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 default
NoOfTrades 122.00
NoOfWins 72.00
NoOfLosses 50.00
SharpRatio 0.92
SortinoRatio 1.17
GrossProfit $727549.62
FirstDate 2010-08-03
LastDate 2023-07-07
FirstEquity $10000.00
FinalEquity $737549.62
OpenEquity $604883.96
LongEquity $727549.62
ShortEquity $0.00
PercentWins 59.02%
AveWin 10.58%
AveLoss -3.04%
AveWinLoss 3.48
Expectancy 5.00%
AveDrawUp 101.90%
AveDrawDown -20.78%
MaxDrawDown -39.29%
Kelly 47.24%
Thorpe 40.54
Rachev 0.84
APR 39.48%
CalmarRatio 1.90

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TMF 2010-08-03 2010-11-08 $9.19 $8.97 Long 878.0 -2.41% 9805.30 9805.30
TMF 2010-11-09 2010-11-15 $8.94 $8.09 Long 885.0 -9.42% 9060.18 9060.18
TBF 2010-11-18 2010-12-07 $41.23 $41.39 Long 178.0 0.39% 1565.28 8827.16
TQQQ 2010-12-07 2011-03-17 $0.75 $0.76 Long 10011.0 1.20% 2052.94 9124.39
SPXL 2011-03-17 2011-03-21 $5.76 $6.00 Long 1237.0 4.09% 2061.96 9493.82
TBF 2011-03-21 2011-04-06 $41.16 $41.63 Long 180.0 1.14% 1679.46 9507.26
SPXL 2011-04-06 2011-04-13 $6.69 $6.40 Long 1178.0 -4.33% 1840.20 9142.88
TBF 2011-04-13 2011-05-03 $42.13 $40.40 Long 175.0 -4.12% 8909.48 8909.48
TMF 2011-05-10 2012-02-08 $8.15 $14.37 Long 879.0 76.33% 2610.67 14555.21
TQQQ 2012-02-08 2012-04-30 $0.95 $1.18 Long 12365.0 24.23% 2980.32 17127.24
TMF 2012-04-30 2012-05-01 $14.84 $14.90 Long 960.0 0.40% 3654.33 17438.49
TQQQ 2012-05-01 2012-05-03 $1.16 $1.19 Long 11735.0 2.14% 3595.71 17770.09
TMF 2012-05-03 2012-10-23 $14.59 $16.67 Long 958.0 14.22% 19565.98 19565.98
TMF 2012-11-09 2012-12-05 $18.19 $18.17 Long 909.0 -0.13% 19545.20 19545.20
TMF 2012-12-11 2012-12-13 $17.68 $16.84 Long 881.0 -4.74% 18806.03 18806.03
TBF 2012-12-21 2012-12-24 $27.40 $27.45 Long 551.0 0.21% 18837.09 18837.09
TBF 2012-12-26 2012-12-28 $27.40 $27.13 Long 555.0 -0.96% 18691.13 18691.13
TBF 2012-12-31 2013-01-25 $27.18 $28.19 Long 557.0 3.70% 3554.14 19344.94
SPXL 2013-01-25 2013-04-22 $7.88 $8.83 Long 1991.0 12.05% 4183.29 21185.43
TMF 2013-04-22 2013-04-30 $17.18 $17.38 Long 987.0 1.13% 3988.72 21458.38
SPXL 2013-04-30 2013-07-31 $9.44 $11.25 Long 1837.0 19.14% 4591.51 24654.46
TQQQ 2013-07-31 2014-04-02 $1.63 $2.68 Long 12330.0 64.54% 7069.91 37765.25
SPXL 2014-04-02 2014-04-10 $15.73 $15.34 Long 1941.0 -2.48% 6963.02 37621.79
TMF 2014-04-10 2014-11-17 $12.39 $16.91 Long 2412.0 36.48% 9244.59 47659.32
TQQQ 2014-11-17 2014-11-18 $3.94 $3.94 Long 9777.0 0.08% 9617.06 47952.24
TMF 2014-11-18 2015-03-27 $16.72 $21.50 Long 2283.0 28.63% 10951.57 59262.12
TQQQ 2015-03-27 2015-05-06 $4.14 $4.42 Long 11535.0 6.67% 61889.80 61889.80
TBF 2015-05-07 2015-06-22 $24.08 $24.62 Long 2090.0 2.22% 12103.80 63008.69
TQQQ 2015-06-22 2015-06-24 $4.80 $4.79 Long 10604.0 -0.14% 12165.17 62728.66
TBF 2015-06-24 2015-08-12 $24.89 $22.95 Long 2040.0 -7.77% 58992.44 58992.44
TMF 2015-08-19 2015-08-28 $18.16 $18.15 Long 2581.0 -0.09% 58950.91 58950.91
TMF 2015-09-09 2015-09-10 $16.72 $17.27 Long 2733.0 3.27% 60446.27 60446.27
TBF 2015-09-17 2015-09-29 $23.99 $23.04 Long 2043.0 -3.95% 58508.26 58508.26
TBF 2015-09-30 2015-10-01 $23.06 $22.88 Long 2057.0 -0.77% 58141.18 58141.18
TMF 2015-10-23 2015-10-27 $18.17 $18.77 Long 2534.0 3.32% 59667.48 59667.48
TMF 2015-10-29 2015-11-09 $18.17 $16.12 Long 2587.0 -11.32% 54344.55 54344.55
TBF 2015-11-17 2015-11-19 $23.76 $23.36 Long 1867.0 -1.70% 53590.54 53590.54
TBF 2015-11-23 2015-12-02 $23.44 $22.95 Long 1856.0 -2.08% 52684.08 52684.08
TMF 2015-12-04 2016-04-27 $16.74 $20.47 Long 2430.0 22.31% 12755.10 62331.06
SPXL 2016-04-27 2016-05-09 $20.21 $19.33 Long 2425.0 -4.32% 11716.43 60022.35
TMF 2016-05-09 2016-07-14 $21.81 $26.48 Long 2197.0 21.42% 10046.65 69605.49
SPXL 2016-07-14 2016-08-04 $22.53 $22.45 Long 2657.0 -0.35% 12698.65 70217.29
TQQQ 2016-08-04 2016-10-31 $4.83 $5.09 Long 11807.0 5.35% 14507.95 72579.69
TBF 2016-10-31 2016-11-15 $20.70 $22.04 Long 2813.0 6.49% 14935.70 77775.63
TQQQ 2016-11-15 2016-11-29 $4.79 $5.19 Long 12853.0 8.26% 16155.18 81928.13
SPXL 2016-11-29 2016-12-28 $23.69 $26.05 Long 2763.0 9.96% 15897.10 86023.68
TQQQ 2016-12-28 2017-01-05 $5.54 $5.41 Long 13043.0 -2.37% 15746.87 86464.02
SPXL 2017-01-05 2017-01-11 $25.93 $25.94 Long 2725.0 0.04% 15878.05 86930.52
TQQQ 2017-01-11 2017-03-28 $5.74 $6.96 Long 12293.0 21.22% 19193.03 102191.35
TBF 2017-03-28 2017-03-31 $21.86 $22.10 Long 3762.0 1.12% 19345.39 102502.37
TQQQ 2017-03-31 2017-04-11 $7.19 $7.11 Long 11546.0 -1.01% 19468.23 101175.33
TBF 2017-04-11 2017-04-12 $21.78 $21.69 Long 3766.0 -0.43% 19999.67 100161.91
TQQQ 2017-04-12 2017-04-17 $7.04 $6.94 Long 11518.0 -1.55% 19523.22 100090.60
TBF 2017-04-17 2017-04-18 $21.48 $21.42 Long 3741.0 -0.26% 18128.30 100193.93
TQQQ 2017-04-18 2017-05-23 $6.98 $8.34 Long 11690.0 19.58% 22489.34 113374.42
TMF 2017-05-23 2017-07-07 $18.55 $18.34 Long 5022.0 -1.11% 19897.06 116488.35
TQQQ 2017-07-07 2017-07-10 $7.84 $8.03 Long 12074.0 2.37% 22215.18 116711.08
TMF 2017-07-10 2017-07-14 $18.40 $18.87 Long 5144.0 2.55% 22899.11 120381.93
TQQQ 2017-07-14 2017-07-17 $8.68 $8.81 Long 11096.0 1.49% 24668.28 121269.78
TMF 2017-07-17 2017-07-19 $18.58 $19.23 Long 5168.0 3.47% 20635.43 125018.05
TQQQ 2017-07-19 2017-07-20 $9.04 $9.20 Long 11434.0 1.70% 22920.35 124959.51
TMF 2017-07-20 2017-07-21 $19.53 $19.62 Long 5267.0 0.47% 26664.66 127364.66
TQQQ 2017-07-21 2017-07-28 $9.05 $8.96 Long 11006.0 -0.97% 21813.19 126695.63
TMF 2017-07-28 2017-09-19 $18.52 $19.95 Long 5589.0 7.75% 25690.96 133284.51
TQQQ 2017-09-19 2017-12-06 $9.42 $10.56 Long 11427.0 12.11% 28857.39 146879.60
SPXL 2017-12-06 2017-12-19 $40.33 $43.62 Long 2914.0 8.17% 29910.00 154588.33
TQQQ 2017-12-19 2017-12-22 $11.93 $11.69 Long 10569.0 -1.97% 28956.52 153344.31
SPXL 2017-12-22 2017-12-26 $43.12 $42.89 Long 2888.0 -0.54% 30482.76 152788.38
TQQQ 2017-12-26 2017-12-27 $11.52 $11.51 Long 10623.0 -0.01% 28733.50 152769.20
SPXL 2017-12-27 2017-12-28 $43.00 $43.21 Long 2885.0 0.47% 28552.01 152618.73
TQQQ 2017-12-28 2018-04-06 $11.62 $11.41 Long 10747.0 -1.81% 26197.76 150690.39
TBF 2018-04-06 2018-04-23 $21.50 $21.95 Long 5811.0 2.10% 32695.33 151148.63
TQQQ 2018-04-23 2018-05-04 $12.21 $11.72 Long 9913.0 -4.01% 27503.49 149100.01
TBF 2018-05-04 2018-05-07 $21.76 $21.80 Long 5578.0 0.17% 17986.41 150252.49
TQQQ 2018-05-07 2018-09-18 $12.73 $16.23 Long 10303.0 27.50% 37430.16 187126.30
SPXL 2018-09-18 2018-09-28 $51.40 $52.23 Long 2874.0 1.62% 34176.14 188635.65
TQQQ 2018-09-28 2018-10-10 $17.30 $15.43 Long 8864.0 -10.83% 30680.96 170534.62
TBF 2018-10-10 2018-12-17 $22.84 $21.79 Long 6142.0 -4.59% 31195.46 166501.08
TMF 2018-12-17 2019-07-01 $16.84 $23.53 Long 7915.0 39.70% 32072.10 214389.38
TQQQ 2019-07-01 2019-07-02 $16.02 $15.74 Long 11571.0 -1.75% 40268.91 216698.17
TMF 2019-07-02 2019-07-03 $23.57 $24.05 Long 7380.0 2.04% 38772.10 220560.75
TQQQ 2019-07-03 2019-07-05 $16.05 $15.97 Long 11152.0 -0.50% 42464.77 216489.59
TMF 2019-07-05 2019-12-24 $23.47 $24.71 Long 7429.0 5.26% 41102.17 225781.35
TQQQ 2019-12-24 2020-02-03 $21.09 $23.34 Long 8767.0 10.66% 49570.65 248402.81
TMF 2020-02-03 2020-02-07 $29.84 $29.37 Long 6573.0 -1.59% 50045.44 242683.59
TQQQ 2020-02-07 2020-02-10 $26.25 $26.01 Long 7335.0 -0.93% 40758.92 239797.03
TMF 2020-02-10 2020-02-19 $29.89 $29.85 Long 6693.0 -0.13% 37635.93 242729.43
TQQQ 2020-02-19 2020-02-21 $28.67 $27.75 Long 7079.0 -3.21% 35506.61 234878.64
TMF 2020-02-21 2020-06-12 $31.53 $37.63 Long 6297.0 19.34% 56967.74 263923.66
TQQQ 2020-06-12 2020-07-10 $21.67 $28.32 Long 9945.0 30.73% 47653.22 330400.79
TMF 2020-07-10 2020-07-29 $41.53 $42.99 Long 7007.0 3.52% 68682.84 353421.86
TQQQ 2020-07-29 2020-11-24 $26.92 $35.78 Long 10410.0 32.94% 78305.59 449788.85
SPXL 2020-11-24 2020-11-25 $63.21 $64.71 Long 5741.0 2.37% 70726.64 453061.80
TQQQ 2020-11-25 2021-01-12 $37.23 $44.69 Long 10181.0 20.04% 96940.62 525113.29
SPXL 2021-01-12 2021-01-19 $74.02 $73.62 Long 5793.0 -0.55% 106793.17 531687.26
TQQQ 2021-01-19 2021-01-22 $44.53 $49.28 Long 9356.0 10.68% 112342.57 569945.73
SPXL 2021-01-22 2021-01-25 $75.85 $76.72 Long 6006.0 1.16% 96123.34 571076.52
TQQQ 2021-01-25 2021-03-02 $50.93 $47.87 Long 9367.0 -5.99% 90813.92 532961.66
SPXL 2021-03-02 2021-07-01 $79.57 $105.73 Long 5702.0 32.87% 138018.76 695876.90
TQQQ 2021-07-01 2021-07-06 $59.92 $62.55 Long 9274.0 4.40% 130743.09 714370.46
SPXL 2021-07-06 2021-07-07 $109.34 $109.21 Long 5372.0 -0.12% 123168.02 709909.25
TQQQ 2021-07-07 2021-07-26 $64.25 $66.76 Long 9250.0 3.91% 131634.78 747757.22
SPXL 2021-07-26 2021-07-28 $113.12 $113.37 Long 5384.0 0.22% 151414.13 753470.59
TMF 2021-07-28 2021-08-02 $27.99 $28.52 Long 21099.0 1.87% 134100.19 741795.07
SPXL 2021-08-02 2021-08-05 $113.86 $113.72 Long 5436.0 -0.13% 155638.51 746723.43
TMF 2021-08-05 2021-10-14 $29.26 $26.07 Long 20389.0 -10.91% 687137.86 687137.86
TMF 2021-10-15 2021-10-18 $25.85 $25.85 Long 21351.0 0.00% 687137.86 687137.86
TMF 2021-10-29 2021-11-11 $26.58 $27.71 Long 20373.0 4.23% 137560.14 701641.01
TQQQ 2021-11-11 2021-11-18 $79.88 $84.26 Long 7167.0 5.49% 131379.45 750458.39
TMF 2021-11-18 2021-11-19 $26.29 $27.17 Long 23205.0 3.36% 137252.74 764445.01
TQQQ 2021-11-19 2021-11-22 $86.59 $88.00 Long 7214.0 1.62% 155735.84 762337.65
TMF 2021-11-22 2022-01-06 $27.05 $24.30 Long 22787.0 -10.14% 709572.01 709572.01
TBF 2022-01-10 2022-01-11 $16.17 $16.02 Long 35941.0 -0.90% 704369.08 704369.08
TBF 2022-01-14 2022-12-14 $15.96 $20.33 Long 35720.0 27.39% 860531.92 860531.92
TMF 2022-12-16 2022-12-19 $9.26 $9.06 Long 71635.0 -2.22% 845780.41 845780.41
TBF 2022-12-23 2023-01-17 $21.30 $20.73 Long 32514.0 -2.68% 137994.01 823444.77
SPXL 2023-01-17 2023-02-17 $69.17 $71.96 Long 9964.0 4.04% 145683.38 846186.33
TBF 2023-02-17 2023-03-27 $21.73 $20.90 Long 32646.0 -3.80% 828085.69 828085.69
TBF 2023-03-28 2023-03-29 $21.08 $21.19 Long 32088.0 0.51% 831538.26 831538.26
TMF 2023-03-31 2023-05-22 $8.52 $7.46 Long 81287.0 -12.43% 745443.05 745443.05
TBF 2023-05-24 2023-06-20 $21.73 $21.43 Long 27521.0 -1.40% 168059.01 741476.24
TQQQ 2023-06-20 2023-07-07 $40.01 $40.04 Long 14222.0 0.08% 132665.66 738087.52

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
3xADM-d 0.82 TBF 2023-07-06 Hold Long 7.41% EOD
momentum  TQQQ  SPXL  TMF  TBF  STIP