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

MetricMeasure
AccountNamedefault
NoOfTrades46.00
NoOfWins32.00
NoOfLosses14.00
SharpRatio0.97
SortinoRatio1.21
GrossProfit$1026292.83
FirstDate2010-08-30
LastDate2023-03-31
FirstEquity$10000.00
FinalEquity$1036292.83
OpenEquity$886028.64
LongEquity$1026292.83
ShortEquity$0.00
PercentWins69.57%
AveWin23.18%
AveLoss-6.59%
AveWinLoss3.52
Expectancy14.12%
AveDrawUp105.99%
AveDrawDown-22.21%
MaxDrawDown-39.41%
Kelly60.92%
Thorpe40.68
Rachev0.84
APR44.60%
CalmarRatio2.01

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
TMF2010-08-302010-09-30$11.75$11.04Long727.0-6.00%1376.059487.80
TQQQ2010-09-302011-03-31$0.56$0.87Long14449.055.74%2032.8114009.03
SPXL2011-03-312011-07-29$6.53$5.97Long1835.0-8.52%1884.5812989.23
TMF2011-07-292011-10-27$9.21$12.42Long1206.034.89%16863.7816863.78
TMF2011-10-282012-01-31$12.91$16.33Long1116.026.48%2998.7420680.28
TQQQ2012-01-312012-05-18$0.89$0.88Long19956.0-0.20%20645.4220645.42
TQQQ2012-05-302012-09-28$0.95$1.25Long18596.031.26%3796.1926162.42
SPXL2012-09-282013-07-31$7.02$11.26Long3185.060.41%5753.1039673.43
TQQQ2013-07-312014-03-31$1.64$2.53Long20702.054.11%8419.2658026.58
SPXL2014-03-312014-05-30$15.44$16.70Long3213.08.17%9015.0762077.99
TMF2014-05-302014-06-30$14.49$14.35Long3662.0-1.00%8927.4561548.22
TQQQ2014-06-302014-07-31$3.07$3.17Long17122.03.05%9161.2963152.58
TMF2014-07-312014-08-29$14.58$16.68Long3704.014.42%10286.8470939.71
TQQQ2014-08-292014-09-30$3.66$3.56Long16586.0-2.78%10057.0369256.04
TMF2014-09-302014-10-31$15.57$16.83Long3802.08.06%10737.7874028.87
TQQQ2014-10-312015-07-31$3.79$4.96Long16703.030.81%13581.5293526.10
TBF2015-07-312015-12-31$24.01$23.75Long3329.0-1.12%13441.7092631.08
TMF2015-12-312016-04-29$17.32$21.50Long4572.024.13%16216.57111737.66
SPXL2016-04-292016-06-30$19.67$20.54Long4856.04.42%16830.79115955.82
TMF2016-06-302016-07-29$26.55$28.16Long3734.06.07%17688.91121976.34
TQQQ2016-07-292016-11-30$4.85$5.10Long21497.05.08%18472.30127278.64
SPXL2016-11-302016-12-30$23.74$25.16Long4584.06.00%19406.20133808.09
TQQQ2016-12-302017-08-31$5.23$9.49Long21873.081.51%32940.12227061.42
TMF2017-08-312017-09-29$21.03$19.50Long9232.0-7.29%30874.87212918.42
TQQQ2017-09-292017-11-30$9.39$11.27Long19380.020.00%36155.69249327.12
SPXL2017-11-302017-12-29$41.55$43.03Long5131.03.58%37267.39256966.50
TQQQ2017-12-292018-10-24$11.41$12.07Long19263.05.80%269700.18269700.18
TQQQ2018-10-302018-10-31$12.06$12.88Long19114.06.75%41367.59285258.13
TBF2018-10-312018-12-31$23.28$21.68Long10477.0-6.86%38952.72268539.38
TMF2018-12-312019-06-28$18.44$23.85Long12450.029.35%48716.92335912.90
TQQQ2019-06-282019-07-31$15.26$16.20Long18822.06.20%51307.36353720.26
TMF2019-07-312019-11-29$23.93$27.62Long12638.015.43%58064.52400385.43
TQQQ2019-11-292020-01-31$19.20$23.14Long17826.020.50%68237.51470549.83
TMF2020-01-312020-03-17$30.76$34.03Long13079.010.63%513308.87513308.87
TMF2020-03-302020-06-30$41.49$39.19Long10578.0-5.53%70933.84489042.15
TQQQ2020-06-302020-09-08$24.13$30.05Long17327.024.55%591674.58591674.58
TQQQ2020-09-292021-02-26$31.72$44.09Long15948.039.02%114473.76789037.82
SPXL2021-02-262021-08-31$74.39$123.10Long9068.065.48%178474.821230769.82
TQQQ2021-08-312021-09-30$73.88$61.57Long14243.0-16.67%153043.671055352.12
TMF2021-09-302021-10-29$25.86$27.69Long34895.07.08%162353.631119214.16
TQQQ2021-10-292021-11-30$76.68$80.80Long12478.05.37%169750.451170584.66
TMF2021-11-302022-01-18$29.73$23.30Long33659.0-21.64%954034.13954034.13
TMF2022-01-282022-01-31$24.83$24.42Long32856.0-1.63%136420.11940778.87
TBF2022-01-312023-01-31$16.40$20.92Long49052.027.56%168579.751162428.53
SPXL2023-01-312023-02-28$73.17$66.87Long13583.0-8.60%156164.941076912.88
TBF2023-02-282023-03-31$22.11$21.13Long41653.0-4.41%150264.191036292.83

Signals

StrategyRatioSizeTickerDateStateTypeProfitTimeFrame
3xADM0.900.85TMF2023-03-31HoldLong0.00%EOM