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 65.00
NoOfWins 44.00
NoOfLosses 21.00
SharpRatio 0.84
SortinoRatio 1.02
GrossProfit $163726.87
FirstDate 2009-11-30
LastDate 2021-08-31
FirstEquity $10000.00
FinalEquity $173726.87
OpenEquity $154095.60
LongEquity $163726.87
ShortEquity $0.00
PercentWins 67.69%
AveWin $3947.76
AveLoss $-474.97
AveWinLoss 8.31
Expectancy 10.69%
AveDrawUp 64.98%
AveDrawDown -19.07%
MaxDrawDown -39.65%
Kelly 63.81%
Thrope 44.38
APR 27.50%
CalmarRatio 1.44

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
GLD 2009-11-30 2009-12-31 $115.64 $107.31 Long 36.0 -7.20% 1096.62 10158.49
VO 2009-12-31 2010-03-31 $50.92 $55.32 Long 85.0 8.64% 1095.61 11006.77
QLD 2009-11-30 2010-05-28 $1.66 $1.78 Long 2577.0 7.58% 1309.46 10275.55
VB 2010-03-31 2010-06-30 $53.45 $48.03 Long 88.0 -10.14% 5535.93 10654.50
QLD 2010-07-30 2010-08-31 $1.79 $1.61 Long 2498.0 -10.22% 5079.27 11274.31
TMF 2010-05-28 2010-10-29 $8.73 $9.70 Long 502.0 11.09% 994.56 10542.90
GLD 2010-10-29 2010-11-30 $132.62 $135.42 Long 33.0 2.11% 962.19 10591.78
IWM 2010-11-30 2011-01-31 $62.52 $67.29 Long 72.0 7.63% 837.58 11740.81
VO 2011-01-31 2011-02-28 $65.39 $68.09 Long 76.0 4.13% 779.08 12314.13
VB 2011-02-28 2011-05-31 $66.24 $68.43 Long 79.0 3.30% 873.21 12571.05
QLD 2010-09-30 2011-06-30 $2.05 $2.73 Long 2237.0 33.39% 1871.76 12166.92
GLD 2011-06-30 2011-07-29 $146.00 $158.29 Long 35.0 8.42% 1804.99 12419.08
VO 2011-05-31 2011-07-29 $70.82 $66.76 Long 75.0 -5.73% 1804.99 12419.08
TMF 2011-07-29 2012-03-30 $9.36 $13.29 Long 1134.0 42.02% 2474.11 16879.63
VB 2012-03-30 2012-04-30 $68.49 $67.79 Long 105.0 -1.02% 2511.74 16620.90
SCHB 2012-04-30 2012-05-31 $28.21 $26.45 Long 251.0 -6.23% 2664.37 15200.34
QLD 2012-03-30 2012-09-28 $3.67 $3.76 Long 1964.0 2.28% 3339.10 16028.52
TMF 2012-05-31 2012-11-30 $19.60 $18.39 Long 331.0 -6.16% 2361.23 15902.26
GLD 2012-09-28 2012-11-30 $171.89 $166.05 Long 39.0 -3.40% 2361.23 15902.26
SCHB 2012-11-30 2012-12-31 $28.90 $29.29 Long 235.0 1.36% 2326.21 16198.49
VO 2012-12-31 2013-01-31 $72.83 $77.62 Long 95.0 6.57% 2418.36 17095.16
IWM 2013-01-31 2013-02-28 $80.02 $80.82 Long 91.0 1.00% 2466.69 17261.14
VB 2012-11-30 2013-04-30 $69.59 $81.02 Long 97.0 16.43% 2595.44 18091.42
VO 2013-02-28 2013-05-31 $78.56 $85.05 Long 93.0 8.25% 2530.98 18785.07
VB 2013-05-31 2013-07-31 $83.94 $88.69 Long 95.0 5.66% 2562.99 19833.12
IWM 2013-07-31 2014-01-31 $93.26 $101.56 Long 90.0 8.91% 1794.86 23198.64
TMF 2014-01-31 2014-02-28 $12.36 $12.56 Long 802.0 1.63% 1377.98 24539.42
VO 2014-02-28 2014-03-31 $101.82 $101.55 Long 103.0 -0.26% 1667.38 23803.52
QLD 2013-04-30 2014-05-30 $3.98 $6.65 Long 1941.0 66.86% 14566.42 26291.01
QLD 2014-06-30 2014-07-31 $7.06 $7.21 Long 1585.0 2.09% 14800.62 26595.08
QLD 2014-08-29 2014-09-30 $7.94 $7.81 Long 1523.0 -1.67% 14598.27 27197.02
QLD 2014-10-31 2015-03-31 $8.17 $8.86 Long 1475.0 8.39% 1309.32 33538.83
TMF 2014-03-31 2015-04-30 $12.78 $20.20 Long 796.0 58.12% 4055.95 31206.31
VO 2015-03-31 2015-05-29 $120.18 $117.40 Long 119.0 -2.31% 4460.94 31952.14
QLD 2015-04-30 2015-07-31 $9.18 $9.90 Long 1453.0 7.91% 4696.43 32372.08
IWM 2015-05-29 2015-07-31 $113.99 $113.62 Long 119.0 -0.33% 4696.43 32372.08
TMF 2015-07-31 2016-09-30 $18.46 $26.28 Long 1499.0 42.34% 6428.78 44090.85
QLD 2016-09-30 2016-11-30 $10.78 $10.51 Long 1747.0 -2.51% 5783.94 44739.94
VB 2016-11-30 2016-12-30 $118.82 $121.10 Long 160.0 1.92% 5638.24 45681.30
IWM 2016-09-30 2017-03-31 $116.92 $130.32 Long 161.0 11.46% 4855.68 50938.19
SCHB 2017-03-31 2017-04-28 $52.83 $53.35 Long 412.0 1.00% 4428.15 52450.19
IWM 2017-04-28 2017-05-31 $131.82 $129.22 Long 170.0 -1.97% 3339.31 53960.72
QLD 2016-12-30 2017-08-31 $10.74 $16.12 Long 1818.0 50.11% 32642.60 57906.88
TMF 2017-05-31 2017-09-29 $19.51 $19.82 Long 1182.0 1.59% 8202.50 56066.21
IWM 2017-09-29 2017-10-31 $141.42 $142.45 Long 169.0 0.73% 7344.90 58427.08
SCHB 2017-10-31 2017-11-30 $58.12 $59.86 Long 429.0 3.00% 7363.79 60146.47
IWM 2017-11-30 2017-12-29 $146.64 $146.05 Long 175.0 -0.40% 7192.51 60286.39
SCHB 2017-12-29 2018-03-29 $60.54 $60.10 Long 425.0 -0.73% 6674.84 61168.58
QLD 2017-09-29 2018-04-30 $16.02 $19.06 Long 1496.0 18.97% 9066.42 61192.52
VO 2018-03-29 2018-04-30 $146.40 $146.12 Long 178.0 -0.19% 9066.42 61192.52
VB 2018-04-30 2018-05-31 $140.91 $148.09 Long 185.0 5.10% 9067.10 64127.93
IWM 2018-04-30 2018-09-28 $147.22 $162.87 Long 177.0 10.63% 7857.59 70340.68
QLD 2018-05-31 2018-10-31 $21.20 $20.66 Long 1292.0 -2.59% 9044.59 62345.70
SCHB 2018-09-28 2018-10-31 $66.90 $61.92 Long 449.0 -7.44% 9044.59 62345.70
TMF 2018-10-31 2019-11-29 $15.17 $28.08 Long 3513.0 85.05% 15683.88 107680.34
SCHB 2019-11-29 2020-01-31 $72.88 $74.81 Long 631.0 2.66% 16722.22 115185.31
QLD 2019-11-29 2020-01-31 $28.32 $32.18 Long 1625.0 13.65% 16722.22 115185.31
TMF 2020-01-31 2020-08-31 $31.27 $38.36 Long 3149.0 22.68% 19994.48 137516.66
GLD 2020-08-31 2020-09-30 $184.83 $177.12 Long 318.0 -4.17% 21715.50 128009.24
VO 2020-09-30 2020-10-30 $174.45 $174.33 Long 313.0 -0.07% 23067.38 124503.46
VB 2020-10-30 2020-11-30 $155.60 $180.15 Long 342.0 15.78% 23347.84 143790.82
QLD 2020-08-31 2021-02-26 $52.08 $57.27 Long 1128.0 9.97% 18727.09 162143.24
VB 2021-02-26 2021-04-30 $209.76 $221.94 Long 330.0 5.81% 19945.85 168540.37
IWM 2020-11-30 2021-06-30 $179.85 $229.37 Long 341.0 27.53% 22461.00 177080.21
SCHB 2021-06-30 2021-08-31 $104.27 $109.15 Long 726.0 4.68% 19631.26 191997.74

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Alternate 0.90 0.43 QLD 2021-04-30 Hold Long 24.22% EOM
Alternate 0.90 0.43 TMF 2021-08-31 Hold Long 2.21% EOM
momentum  VO  VB  SCHB  QLD  TMF  GLD  IWM