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 |