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 | 46.00 |
| NoOfWins | 32.00 |
| NoOfLosses | 14.00 |
| SharpRatio | 0.97 |
| SortinoRatio | 1.21 |
| GrossProfit | $1026292.83 |
| FirstDate | 2010-08-30 |
| LastDate | 2023-03-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $1036292.83 |
| OpenEquity | $886028.64 |
| LongEquity | $1026292.83 |
| ShortEquity | $0.00 |
| PercentWins | 69.57% |
| AveWin | 23.18% |
| AveLoss | -6.59% |
| AveWinLoss | 3.52 |
| Expectancy | 14.12% |
| AveDrawUp | 105.99% |
| AveDrawDown | -22.21% |
| MaxDrawDown | -39.41% |
| Kelly | 60.92% |
| Thorpe | 40.68 |
| Rachev | 0.84 |
| APR | 44.60% |
| CalmarRatio | 2.01 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| TMF | 2010-08-30 | 2010-09-30 | $11.75 | $11.04 | Long | 727.0 | -6.00% | 1376.05 | 9487.80 |
| TQQQ | 2010-09-30 | 2011-03-31 | $0.56 | $0.87 | Long | 14449.0 | 55.74% | 2032.81 | 14009.03 |
| SPXL | 2011-03-31 | 2011-07-29 | $6.53 | $5.97 | Long | 1835.0 | -8.52% | 1884.58 | 12989.23 |
| TMF | 2011-07-29 | 2011-10-27 | $9.21 | $12.42 | Long | 1206.0 | 34.89% | 16863.78 | 16863.78 |
| TMF | 2011-10-28 | 2012-01-31 | $12.91 | $16.33 | Long | 1116.0 | 26.48% | 2998.74 | 20680.28 |
| TQQQ | 2012-01-31 | 2012-05-18 | $0.89 | $0.88 | Long | 19956.0 | -0.20% | 20645.42 | 20645.42 |
| TQQQ | 2012-05-30 | 2012-09-28 | $0.95 | $1.25 | Long | 18596.0 | 31.26% | 3796.19 | 26162.42 |
| SPXL | 2012-09-28 | 2013-07-31 | $7.02 | $11.26 | Long | 3185.0 | 60.41% | 5753.10 | 39673.43 |
| TQQQ | 2013-07-31 | 2014-03-31 | $1.64 | $2.53 | Long | 20702.0 | 54.11% | 8419.26 | 58026.58 |
| SPXL | 2014-03-31 | 2014-05-30 | $15.44 | $16.70 | Long | 3213.0 | 8.17% | 9015.07 | 62077.99 |
| TMF | 2014-05-30 | 2014-06-30 | $14.49 | $14.35 | Long | 3662.0 | -1.00% | 8927.45 | 61548.22 |
| TQQQ | 2014-06-30 | 2014-07-31 | $3.07 | $3.17 | Long | 17122.0 | 3.05% | 9161.29 | 63152.58 |
| TMF | 2014-07-31 | 2014-08-29 | $14.58 | $16.68 | Long | 3704.0 | 14.42% | 10286.84 | 70939.71 |
| TQQQ | 2014-08-29 | 2014-09-30 | $3.66 | $3.56 | Long | 16586.0 | -2.78% | 10057.03 | 69256.04 |
| TMF | 2014-09-30 | 2014-10-31 | $15.57 | $16.83 | Long | 3802.0 | 8.06% | 10737.78 | 74028.87 |
| TQQQ | 2014-10-31 | 2015-07-31 | $3.79 | $4.96 | Long | 16703.0 | 30.81% | 13581.52 | 93526.10 |
| TBF | 2015-07-31 | 2015-12-31 | $24.01 | $23.75 | Long | 3329.0 | -1.12% | 13441.70 | 92631.08 |
| TMF | 2015-12-31 | 2016-04-29 | $17.32 | $21.50 | Long | 4572.0 | 24.13% | 16216.57 | 111737.66 |
| SPXL | 2016-04-29 | 2016-06-30 | $19.67 | $20.54 | Long | 4856.0 | 4.42% | 16830.79 | 115955.82 |
| TMF | 2016-06-30 | 2016-07-29 | $26.55 | $28.16 | Long | 3734.0 | 6.07% | 17688.91 | 121976.34 |
| TQQQ | 2016-07-29 | 2016-11-30 | $4.85 | $5.10 | Long | 21497.0 | 5.08% | 18472.30 | 127278.64 |
| SPXL | 2016-11-30 | 2016-12-30 | $23.74 | $25.16 | Long | 4584.0 | 6.00% | 19406.20 | 133808.09 |
| TQQQ | 2016-12-30 | 2017-08-31 | $5.23 | $9.49 | Long | 21873.0 | 81.51% | 32940.12 | 227061.42 |
| TMF | 2017-08-31 | 2017-09-29 | $21.03 | $19.50 | Long | 9232.0 | -7.29% | 30874.87 | 212918.42 |
| TQQQ | 2017-09-29 | 2017-11-30 | $9.39 | $11.27 | Long | 19380.0 | 20.00% | 36155.69 | 249327.12 |
| SPXL | 2017-11-30 | 2017-12-29 | $41.55 | $43.03 | Long | 5131.0 | 3.58% | 37267.39 | 256966.50 |
| TQQQ | 2017-12-29 | 2018-10-24 | $11.41 | $12.07 | Long | 19263.0 | 5.80% | 269700.18 | 269700.18 |
| TQQQ | 2018-10-30 | 2018-10-31 | $12.06 | $12.88 | Long | 19114.0 | 6.75% | 41367.59 | 285258.13 |
| TBF | 2018-10-31 | 2018-12-31 | $23.28 | $21.68 | Long | 10477.0 | -6.86% | 38952.72 | 268539.38 |
| TMF | 2018-12-31 | 2019-06-28 | $18.44 | $23.85 | Long | 12450.0 | 29.35% | 48716.92 | 335912.90 |
| TQQQ | 2019-06-28 | 2019-07-31 | $15.26 | $16.20 | Long | 18822.0 | 6.20% | 51307.36 | 353720.26 |
| TMF | 2019-07-31 | 2019-11-29 | $23.93 | $27.62 | Long | 12638.0 | 15.43% | 58064.52 | 400385.43 |
| TQQQ | 2019-11-29 | 2020-01-31 | $19.20 | $23.14 | Long | 17826.0 | 20.50% | 68237.51 | 470549.83 |
| TMF | 2020-01-31 | 2020-03-17 | $30.76 | $34.03 | Long | 13079.0 | 10.63% | 513308.87 | 513308.87 |
| TMF | 2020-03-30 | 2020-06-30 | $41.49 | $39.19 | Long | 10578.0 | -5.53% | 70933.84 | 489042.15 |
| TQQQ | 2020-06-30 | 2020-09-08 | $24.13 | $30.05 | Long | 17327.0 | 24.55% | 591674.58 | 591674.58 |
| TQQQ | 2020-09-29 | 2021-02-26 | $31.72 | $44.09 | Long | 15948.0 | 39.02% | 114473.76 | 789037.82 |
| SPXL | 2021-02-26 | 2021-08-31 | $74.39 | $123.10 | Long | 9068.0 | 65.48% | 178474.82 | 1230769.82 |
| TQQQ | 2021-08-31 | 2021-09-30 | $73.88 | $61.57 | Long | 14243.0 | -16.67% | 153043.67 | 1055352.12 |
| TMF | 2021-09-30 | 2021-10-29 | $25.86 | $27.69 | Long | 34895.0 | 7.08% | 162353.63 | 1119214.16 |
| TQQQ | 2021-10-29 | 2021-11-30 | $76.68 | $80.80 | Long | 12478.0 | 5.37% | 169750.45 | 1170584.66 |
| TMF | 2021-11-30 | 2022-01-18 | $29.73 | $23.30 | Long | 33659.0 | -21.64% | 954034.13 | 954034.13 |
| TMF | 2022-01-28 | 2022-01-31 | $24.83 | $24.42 | Long | 32856.0 | -1.63% | 136420.11 | 940778.87 |
| TBF | 2022-01-31 | 2023-01-31 | $16.40 | $20.92 | Long | 49052.0 | 27.56% | 168579.75 | 1162428.53 |
| SPXL | 2023-01-31 | 2023-02-28 | $73.17 | $66.87 | Long | 13583.0 | -8.60% | 156164.94 | 1076912.88 |
| TBF | 2023-02-28 | 2023-03-31 | $22.11 | $21.13 | Long | 41653.0 | -4.41% | 150264.19 | 1036292.83 |