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 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
momentum  TQQQ  SPXL  TMF