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 0.84
SortinoRatio 1.07
GrossProfit $219131.30
FirstDate 2009-11-27
LastDate 2022-02-28
FirstEquity $10000.00
FinalEquity $229131.30
OpenEquity $-0.00
LongEquity $219131.30
ShortEquity $0.00
PercentWins 66.67%
AveWin $5718.38
AveLoss $-2306.30
AveWinLoss 2.48
Expectancy 9.02%
AveDrawUp 68.52%
AveDrawDown -18.98%
MaxDrawDown -39.65%
Kelly 53.22%
Thrope 43.67
APR 29.12%
CalmarRatio 1.53

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% 1100.98 10176.75
VO 2009-12-31 2010-03-31 $50.45 $54.81 Long 86.0 8.64% 1105.22 11026.29
QLD 2009-11-27 2010-05-28 $1.66 $1.78 Long 2579.0 7.70% 1309.92 10294.44
VB 2010-03-31 2010-06-30 $52.92 $47.55 Long 89.0 -10.14% 5541.65 10675.08
QLD 2010-07-30 2010-08-31 $1.79 $1.61 Long 2502.0 -10.22% 5084.27 11297.28
TMF 2010-05-28 2010-10-29 $8.73 $9.69 Long 504.0 11.09% 870.83 10563.35
GLD 2010-10-29 2010-11-30 $132.62 $135.42 Long 34.0 2.11% 947.98 10614.94
IWM 2010-11-30 2011-01-31 $62.02 $66.75 Long 73.0 7.63% 832.65 11767.75
VO 2011-01-31 2011-02-28 $64.78 $67.45 Long 77.0 4.13% 780.29 12342.65
VB 2011-02-28 2011-05-31 $65.58 $67.74 Long 80.0 3.30% 867.27 12600.20
QLD 2010-09-30 2011-06-30 $2.05 $2.73 Long 2242.0 33.39% 1879.47 12194.95
GLD 2011-06-30 2011-07-29 $146.00 $158.29 Long 35.0 8.42% 1806.37 12446.42
VO 2011-05-31 2011-07-29 $70.16 $66.14 Long 76.0 -5.73% 1806.37 12446.42
TMF 2011-07-29 2012-03-30 $9.35 $13.28 Long 1138.0 42.02% 2501.80 16917.87
VB 2012-03-30 2012-04-30 $67.80 $67.12 Long 106.0 -1.02% 2506.55 16658.81
SCHB 2012-04-30 2012-05-31 $13.97 $13.10 Long 509.0 -6.23% 8409.20 20970.07
QLD 2012-03-30 2012-06-01 $3.67 $2.91 Long 1968.0 -20.66% 14908.72 14908.72
TMF 2012-05-31 2012-09-14 $19.58 $15.63 Long 332.0 -20.15% 13725.94 21780.35
QLD 2012-06-28 2012-09-28 $3.10 $3.76 Long 2058.0 21.32% 3134.58 21475.58
TMF 2012-09-27 2012-11-30 $18.03 $18.37 Long 511.0 1.90% 3114.56 21322.58
GLD 2012-09-28 2012-11-30 $171.89 $166.05 Long 53.0 -3.40% 3114.56 21322.58
SCHB 2012-11-30 2012-12-31 $14.31 $14.50 Long 637.0 1.36% 3117.83 21721.20
VO 2012-12-31 2013-01-31 $72.15 $76.90 Long 128.0 6.57% 3197.47 22923.58
IWM 2013-01-31 2013-02-28 $79.38 $80.17 Long 123.0 1.00% 3173.88 23146.72
VB 2012-11-30 2013-04-30 $68.89 $80.21 Long 132.0 16.43% 3390.89 24267.89
VO 2013-02-28 2013-05-31 $77.83 $84.26 Long 127.0 8.25% 3372.20 25200.11
VB 2013-05-31 2013-07-31 $83.10 $87.80 Long 129.0 5.66% 3412.13 26607.38
IWM 2013-07-31 2014-01-31 $92.51 $100.75 Long 122.0 8.91% 2398.96 31124.81
TMF 2014-01-31 2014-02-28 $12.34 $12.54 Long 1078.0 1.63% 1899.15 32923.75
VO 2014-02-28 2014-03-31 $100.87 $100.61 Long 139.0 -0.26% 2239.87 31936.61
QLD 2013-04-30 2014-05-30 $3.98 $6.65 Long 2604.0 66.86% 19544.92 35273.67
QLD 2014-06-30 2014-07-31 $7.06 $7.21 Long 2126.0 2.09% 19859.07 35681.54
QLD 2014-08-29 2014-09-30 $7.94 $7.81 Long 2044.0 -1.67% 19587.49 36488.94
QLD 2014-10-31 2015-03-31 $8.17 $8.86 Long 1979.0 8.39% 1776.73 44996.77
TMF 2014-03-31 2015-04-30 $12.76 $20.18 Long 1069.0 58.12% 5454.26 41868.21
VO 2015-03-31 2015-05-29 $119.06 $116.30 Long 161.0 -2.31% 5860.74 42868.89
IWM 2015-05-29 2015-07-31 $113.08 $112.71 Long 162.0 -0.33% 43432.10 43432.10
QLD 2015-04-30 2015-07-31 $9.18 $9.90 Long 1950.0 7.91% 43432.10 43432.10
TMF 2015-08-31 2016-09-30 $17.94 $26.25 Long 2070.0 46.37% 8860.53 60646.92
QLD 2016-09-30 2016-11-30 $10.78 $10.51 Long 2404.0 -2.51% 7902.19 61537.76
VB 2016-11-30 2016-12-30 $117.63 $119.89 Long 223.0 1.92% 7781.59 62833.30
IWM 2016-09-30 2017-03-31 $115.98 $129.28 Long 223.0 11.46% 6661.87 70064.36
SCHB 2017-03-31 2017-04-28 $26.16 $26.42 Long 1145.0 1.00% 6180.30 72144.47
IWM 2017-04-28 2017-05-31 $130.76 $128.18 Long 235.0 -1.97% 4581.63 74224.44
QLD 2016-12-30 2017-08-31 $10.74 $16.12 Long 2501.0 50.11% 44893.80 79653.46
TMF 2017-05-31 2017-09-29 $19.49 $19.80 Long 1628.0 1.59% 11187.77 77121.00
IWM 2017-09-29 2017-10-31 $140.28 $141.31 Long 235.0 0.73% 10037.89 80369.42
SCHB 2017-10-31 2017-11-30 $28.77 $29.64 Long 1194.0 3.00% 10079.81 82736.51
IWM 2017-11-30 2017-12-29 $145.46 $144.88 Long 243.0 -0.40% 9853.94 82928.81
SCHB 2017-12-29 2018-03-29 $29.98 $29.76 Long 1182.0 -0.73% 9055.80 84142.16
VO 2018-03-29 2018-04-30 $145.04 $144.76 Long 248.0 -0.19% 12397.93 84174.85
QLD 2017-09-29 2018-04-30 $16.02 $19.06 Long 2058.0 18.97% 12397.93 84174.85
VB 2018-04-30 2018-05-31 $139.50 $146.61 Long 257.0 5.10% 12375.07 88217.34
IWM 2018-04-30 2018-09-28 $146.04 $161.56 Long 246.0 10.63% 10781.59 96770.01
QLD 2018-05-31 2018-10-31 $21.20 $20.66 Long 1778.0 -2.59% 12441.90 85767.52
SCHB 2018-09-28 2018-10-31 $33.12 $30.66 Long 1248.0 -7.44% 12441.90 85767.52
TMF 2018-10-31 2019-11-29 $15.16 $28.05 Long 4838.0 85.05% 21495.99 148133.77
QLD 2019-11-29 2020-01-31 $28.32 $32.18 Long 2236.0 13.65% 22998.55 158461.95
SCHB 2019-11-29 2020-01-31 $36.08 $37.04 Long 1755.0 2.66% 22998.55 158461.95
TMF 2020-01-31 2020-08-31 $31.23 $38.32 Long 4337.0 22.68% 27586.07 189184.94
QLD 2020-08-31 2020-09-23 $52.08 $41.38 Long 1552.0 -20.55% 91800.07 168183.30
GLD 2020-08-31 2020-09-30 $184.83 $177.12 Long 437.0 -4.17% 23940.29 170342.48
VO 2020-09-30 2020-10-30 $172.83 $172.71 Long 421.0 -0.07% 26101.73 165351.42
VB 2020-10-30 2020-11-30 $154.04 $178.35 Long 458.0 15.78% 25715.13 191998.99
QLD 2020-09-29 2021-02-26 $45.12 $57.27 Long 1607.0 26.94% 25130.22 217031.95
VB 2021-02-26 2021-04-30 $207.66 $219.72 Long 446.0 5.81% 26725.33 225591.65
IWM 2020-11-30 2021-06-30 $178.41 $227.53 Long 460.0 27.53% 30096.76 237021.59
SCHB 2021-06-30 2021-08-31 $51.63 $54.04 Long 1962.0 4.68% 26287.09 256987.07
QLD 2021-04-30 2021-09-30 $65.54 $72.77 Long 1471.0 11.04% 133331.76 233027.40
QLD 2021-10-29 2021-11-30 $84.54 $87.61 Long 1214.0 3.63% 137058.74 251701.14
TMF 2021-08-31 2022-02-08 $28.93 $22.72 Long 3797.0 -21.46% 223329.79 223329.79
TMF 2022-02-25 2022-02-28 $22.02 $23.44 Long 8670.0 6.44% 235630.82 235630.82

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