017-12-28 2018-04-06 $11.52 $11.31 Long 9874 -1.81% 23871.85 137335.35
TBF 2018-04-06 2018-04-23 $20.96 $21.40 Long 5432 2.10% 29806.15 137753.27
TQQQ 2018-04-23 2018-05-04 $12.11 $11.63 Long 9107 -4.01% 25066.58 135886.37
TBF 2018-05-04 2018-05-07 $21.22 $21.25 Long 5214 0.17% 16392.89 136936.71
TQQQ 2018-05-07 2018-09-18 $12.62 $16.09 Long 9466 27.50% 34117.81 170542.46
SPXL 2018-09-18 2018-09-24 $51.09 $52.68 Long 2635 3.10% 31937.44 172860.92
TBF 2018-09-24 2018-09-25 $21.60 $21.66 Long 6527 0.25% 32973.19 172129.08
SPXL 2018-09-25 2018-09-28 $52.79 $51.92 Long 2658 -1.64% 31161.26 171967.84
TQQQ 2018-09-28 2018-10-08 $17.16 $15.51 Long 8146 -9.63% 27989.28 157893.09
TBF 2018-10-08 2018-10-09 $22.30 $22.28 Long 5808 -0.08% 29874.77 158233.43
TQQQ 2018-10-09 2018-10-10 $15.47 $15.31 Long 8244 -1.07% 28003.15 155679.66
TBF 2018-10-10 2018-12-17 $22.27 $21.24 Long 5751 -4.59% 28574.22 151995.81
TMF 2018-12-17 2019-07-01 $166.12 $232.07 Long 732 39.70% 29282.77 195676.54
TQQQ 2019-07-01 2019-07-02 $15.89 $15.61 Long 10646 -1.75% 36970.43 197780.70
TMF 2019-07-02 2019-07-03 $232.44 $237.19 Long 682 2.04% 35385.34 201304.81
TQQQ 2019-07-03 2019-07-05 $15.92 $15.84 Long 10261 -0.50% 38861.55 197589.26
TMF 2019-07-05 2019-12-24 $231.51 $243.70 Long 687 5.26% 37517.98 206064.12
TQQQ 2019-12-24 2020-02-03 $20.92 $23.15 Long 8066 10.66% 45306.75 226708.62
TMF 2020-02-03 2020-02-07 $294.34 $289.67 Long 608 -1.59% 45694.01 221490.78
TQQQ 2020-02-07 2020-02-10 $26.04 $25.80 Long 6748 -0.93% 37296.54 218856.97
TMF 2020-02-10 2020-02-20 $294.81 $300.51 Long 619 1.93% 43419.67 219323.32
TQQQ 2020-02-20 2020-02-21 $28.55 $27.52 Long 6300 -3.61% 33023.22 217581.35
TMF 2020-02-21 2020-06-15 $310.97 $381.89 Long 591 22.80% 70979.14 274255.92
TQQQ 2020-06-15 2020-07-10 $19.74 $28.10 Long 9512 42.35% 47816.62 329997.88
TMF 2020-07-10 2020-07-29 $409.61 $424.04 Long 709 3.52% 68573.63 352976.56
TQQQ 2020-07-29 2020-11-24 $26.70 $35.50 Long 10482 32.94% 78173.09 449230.07
SPXL 2020-11-24 2020-11-25 $62.83 $64.32 Long 5769 2.37% 70667.59 452498.69
TQQQ 2020-11-25 2021-01-12 $36.93 $44.33 Long 10250 20.04% 96792.41 524455.13
SPXL 2021-01-12 2021-01-19 $73.58 $73.17 Long 5821 -0.55% 106660.15 531020.73
TQQQ 2021-01-19 2021-01-22 $44.17 $48.89 Long 9420 10.68% 112175.38 569231.29
SPXL 2021-01-22 2021-01-25 $75.39 $76.26 Long 6035 1.16% 96007.85 570360.88
TQQQ 2021-01-25 2021-03-02 $50.52 $47.49 Long 9431 -5.99% 90637.41 532292.45
SPXL 2021-03-02 2021-07-01 $79.10 $105.10 Long 5730 32.87% 137834.83 695025.96
TQQQ 2021-07-01 2021-07-06 $59.44 $62.05 Long 9338 4.40% 130561.36 713497.38
SPXL 2021-07-06 2021-07-07 $108.69 $108.56 Long 5398 -0.12% 123055.01 709042.20
TQQQ 2021-07-07 2021-07-26 $63.73 $66.22 Long 9313 3.91% 131568.61 746840.87
SPXL 2021-07-26 2021-07-28 $112.44 $112.69 Long 5409 0.22% 151382.83 752545.15
TMF 2021-07-28 2021-08-04 $276.09 $292.82 Long 2136 6.06% 149443.80 773677.26
SPXL 2021-08-04 2021-08-05 $112.70 $113.03 Long 5567 0.30% 161070.01 772973.43
TMF 2021-08-05 2021-10-14 $288.61 $257.11 Long 2140 -10.91% 711289.21 711289.21
TMF 2021-10-15 2021-10-18 $255.01 $255.01 Long 2240 0.00% 711289.21 711289.21
TMF 2021-10-29 2021-11-11 $262.18 $273.27 Long 2138 4.23% 142396.69 726300.29
TQQQ 2021-11-11 2021-11-18 $79.24 $83.58 Long 7479 5.49% 136096.58 776831.75
TMF 2021-11-18 2021-11-19 $259.31 $268.01 Long 2435 3.36% 142079.16 791308.03
TQQQ 2021-11-19 2021-11-22 $85.90 $87.29 Long 7528 1.62% 161343.22 789128.71
TMF 2021-11-22 2022-01-05 $266.77 $247.56 Long 2391 -7.20% 753268.11 753268.11
TBF 2022-01-10 2022-01-11 $15.76 $15.62 Long 39132 -0.90% 747744.86 747744.86
TBF 2022-01-12 2022-01-13 $15.50 $15.57 Long 38775 0.49% 750663.73 750663.73
TBF 2022-01-14 2022-12-14 $15.56 $19.83 Long 39044 27.39% 917090.89 917090.89
TMF 2022-12-16 2022-12-19 $91.35 $89.32 Long 7740 -2.22% 901370.39 901370.39
TBF 2022-12-23 2023-01-17 $20.77 $20.21 Long 35540 -2.68% 147059.85 877566.45
SPXL 2023-01-17 2023-02-17 $68.75 $71.53 Long 10683 4.04% 155255.84 901802.88
TBF 2023-02-17 2023-03-27 $21.19 $20.38 Long 35684 -3.80% 882512.46 882512.46
TBF 2023-03-28 2023-03-29 $20.55 $20.66 Long 35074 0.51% 886191.97 886191.97
TMF 2023-03-31 2023-05-19 $84.06 $73.66 Long 8783 -12.37% 794866.62 794866.62
TBF 2023-05-24 2023-06-20 $21.19 $20.90 Long 30098 -1.40% 179196.17 790636.93
TQQQ 2023-06-20 2023-07-07 $39.69 $39.72 Long 15288 0.08% 141446.87 787023.52
TBF 2023-07-07 2023-12-19 $21.73 $21.87 Long 29680 0.63% 790524.75 790524.75
TMF 2023-12-21 2023-12-27 $66.09 $65.93 Long 9870 -0.24% 156679.32 791294.70
TQQQ 2023-12-27 2024-01-22 $51.17 $55.22 Long 12356 7.91% 175263.74 839806.72
TBF 2024-01-22 2024-01-29 $22.97 $23.14 Long 28891 0.73% 158649.20 861810.80
TQQQ 2024-01-29 2024-02-01 $55.42 $53.10 Long 12364 -4.17% 171116.89 810084.34
TBF 2024-02-01 2024-02-02 $22.34 $22.58 Long 28837 1.11% 822394.19 822394.19
TMF 2024-02-05 2024-02-06 $55.48 $54.73 Long 11381 -1.34% 153760.50 805166.99
TQQQ 2024-02-06 2024-03-20 $57.18 $60.07 Long 11545 5.05% 151076.73 865776.93
SPXL 2024-03-20 2024-03-21 $129.02 $134.67 Long 5396 4.38% 133538.55 863163.55
TQQQ 2024-03-21 2024-03-22 $63.75 $62.27 Long 11674 -2.32% 167531.94 857623.48
SPXL 2024-03-22 2024-03-26 $133.49 $132.87 Long 5191 -0.46% 154400.25 843788.91
TQQQ 2024-03-26 2024-03-28 $62.61 $61.89 Long 11226 -1.15% 155054.64 848659.89
SPXL 2024-03-28 2024-04-22 $134.13 $114.21 Long 5175 -14.85% 144592.14 744390.18

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
3xADM-d 0.82 TBF 2024-04-19 Hold Long -0.28% EndOfDay
momentum  TQQQ  SPXL  TMF  TBF  STIP