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 | 31.00 |
| NoOfWins | 26.00 |
| NoOfLosses | 5.00 |
| SharpRatio | 1.16 |
| SortinoRatio | 1.47 |
| GrossProfit | $2069072.62 |
| FirstDate | 2010-08-31 |
| LastDate | 2021-08-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $2079072.62 |
| OpenEquity | $1777585.59 |
| LongEquity | $2069072.62 |
| ShortEquity | $0.00 |
| PercentWins | 83.87% |
| AveWin | $80309.07 |
| AveLoss | $-3792.66 |
| AveWinLoss | 21.17 |
| Expectancy | 27.03% |
| AveDrawUp | 109.55% |
| AveDrawDown | -21.42% |
| MaxDrawDown | -39.65% |
| Kelly | 83.11% |
| Thrope | 44.33 |
| APR | 62.44% |
| CalmarRatio | 2.92 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| TMF | 2010-08-31 | 2010-09-30 | $12.34 | $11.23 | Long | 692.0 | -9.02% | 1339.18 | 9229.39 |
| TQQQ | 2010-09-30 | 2011-03-31 | $1.14 | $1.77 | Long | 6946.0 | 55.74% | 1976.84 | 13627.11 |
| SPXL | 2011-03-31 | 2011-07-29 | $6.58 | $6.02 | Long | 1771.0 | -8.52% | 1833.78 | 12635.06 |
| TMF | 2011-07-29 | 2012-01-31 | $9.36 | $16.60 | Long | 1154.0 | 77.38% | 3045.77 | 20993.10 |
| TQQQ | 2012-01-31 | 2012-09-28 | $1.79 | $2.52 | Long | 10011.0 | 40.61% | 4103.50 | 28282.32 |
| SPXL | 2012-09-28 | 2013-07-31 | $7.08 | $11.35 | Long | 3416.0 | 60.41% | 6220.96 | 42888.28 |
| TQQQ | 2013-07-31 | 2014-03-31 | $3.32 | $5.11 | Long | 11060.0 | 54.11% | 9100.61 | 62727.71 |
| SPXL | 2014-03-31 | 2014-05-30 | $15.56 | $16.83 | Long | 3446.0 | 8.17% | 9736.42 | 67107.41 |
| TMF | 2014-05-30 | 2014-06-30 | $14.73 | $14.58 | Long | 3895.0 | -1.00% | 9648.68 | 66534.63 |
| TQQQ | 2014-06-30 | 2014-07-31 | $6.22 | $6.41 | Long | 9148.0 | 3.05% | 9904.28 | 68269.04 |
| TMF | 2014-07-31 | 2014-08-29 | $14.82 | $16.95 | Long | 3939.0 | 14.42% | 11122.50 | 76686.95 |
| TQQQ | 2014-08-29 | 2014-09-30 | $7.40 | $7.19 | Long | 8861.0 | -2.78% | 10860.23 | 74866.94 |
| TMF | 2014-09-30 | 2014-10-31 | $15.83 | $17.10 | Long | 4044.0 | 8.06% | 11607.27 | 80027.38 |
| TQQQ | 2014-10-31 | 2015-07-31 | $7.67 | $10.03 | Long | 8924.0 | 30.81% | 14662.10 | 101104.64 |
| TMF | 2015-07-31 | 2016-04-29 | $18.46 | $21.85 | Long | 4682.0 | 18.37% | 16978.20 | 116985.01 |
| SPXL | 2016-04-29 | 2016-06-30 | $19.83 | $20.70 | Long | 5044.0 | 4.42% | 17617.29 | 121401.26 |
| TMF | 2016-06-30 | 2016-07-29 | $26.98 | $28.62 | Long | 3846.0 | 6.07% | 18522.46 | 127704.75 |
| TQQQ | 2016-07-29 | 2016-11-30 | $9.82 | $10.31 | Long | 11123.0 | 5.08% | 19327.28 | 133255.92 |
| SPXL | 2016-11-30 | 2016-12-30 | $23.92 | $25.36 | Long | 4762.0 | 6.00% | 20316.53 | 140092.76 |
| TQQQ | 2016-12-30 | 2017-08-31 | $10.58 | $19.21 | Long | 11318.0 | 81.51% | 34479.86 | 237726.91 |
| TMF | 2017-08-31 | 2017-09-29 | $21.37 | $19.82 | Long | 9509.0 | -7.29% | 32323.84 | 222919.04 |
| TQQQ | 2017-09-29 | 2017-11-30 | $19.01 | $22.81 | Long | 10028.0 | 20.00% | 37883.08 | 261038.08 |
| SPXL | 2017-11-30 | 2017-12-29 | $41.88 | $43.38 | Long | 5329.0 | 3.58% | 39026.17 | 269035.24 |
| TQQQ | 2017-12-29 | 2018-10-31 | $23.08 | $26.06 | Long | 9967.0 | 12.91% | 43317.30 | 298731.74 |
| TMF | 2018-10-31 | 2019-06-28 | $15.17 | $24.25 | Long | 16834.0 | 59.80% | 65492.18 | 451475.19 |
| TQQQ | 2019-06-28 | 2019-07-31 | $30.87 | $32.79 | Long | 12502.0 | 6.20% | 68954.70 | 475407.77 |
| TMF | 2019-07-31 | 2019-11-29 | $24.32 | $28.08 | Long | 16710.0 | 15.43% | 78036.03 | 538127.32 |
| TQQQ | 2019-11-29 | 2020-01-31 | $38.86 | $46.82 | Long | 11841.0 | 20.50% | 91712.36 | 632430.73 |
| TMF | 2020-01-31 | 2020-06-30 | $31.27 | $39.84 | Long | 17293.0 | 27.41% | 113213.83 | 780650.49 |
| TQQQ | 2020-06-30 | 2021-02-26 | $48.82 | $89.22 | Long | 13670.0 | 82.73% | 193304.78 | 1332851.23 |
| SPXL | 2021-02-26 | 2021-08-31 | $74.98 | $124.08 | Long | 15198.0 | 65.48% | 301487.03 | 2079072.62 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| 3xADM | 0.90 | 0.85 | TQQQ | 2021-08-31 | Hold | Long | -1.36% | EOM |