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 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
momentum  TQQQ  SPXL  TMF