Strategy - 3xADM


Leveraged Accelerating Dual Momentum

Description

This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of leveraged funds gooses performance and volatility.

This strategy uses the following risk-on assets: TQQQ, SPXL. with TMF 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

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 41.00
NoOfWins 31.00
NoOfLosses 10.00
SharpRatio 1.04
SortinoRatio 1.30
GrossProfit $1089963.38
FirstDate 2010-08-30
LastDate 2022-01-31
FirstEquity $10000.00
FinalEquity $1099963.38
OpenEquity $0.00
LongEquity $1089963.38
ShortEquity $0.00
PercentWins 75.61%
AveWin $51914.05
AveLoss $-51937.22
AveWinLoss 1.00
Expectancy 9.23%
AveDrawUp 107.17%
AveDrawDown -21.28%
MaxDrawDown -39.41%
Kelly 51.21%
Thrope 41.77
APR 50.91%
CalmarRatio 2.39

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TMF 2010-08-30 2010-09-30 $11.93 $11.22 Long 716.0 -6.00% 1376.07 9487.78
TQQQ 2010-09-30 2011-03-31 $0.57 $0.88 Long 14282.0 55.74% 2033.52 14008.96
SPXL 2011-03-31 2011-07-29 $6.57 $6.01 Long 1822.0 -8.52% 1891.04 12989.23
TMF 2011-07-29 2011-10-27 $9.35 $12.61 Long 1187.0 34.89% 16861.53 16861.53
TMF 2011-10-28 2012-01-31 $13.11 $16.58 Long 1099.0 26.48% 2998.52 20677.82
TQQQ 2012-01-31 2012-05-18 $0.90 $0.89 Long 19723.0 -0.20% 20642.97 20642.97
TQQQ 2012-05-30 2012-09-28 $0.96 $1.26 Long 18379.0 31.26% 3797.62 26159.32
SPXL 2012-09-28 2013-07-31 $7.07 $11.34 Long 3162.0 60.41% 5752.00 39667.59
TQQQ 2013-07-31 2014-03-31 $1.66 $2.55 Long 20460.0 54.11% 8417.75 58018.16
SPXL 2014-03-31 2014-05-30 $15.55 $16.82 Long 3190.0 8.17% 9012.05 62069.01
TMF 2014-05-30 2014-06-30 $14.71 $14.57 Long 3606.0 -1.00% 8925.43 61539.29
TQQQ 2014-06-30 2014-07-31 $3.11 $3.20 Long 16922.0 3.05% 9163.52 63143.45
TMF 2014-07-31 2014-08-29 $14.80 $16.94 Long 3647.0 14.42% 10285.01 70928.93
TQQQ 2014-08-29 2014-09-30 $3.70 $3.60 Long 16392.0 -2.78% 10050.93 69245.52
TMF 2014-09-30 2014-10-31 $15.81 $17.09 Long 3744.0 8.06% 10734.80 74017.99
TQQQ 2014-10-31 2015-07-31 $3.83 $5.01 Long 16508.0 30.81% 93512.78 93512.78
TMF 2015-09-30 2016-04-29 $18.85 $21.83 Long 4241.0 15.81% 15404.86 106153.56
SPXL 2016-04-29 2016-06-30 $19.81 $20.68 Long 4581.0 4.42% 15977.30 110160.99
TMF 2016-06-30 2016-07-29 $26.96 $28.59 Long 3494.0 6.07% 16804.63 115881.38
TQQQ 2016-07-29 2016-11-30 $4.91 $5.16 Long 20187.0 5.08% 17534.28 120918.74
SPXL 2016-11-30 2016-12-30 $23.90 $25.34 Long 4325.0 6.00% 18437.45 127122.83
TQQQ 2016-12-30 2017-08-31 $5.29 $9.60 Long 20540.0 81.51% 31285.19 215716.38
TMF 2017-08-31 2017-09-29 $21.35 $19.80 Long 8638.0 -7.29% 29331.65 202279.37
TQQQ 2017-09-29 2017-11-30 $9.50 $11.40 Long 18199.0 20.00% 34365.72 236868.92
SPXL 2017-11-30 2017-12-29 $41.84 $43.34 Long 4840.0 3.58% 35405.66 244125.98
TQQQ 2017-12-29 2018-10-24 $11.54 $12.21 Long 18089.0 5.80% 256223.33 256223.33
TQQQ 2018-10-30 2018-10-31 $12.20 $13.03 Long 17949.0 6.75% 271003.76 271003.76
TMF 2018-11-30 2019-06-28 $15.88 $24.22 Long 14593.0 52.54% 56963.23 392745.38
TQQQ 2019-06-28 2019-07-31 $15.44 $16.39 Long 21752.0 6.20% 59984.70 413565.28
TMF 2019-07-31 2019-11-29 $24.30 $28.05 Long 14552.0 15.43% 67892.43 468126.10
TQQQ 2019-11-29 2020-01-31 $19.43 $23.41 Long 20601.0 20.50% 79802.55 550160.70
TMF 2020-01-31 2020-03-17 $31.23 $34.55 Long 15059.0 10.63% 600151.89 600151.89
TMF 2020-03-30 2020-06-30 $42.13 $39.80 Long 12180.0 -5.53% 82920.18 571779.33
TQQQ 2020-06-30 2020-09-08 $24.41 $30.40 Long 20025.0 24.55% 691778.86 691778.86
TQQQ 2020-09-29 2021-02-26 $32.09 $44.61 Long 18431.0 39.02% 133826.24 922535.79
SPXL 2021-02-26 2021-08-31 $74.92 $123.97 Long 10528.0 65.48% 208713.09 1439014.90
TQQQ 2021-08-31 2021-09-30 $74.74 $62.28 Long 16460.0 -16.67% 178940.29 1233923.45
TMF 2021-09-30 2021-10-29 $26.26 $28.11 Long 40180.0 7.08% 189810.82 1308591.19
TQQQ 2021-10-29 2021-11-30 $77.58 $81.74 Long 14421.0 5.37% 198468.73 1368654.61
TMF 2021-11-30 2022-01-18 $30.19 $23.66 Long 38757.0 -21.64% 1115461.45 1115461.45
TMF 2022-01-28 2022-01-31 $25.21 $24.80 Long 37832.0 -1.63% 1099963.38 1099963.38

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
3xADM 0.90 0.00 Out EOM
momentum  TQQQ  SPXL  TMF