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 |