Strategy - Alternate


Description

This extends the work of swhanly with accelerating dual momentum. However, here the use of alternate funds for a diversified performance.

This strategy uses the following risk-on assets: VO, VB, SCHB, QLD, TMF, GLD, IWM. with TMF being the risk off haven.

It will buy only two risk on assets at a time.

Trading happens on the Close of the signal day

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 72.00
NoOfWins 48.00
NoOfLosses 24.00
SharpRatio 0.77
SortinoRatio 0.95
GrossProfit $153902.15
FirstDate 2009-11-27
LastDate 2022-02-28
FirstEquity $10000.00
FinalEquity $163902.15
OpenEquity $0.00
LongEquity $153902.15
ShortEquity $0.00
PercentWins 66.67%
AveWin 15.03%
AveLoss -6.29%
AveWinLoss 2.39
Expectancy 7.93%
AveDrawUp 64.81%
AveDrawDown -20.14%
MaxDrawDown -39.65%
Kelly 52.72%
Thrope 41.41
APR 25.64%
CalmarRatio 1.27

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
GLD 2009-11-27 2009-12-31 $115.06 $107.31 Long 37.0 -6.74% 1131.98 10176.75
VO 2009-12-31 2010-03-31 $50.09 $54.42 Long 86.0 8.64% 1136.19 11023.61
QLD 2009-11-27 2010-05-28 $1.66 $1.78 Long 2579.0 7.70% 1340.32 10292.64
VB 2010-03-31 2010-06-30 $52.54 $47.21 Long 89.0 -10.14% 5541.83 10675.91
QLD 2010-07-30 2010-08-31 $1.79 $1.61 Long 2503.0 -10.22% 5084.26 11298.07
TMF 2010-05-28 2010-10-29 $8.67 $9.64 Long 507.0 11.09% 871.45 10563.97
GLD 2010-10-29 2010-11-30 $132.62 $135.42 Long 34.0 2.11% 984.31 10615.55
IWM 2010-11-30 2011-01-31 $61.53 $66.22 Long 73.0 7.63% 801.86 11765.64
VO 2011-01-31 2011-02-28 $64.32 $66.97 Long 78.0 4.13% 751.74 12341.72
VB 2011-02-28 2011-05-31 $65.11 $67.26 Long 81.0 3.30% 835.70 12600.18
QLD 2010-09-30 2011-06-30 $2.05 $2.73 Long 2242.0 33.39% 1847.90 12194.18
GLD 2011-06-30 2011-07-29 $146.00 $158.29 Long 35.0 8.42% 1810.37 12444.59
VO 2011-05-31 2011-07-29 $69.66 $65.67 Long 77.0 -5.73% 1810.37 12444.59
TMF 2011-07-29 2012-03-30 $9.30 $13.20 Long 1144.0 42.02% 2481.55 16913.59
VB 2012-03-30 2012-04-30 $67.32 $66.64 Long 107.0 -1.02% 2505.28 16654.37
SCHB 2012-04-30 2012-05-31 $13.85 $12.99 Long 513.0 -6.23% 2668.05 15230.22
QLD 2012-03-30 2012-06-01 $3.67 $2.91 Long 1968.0 -20.66% 8403.67 15357.48
TMF 2012-05-31 2012-09-14 $19.46 $15.54 Long 334.0 -20.15% 7277.65 15261.62
QLD 2012-06-28 2012-09-28 $3.10 $3.76 Long 2040.0 21.32% 2146.78 14954.23
GLD 2012-09-28 2012-11-30 $171.89 $166.05 Long 37.0 -3.40% 2211.65 14847.47
TMF 2012-09-27 2012-11-30 $17.92 $18.26 Long 359.0 1.90% 2211.65 14847.47
SCHB 2012-11-30 2012-12-31 $14.19 $14.38 Long 447.0 1.36% 2194.02 15123.80
VO 2012-12-31 2013-01-31 $71.64 $76.35 Long 90.0 6.57% 2292.87 15959.54
IWM 2013-01-31 2013-02-28 $78.75 $79.54 Long 86.0 1.00% 2255.65 16114.13
VB 2012-11-30 2013-04-30 $68.40 $79.64 Long 92.0 16.43% 2361.78 16892.32
VO 2013-02-28 2013-05-31 $77.28 $83.66 Long 89.0 8.25% 2381.90 17541.27
VB 2013-05-31 2013-07-31 $82.50 $87.17 Long 90.0 5.66% 2334.32 18518.92
IWM 2013-07-31 2014-01-31 $91.78 $99.95 Long 86.0 8.91% 1678.48 21667.25
TMF 2014-01-31 2014-02-28 $12.27 $12.47 Long 754.0 1.63% 1366.51 22919.55
VO 2014-02-28 2014-03-31 $100.15 $99.89 Long 97.0 -0.26% 1564.20 22232.39
QLD 2013-04-30 2014-05-30 $3.98 $6.65 Long 1813.0 66.86% 13612.61 24554.60
QLD 2014-06-30 2014-07-31 $7.06 $7.21 Long 1480.0 2.09% 13831.30 24838.48
QLD 2014-08-29 2014-09-30 $7.94 $7.81 Long 1423.0 -1.67% 13642.23 25400.03
QLD 2014-10-31 2015-03-31 $8.17 $8.86 Long 1377.0 8.39% 1229.42 31318.84
TMF 2014-03-31 2015-04-30 $12.69 $20.07 Long 748.0 58.12% 3783.65 29141.63
VO 2015-03-31 2015-05-29 $118.21 $115.47 Long 113.0 -2.31% 4155.21 29838.20
IWM 2015-05-29 2015-07-31 $112.19 $111.82 Long 113.0 -0.33% 30230.36 30230.36
QLD 2015-04-30 2015-07-31 $9.18 $9.90 Long 1357.0 7.91% 30230.36 30230.36
TMF 2015-08-31 2016-09-30 $17.83 $26.10 Long 1449.0 46.37% 6220.52 42210.96
QLD 2016-09-30 2016-11-30 $10.78 $10.51 Long 1673.0 -2.51% 5589.52 42828.01
VB 2016-11-30 2016-12-30 $116.79 $119.03 Long 156.0 1.92% 5474.39 43727.42
IWM 2016-09-30 2017-03-31 $115.07 $128.26 Long 156.0 11.46% 4652.38 48757.15
SCHB 2017-03-31 2017-04-28 $25.94 $26.20 Long 803.0 1.00% 4284.96 50204.27
IWM 2017-04-28 2017-05-31 $129.73 $127.17 Long 165.0 -1.97% 3203.30 51650.83
QLD 2016-12-30 2017-08-31 $10.74 $16.12 Long 1740.0 50.11% 31249.35 55427.49
TMF 2017-05-31 2017-09-29 $19.37 $19.68 Long 1139.0 1.59% 7902.12 53665.96
IWM 2017-09-29 2017-10-31 $139.18 $140.19 Long 164.0 0.73% 7007.64 55925.45
SCHB 2017-10-31 2017-11-30 $28.54 $29.40 Long 837.0 3.00% 7077.78 57571.91
IWM 2017-11-30 2017-12-29 $144.32 $143.74 Long 170.0 -0.40% 6867.67 57705.96
SCHB 2017-12-29 2018-03-29 $29.73 $29.51 Long 829.0 -0.73% 6419.64 58550.30
VO 2018-03-29 2018-04-30 $144.00 $143.72 Long 173.0 -0.19% 8722.27 58573.28
QLD 2017-09-29 2018-04-30 $16.02 $19.06 Long 1432.0 18.97% 8722.27 58573.28
VB 2018-04-30 2018-05-31 $138.50 $145.56 Long 180.0 5.10% 8693.55 61380.57
IWM 2018-04-30 2018-09-28 $144.89 $160.29 Long 172.0 10.63% 7486.15 67327.59
QLD 2018-05-31 2018-10-31 $21.20 $20.66 Long 1237.0 -2.59% 8664.97 59671.60
SCHB 2018-09-28 2018-10-31 $32.85 $30.40 Long 876.0 -7.44% 8664.97 59671.60
TMF 2018-10-31 2019-11-29 $15.07 $27.88 Long 3385.0 85.05% 14972.87 103054.69
QLD 2019-11-29 2020-01-31 $28.32 $32.18 Long 1555.0 13.65% 15990.27 110237.65
SCHB 2019-11-29 2020-01-31 $35.79 $36.74 Long 1231.0 2.66% 15990.27 110237.65
TMF 2020-01-31 2020-08-31 $31.05 $38.10 Long 3035.0 22.68% 19178.16 131612.88
QLD 2020-08-31 2020-09-23 $52.08 $41.38 Long 1080.0 -20.55% 63863.16 116999.32
GLD 2020-08-31 2020-09-30 $184.83 $177.12 Long 304.0 -4.17% 16648.55 118501.42
VO 2020-09-30 2020-10-30 $171.59 $171.48 Long 295.0 -0.07% 18140.96 115029.11
VB 2020-10-30 2020-11-30 $152.94 $177.07 Long 321.0 15.78% 17985.93 133569.76
QLD 2020-09-29 2021-02-26 $45.12 $57.27 Long 1118.0 26.94% 17479.58 150964.19
VB 2021-02-26 2021-04-30 $206.18 $218.15 Long 313.0 5.81% 18719.67 156921.09
IWM 2020-11-30 2021-06-30 $177.00 $225.73 Long 322.0 27.53% 20952.76 164867.86
SCHB 2021-06-30 2021-08-31 $51.20 $53.60 Long 1376.0 4.68% 18313.57 178753.24
QLD 2021-04-30 2021-09-30 $65.54 $72.77 Long 1023.0 11.04% 92757.28 162090.56
QLD 2021-10-29 2021-11-30 $84.54 $87.61 Long 844.0 3.63% 95348.36 175076.35
TMF 2021-08-31 2022-02-08 $28.76 $22.59 Long 2656.0 -21.46% 155345.52 155345.52
TMF 2022-02-25 2022-02-28 $21.89 $23.30 Long 6066.0 6.44% 163902.15 163902.15

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Alternate 0.90 0.00 Out EOM
momentum  VO  VB  SCHB  QLD  TMF  GLD  IWM