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 | $1089985.49 |
| FirstDate | 2010-08-30 |
| LastDate | 2022-01-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $1099985.49 |
| OpenEquity | $0.00 |
| LongEquity | $1089985.49 |
| ShortEquity | $0.00 |
| PercentWins | 75.61% |
| AveWin | 23.52% |
| AveLoss | -7.12% |
| AveWinLoss | 3.30 |
| Expectancy | 16.05% |
| AveDrawUp | 107.17% |
| AveDrawDown | -21.28% |
| MaxDrawDown | -39.41% |
| Kelly | 68.22% |
| 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 | $11.86 | $11.15 | Long | 720.0 | -6.00% | 1376.19 | 9487.90 |
| TQQQ | 2010-09-30 | 2011-03-31 | $0.57 | $0.88 | Long | 14282.0 | 55.74% | 2034.90 | 14009.08 |
| SPXL | 2011-03-31 | 2011-07-29 | $6.56 | $6.01 | Long | 1824.0 | -8.52% | 1890.46 | 12989.45 |
| TMF | 2011-07-29 | 2011-10-27 | $9.30 | $12.54 | Long | 1194.0 | 34.89% | 16862.04 | 16862.04 |
| TMF | 2011-10-28 | 2012-01-31 | $13.04 | $16.49 | Long | 1105.0 | 26.48% | 2998.54 | 20676.95 |
| TQQQ | 2012-01-31 | 2012-05-18 | $0.90 | $0.89 | Long | 19722.0 | -0.20% | 20642.10 | 20642.10 |
| TQQQ | 2012-05-30 | 2012-09-28 | $0.96 | $1.26 | Long | 18378.0 | 31.26% | 3795.07 | 26158.15 |
| SPXL | 2012-09-28 | 2013-07-31 | $7.06 | $11.33 | Long | 3166.0 | 60.41% | 5753.32 | 39667.25 |
| TQQQ | 2013-07-31 | 2014-03-31 | $1.66 | $2.55 | Long | 20459.0 | 54.11% | 8414.00 | 58016.92 |
| SPXL | 2014-03-31 | 2014-05-30 | $15.53 | $16.80 | Long | 3194.0 | 8.17% | 9011.03 | 62067.98 |
| TMF | 2014-05-30 | 2014-06-30 | $14.63 | $14.48 | Long | 3627.0 | -1.00% | 8924.40 | 61538.26 |
| TQQQ | 2014-06-30 | 2014-07-31 | $3.11 | $3.20 | Long | 16922.0 | 3.05% | 9166.02 | 63142.42 |
| TMF | 2014-07-31 | 2014-08-29 | $14.72 | $16.84 | Long | 3668.0 | 14.42% | 10287.17 | 70927.39 |
| TQQQ | 2014-08-29 | 2014-09-30 | $3.70 | $3.60 | Long | 16391.0 | -2.78% | 10046.43 | 69244.09 |
| TMF | 2014-09-30 | 2014-10-31 | $15.72 | $16.99 | Long | 3766.0 | 8.06% | 10733.62 | 74016.80 |
| TQQQ | 2014-10-31 | 2015-07-31 | $3.83 | $5.01 | Long | 16508.0 | 30.81% | 93511.60 | 93511.60 |
| TMF | 2015-09-30 | 2016-04-29 | $18.74 | $21.70 | Long | 4266.0 | 15.81% | 15394.91 | 106153.27 |
| SPXL | 2016-04-29 | 2016-06-30 | $19.79 | $20.66 | Long | 4587.0 | 4.42% | 15986.77 | 110161.11 |
| TMF | 2016-06-30 | 2016-07-29 | $26.80 | $28.43 | Long | 3514.0 | 6.07% | 16804.20 | 115880.94 |
| TQQQ | 2016-07-29 | 2016-11-30 | $4.91 | $5.16 | Long | 20187.0 | 5.08% | 17538.72 | 120918.31 |
| SPXL | 2016-11-30 | 2016-12-30 | $23.88 | $25.31 | Long | 4330.0 | 6.00% | 18436.72 | 127122.10 |
| TQQQ | 2016-12-30 | 2017-08-31 | $5.29 | $9.60 | Long | 20540.0 | 81.51% | 31290.98 | 215715.66 |
| TMF | 2017-08-31 | 2017-09-29 | $21.23 | $19.68 | Long | 8688.0 | -7.29% | 29331.40 | 202279.12 |
| TQQQ | 2017-09-29 | 2017-11-30 | $9.50 | $11.40 | Long | 18199.0 | 20.00% | 34358.09 | 236868.67 |
| SPXL | 2017-11-30 | 2017-12-29 | $41.79 | $43.29 | Long | 4846.0 | 3.58% | 35405.67 | 244126.00 |
| TQQQ | 2017-12-29 | 2018-10-24 | $11.54 | $12.21 | Long | 18089.0 | 5.80% | 256223.34 | 256223.34 |
| TQQQ | 2018-10-30 | 2018-10-31 | $12.20 | $13.03 | Long | 17949.0 | 6.75% | 271003.77 | 271003.77 |
| TMF | 2018-11-30 | 2019-06-28 | $15.79 | $24.08 | Long | 14678.0 | 52.54% | 56963.34 | 392745.48 |
| TQQQ | 2019-06-28 | 2019-07-31 | $15.44 | $16.39 | Long | 21752.0 | 6.20% | 59978.75 | 413565.39 |
| TMF | 2019-07-31 | 2019-11-29 | $24.16 | $27.88 | Long | 14637.0 | 15.43% | 67893.47 | 468127.14 |
| TQQQ | 2019-11-29 | 2020-01-31 | $19.43 | $23.41 | Long | 20601.0 | 20.50% | 79794.34 | 550161.75 |
| TMF | 2020-01-31 | 2020-03-17 | $31.05 | $34.35 | Long | 15147.0 | 10.63% | 600153.91 | 600153.91 |
| TMF | 2020-03-30 | 2020-06-30 | $41.88 | $39.57 | Long | 12251.0 | -5.53% | 82922.05 | 571781.20 |
| TQQQ | 2020-06-30 | 2020-09-08 | $24.41 | $30.40 | Long | 20025.0 | 24.55% | 691780.74 | 691780.74 |
| TQQQ | 2020-09-29 | 2021-02-26 | $32.09 | $44.61 | Long | 18431.0 | 39.02% | 133803.22 | 922537.67 |
| SPXL | 2021-02-26 | 2021-08-31 | $74.83 | $123.82 | Long | 10541.0 | 65.48% | 208731.28 | 1439033.09 |
| TQQQ | 2021-08-31 | 2021-09-30 | $74.74 | $62.28 | Long | 16460.0 | -16.67% | 178932.47 | 1233941.64 |
| TMF | 2021-09-30 | 2021-10-29 | $26.10 | $27.95 | Long | 40415.0 | 7.08% | 189753.27 | 1308611.22 |
| TQQQ | 2021-10-29 | 2021-11-30 | $77.58 | $81.74 | Long | 14422.0 | 5.37% | 198484.42 | 1368678.81 |
| TMF | 2021-11-30 | 2022-01-18 | $30.02 | $23.52 | Long | 38983.0 | -21.64% | 1115483.83 | 1115483.83 |
| TMF | 2022-01-28 | 2022-01-31 | $25.06 | $24.66 | Long | 38053.0 | -1.63% | 1099985.49 | 1099985.49 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| 3xADM | 0.90 | 0.00 | Out | EOM |