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 boosts 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 49.00
NoOfWins 34.00
NoOfLosses 15.00
SharpRatio 0.93
SortinoRatio 1.16
GrossProfit $1191243.74
FirstDate 2010-08-30
LastDate 2023-08-31
FirstEquity $10000.00
FinalEquity $1201243.74
OpenEquity $1084116.27
LongEquity $1191243.74
ShortEquity $0.00
PercentWins 69.39%
AveWin 21.94%
AveLoss -6.87%
AveWinLoss 3.19
Expectancy 13.12%
AveDrawUp 111.17%
AveDrawDown -23.46%
MaxDrawDown -40.88%
Kelly 59.80%
Thorpe 37.06
Rachev 0.85
APR 44.53%
CalmarRatio 1.90

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TMF 2010-08-30 2010-09-30 $11.58 $10.88 Long 779.0 -6.00% 922.50 9459.26
TQQQ 2010-09-30 2011-03-31 $0.56 $0.87 Long 15312.0 55.74% 1388.27 14217.36
SPXL 2011-03-31 2011-07-29 $6.49 $5.94 Long 1976.0 -8.52% 1285.86 13124.93
TMF 2011-07-29 2011-10-27 $9.07 $12.24 Long 1305.0 34.89% 17255.74 17255.74
TMF 2011-10-28 2012-01-31 $12.72 $16.09 Long 1224.0 26.48% 2084.66 21379.86
TQQQ 2012-01-31 2012-05-18 $0.88 $0.88 Long 21929.0 -0.20% 21341.84 21341.84
TQQQ 2012-05-30 2012-09-28 $0.94 $1.24 Long 20433.0 31.26% 2674.50 27361.89
SPXL 2012-09-28 2013-07-31 $6.99 $11.21 Long 3534.0 60.41% 4122.89 42275.05
TQQQ 2013-07-31 2014-03-31 $1.63 $2.51 Long 23447.0 54.11% 6136.02 62917.89
SPXL 2014-03-31 2014-05-30 $15.36 $16.61 Long 3697.0 8.17% 6594.49 67555.24
TMF 2014-05-30 2014-06-30 $14.28 $14.13 Long 4270.0 -1.00% 6528.93 66946.62
TQQQ 2014-06-30 2014-07-31 $3.05 $3.15 Long 19796.0 3.05% 6717.95 68788.72
TMF 2014-07-31 2014-08-29 $14.36 $16.43 Long 4322.0 14.42% 7582.95 77741.13
TQQQ 2014-08-29 2014-09-30 $3.63 $3.53 Long 19319.0 -2.78% 7403.70 75793.60
TMF 2014-09-30 2014-10-31 $15.34 $16.58 Long 4458.0 8.06% 7929.28 81307.43
TQQQ 2014-10-31 2015-07-31 $3.76 $4.92 Long 19500.0 30.81% 10140.36 103912.05
TBF 2015-07-31 2015-12-31 $23.49 $23.23 Long 3992.0 -1.12% 10044.83 102862.22
TMF 2015-12-31 2016-04-29 $17.07 $21.18 Long 5439.0 24.13% 12212.79 125256.93
SPXL 2016-04-29 2016-06-30 $19.57 $20.43 Long 5777.0 4.42% 12707.30 130248.91
TMF 2016-06-30 2016-07-29 $26.16 $27.74 Long 4494.0 6.07% 13400.12 137387.99
TQQQ 2016-07-29 2016-11-30 $4.82 $5.06 Long 25736.0 5.08% 14014.25 143691.94
SPXL 2016-11-30 2016-12-30 $23.61 $25.03 Long 5492.0 6.00% 14770.80 151473.87
TQQQ 2016-12-30 2017-08-31 $5.19 $9.43 Long 26319.0 81.51% 25633.88 262905.73
TMF 2017-08-31 2017-09-29 $20.72 $19.21 Long 11453.0 -7.29% 23948.98 245618.94
TQQQ 2017-09-29 2017-11-30 $9.33 $11.19 Long 23763.0 20.00% 28300.70 289952.93
SPXL 2017-11-30 2017-12-29 $41.33 $42.81 Long 6331.0 3.58% 29185.88 299329.70
TQQQ 2017-12-29 2018-10-24 $11.33 $11.98 Long 23851.0 5.80% 314987.10 314987.10
TQQQ 2018-10-30 2018-10-31 $11.98 $12.79 Long 23728.0 6.75% 32600.43 334166.98
TBF 2018-10-31 2018-12-31 $22.77 $21.21 Long 13244.0 -6.86% 30569.57 313494.53
TMF 2018-12-31 2019-06-28 $18.17 $23.50 Long 15572.0 29.35% 38668.87 396520.46
TQQQ 2019-06-28 2019-07-31 $15.15 $16.09 Long 23616.0 6.20% 40831.45 418708.78
TMF 2019-07-31 2019-11-29 $23.58 $27.21 Long 16028.0 15.43% 46519.89 477018.82
TQQQ 2019-11-29 2020-01-31 $19.07 $22.98 Long 22574.0 20.50% 55134.77 565256.77
TMF 2020-01-31 2020-03-17 $30.31 $33.53 Long 16832.0 10.63% 619474.18 619474.18
TMF 2020-03-30 2020-06-30 $40.87 $38.61 Long 13677.0 -5.53% 57386.71 588560.70
TQQQ 2020-06-30 2020-09-08 $23.96 $29.85 Long 22166.0 24.55% 718947.16 718947.16
TQQQ 2020-09-29 2021-02-26 $31.50 $43.79 Long 20598.0 39.02% 94811.73 972092.03
SPXL 2021-02-26 2021-08-31 $74.00 $122.46 Long 11855.0 65.48% 150848.39 1546570.86
TQQQ 2021-08-31 2021-09-30 $73.37 $61.14 Long 19023.0 -16.67% 128121.13 1313903.77
TMF 2021-09-30 2021-10-29 $25.48 $27.28 Long 46544.0 7.08% 136352.61 1397829.02
TQQQ 2021-10-29 2021-11-30 $76.15 $80.24 Long 16565.0 5.37% 142920.23 1465553.28
TMF 2021-11-30 2022-01-18 $29.30 $22.96 Long 45147.0 -21.64% 1179375.16 1179375.16
TMF 2022-01-28 2022-01-31 $24.46 $24.06 Long 43515.0 -1.63% 113315.89 1162078.47
TBF 2022-01-31 2023-01-31 $16.04 $20.46 Long 65385.0 27.56% 141504.81 1451076.19
SPXL 2023-01-31 2023-02-28 $72.79 $66.52 Long 17992.0 -8.60% 130511.64 1338394.22
TBF 2023-02-28 2023-03-31 $21.62 $20.67 Long 55863.0 -4.41% 125302.14 1285106.83
TMF 2023-03-31 2023-05-31 $8.75 $7.80 Long 132563.0 -10.81% 113081.65 1159722.52
TBF 2023-05-31 2023-06-30 $21.40 $21.50 Long 48904.0 0.44% 113554.40 1164338.18
TQQQ 2023-06-30 2023-08-31 $40.85 $42.28 Long 25723.0 3.51% 117127.46 1201243.74

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
3xADM 0.90 TBF 2023-08-31 Hold Long 3.94% EOM
momentum  TQQQ  SPXL  TMF  TBF