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 | 73.00 |
| NoOfWins | 47.00 |
| NoOfLosses | 26.00 |
| SharpRatio | 0.72 |
| SortinoRatio | 0.88 |
| GrossProfit | $116074.14 |
| FirstDate | 2009-11-27 |
| LastDate | 2022-01-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $126074.14 |
| OpenEquity | $107788.84 |
| LongEquity | $116074.14 |
| ShortEquity | $0.00 |
| PercentWins | 64.38% |
| AveWin | 14.53% |
| AveLoss | -5.84% |
| AveWinLoss | 2.49 |
| Expectancy | 7.28% |
| AveDrawUp | 62.48% |
| AveDrawDown | -20.49% |
| MaxDrawDown | -39.65% |
| Kelly | 50.08% |
| Thorpe | 39.21 |
| APR | 23.13% |
| CalmarRatio | 1.13 |
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% | 1105.82 | 10176.75 |
| VO | 2009-12-31 | 2010-03-31 | $49.82 | $54.12 | Long | 87.0 | 8.64% | 1114.17 | 11025.88 |
| QLD | 2009-11-27 | 2010-05-28 | $1.65 | $1.78 | Long | 2587.0 | 7.70% | 1316.46 | 10294.26 |
| VB | 2010-03-31 | 2010-06-30 | $52.22 | $46.93 | Long | 90.0 | -10.14% | 5539.75 | 10676.02 |
| QLD | 2010-07-30 | 2010-08-31 | $1.78 | $1.60 | Long | 2510.0 | -10.22% | 5082.32 | 11298.78 |
| TMF | 2010-05-28 | 2010-10-29 | $8.63 | $9.58 | Long | 510.0 | 11.09% | 871.47 | 10564.13 |
| GLD | 2010-10-29 | 2010-11-30 | $132.62 | $135.42 | Long | 34.0 | 2.11% | 943.53 | 10615.71 |
| IWM | 2010-11-30 | 2011-01-31 | $61.25 | $65.92 | Long | 74.0 | 7.63% | 832.58 | 11768.93 |
| VO | 2011-01-31 | 2011-02-28 | $63.96 | $66.60 | Long | 78.0 | 4.13% | 785.29 | 12343.89 |
| VB | 2011-02-28 | 2011-05-31 | $64.72 | $66.86 | Long | 81.0 | 3.30% | 866.14 | 12601.31 |
| QLD | 2010-09-30 | 2011-06-30 | $2.04 | $2.72 | Long | 2249.0 | 33.39% | 1878.51 | 12196.01 |
| VO | 2011-05-31 | 2011-07-29 | $69.28 | $65.31 | Long | 77.0 | -5.73% | 1806.52 | 12447.40 |
| GLD | 2011-06-30 | 2011-07-29 | $146.00 | $158.29 | Long | 35.0 | 8.42% | 1806.52 | 12447.40 |
| TMF | 2011-07-29 | 2012-03-30 | $9.24 | $13.13 | Long | 1151.0 | 42.02% | 2460.01 | 16919.21 |
| VB | 2012-03-30 | 2012-04-30 | $66.92 | $66.24 | Long | 108.0 | -1.02% | 2498.65 | 16659.65 |
| SCHB | 2012-04-30 | 2012-05-31 | $13.79 | $12.93 | Long | 516.0 | -6.23% | 2666.33 | 15234.51 |
| QLD | 2012-03-30 | 2012-06-01 | $3.66 | $2.91 | Long | 1975.0 | -20.66% | 8404.58 | 15361.85 |
| TMF | 2012-05-31 | 2012-09-14 | $19.36 | $15.46 | Long | 336.0 | -20.15% | 7279.03 | 15265.67 |
| QLD | 2012-06-28 | 2012-09-28 | $3.09 | $3.75 | Long | 2047.0 | 21.32% | 2150.19 | 14958.17 |
| TMF | 2012-09-27 | 2012-11-30 | $17.83 | $18.16 | Long | 361.0 | 1.90% | 2186.19 | 14851.42 |
| GLD | 2012-09-28 | 2012-11-30 | $171.89 | $166.05 | Long | 37.0 | -3.40% | 2186.19 | 14851.42 |
| SCHB | 2012-11-30 | 2012-12-31 | $14.13 | $14.32 | Long | 449.0 | 1.36% | 2203.06 | 15128.66 |
| VO | 2012-12-31 | 2013-01-31 | $71.24 | $75.93 | Long | 90.0 | 6.57% | 2216.57 | 15964.06 |
| IWM | 2013-01-31 | 2013-02-28 | $78.39 | $79.18 | Long | 87.0 | 1.00% | 2265.21 | 16119.53 |
| VB | 2012-11-30 | 2013-04-30 | $67.99 | $79.16 | Long | 93.0 | 16.43% | 2405.13 | 16897.02 |
| VO | 2013-02-28 | 2013-05-31 | $76.85 | $83.20 | Long | 89.0 | 8.25% | 2346.73 | 17545.33 |
| VB | 2013-05-31 | 2013-07-31 | $82.01 | $86.65 | Long | 91.0 | 5.66% | 2374.80 | 18525.23 |
| IWM | 2013-07-31 | 2014-01-31 | $91.36 | $99.50 | Long | 86.0 | 8.91% | 1669.30 | 21670.88 |
| TMF | 2014-01-31 | 2014-02-28 | $12.20 | $12.40 | Long | 759.0 | 1.63% | 1321.82 | 22923.59 |
| VO | 2014-02-28 | 2014-03-31 | $99.60 | $99.34 | Long | 98.0 | -0.26% | 1554.30 | 22236.17 |
| QLD | 2013-04-30 | 2014-05-30 | $3.97 | $6.63 | Long | 1819.0 | 66.86% | 13605.28 | 24560.28 |
| QLD | 2014-06-30 | 2014-07-31 | $7.04 | $7.18 | Long | 1485.0 | 2.09% | 13824.03 | 24844.31 |
| QLD | 2014-08-29 | 2014-09-30 | $7.91 | $7.78 | Long | 1427.0 | -1.67% | 13635.02 | 25406.80 |
| QLD | 2014-10-31 | 2015-03-31 | $8.15 | $8.83 | Long | 1382.0 | 8.39% | 1296.14 | 31332.03 |
| TMF | 2014-03-31 | 2015-04-30 | $12.62 | $19.96 | Long | 753.0 | 58.12% | 3860.91 | 29155.27 |
| VO | 2015-03-31 | 2015-05-29 | $117.56 | $114.84 | Long | 113.0 | -2.31% | 4106.78 | 29851.36 |
| IWM | 2015-05-29 | 2015-07-31 | $111.67 | $111.31 | Long | 114.0 | -0.33% | 4395.30 | 30243.61 |
| QLD | 2015-04-30 | 2015-07-31 | $9.15 | $9.87 | Long | 1362.0 | 7.91% | 4395.30 | 30243.61 |
| TBF | 2015-07-31 | 2015-12-31 | $24.25 | $23.98 | Long | 1066.0 | -1.12% | 4355.79 | 29954.22 |
| TMF | 2015-12-31 | 2016-09-30 | $17.39 | $25.96 | Long | 1472.0 | 49.27% | 6279.11 | 42565.49 |
| QLD | 2016-09-30 | 2016-11-30 | $10.75 | $10.48 | Long | 1692.0 | -2.51% | 5553.68 | 43187.59 |
| VB | 2016-11-30 | 2016-12-30 | $116.09 | $118.32 | Long | 159.0 | 1.92% | 5525.98 | 44096.11 |
| IWM | 2016-09-30 | 2017-03-31 | $114.54 | $127.67 | Long | 158.0 | 11.46% | 4680.00 | 49167.88 |
| SCHB | 2017-03-31 | 2017-04-28 | $25.82 | $26.08 | Long | 814.0 | 1.00% | 4341.86 | 50627.26 |
| IWM | 2017-04-28 | 2017-05-31 | $129.14 | $126.59 | Long | 167.0 | -1.97% | 3230.04 | 52086.29 |
| QLD | 2016-12-30 | 2017-08-31 | $10.70 | $16.07 | Long | 1760.0 | 50.11% | 31510.91 | 55894.87 |
| TMF | 2017-05-31 | 2017-09-29 | $19.27 | $19.57 | Long | 1155.0 | 1.59% | 7996.61 | 54118.34 |
| IWM | 2017-09-29 | 2017-10-31 | $138.54 | $139.55 | Long | 166.0 | 0.73% | 7073.95 | 56395.95 |
| SCHB | 2017-10-31 | 2017-11-30 | $28.41 | $29.26 | Long | 848.0 | 3.00% | 7177.17 | 58055.97 |
| IWM | 2017-11-30 | 2017-12-29 | $143.66 | $143.08 | Long | 172.0 | -0.40% | 6929.81 | 58191.20 |
| SCHB | 2017-12-29 | 2018-03-29 | $29.59 | $29.38 | Long | 840.0 | -0.73% | 6399.71 | 59042.23 |
| QLD | 2017-09-29 | 2018-04-30 | $15.97 | $19.00 | Long | 1448.0 | 18.97% | 8631.10 | 59065.21 |
| VO | 2018-03-29 | 2018-04-30 | $143.21 | $142.93 | Long | 176.0 | -0.19% | 8631.10 | 59065.21 |
| VB | 2018-04-30 | 2018-05-31 | $137.67 | $144.69 | Long | 183.0 | 5.10% | 8664.70 | 61905.64 |
| IWM | 2018-04-30 | 2018-09-28 | $144.23 | $159.56 | Long | 175.0 | 10.63% | 7583.12 | 67906.53 |
| QLD | 2018-05-31 | 2018-10-31 | $21.14 | $20.59 | Long | 1251.0 | -2.59% | 8736.28 | 60188.42 |
| SCHB | 2018-09-28 | 2018-10-31 | $32.70 | $30.26 | Long | 887.0 | -7.44% | 8736.28 | 60188.42 |
| TBF | 2018-10-31 | 2018-12-31 | $23.50 | $21.89 | Long | 2189.0 | -6.86% | 8226.31 | 56661.37 |
| TMF | 2018-12-31 | 2019-11-29 | $18.51 | $27.73 | Long | 2616.0 | 49.78% | 11735.43 | 80774.52 |
| SCHB | 2019-11-29 | 2020-01-31 | $35.62 | $36.57 | Long | 969.0 | 2.66% | 12531.31 | 86405.84 |
| QLD | 2019-11-29 | 2020-01-31 | $28.23 | $32.08 | Long | 1223.0 | 13.65% | 12531.31 | 86405.84 |
| TMF | 2020-01-31 | 2020-08-31 | $30.88 | $37.89 | Long | 2392.0 | 22.68% | 15091.51 | 103160.52 |
| QLD | 2020-08-31 | 2020-09-23 | $51.92 | $41.25 | Long | 849.0 | -20.55% | 50110.48 | 91710.50 |
| GLD | 2020-08-31 | 2020-09-30 | $184.83 | $177.12 | Long | 238.0 | -4.17% | 13140.15 | 92887.21 |
| VO | 2020-09-30 | 2020-10-30 | $170.65 | $170.54 | Long | 232.0 | -0.07% | 14242.12 | 90165.67 |
| VB | 2020-10-30 | 2020-11-30 | $152.02 | $176.01 | Long | 253.0 | 15.78% | 14019.10 | 104695.09 |
| QLD | 2020-09-29 | 2021-02-26 | $44.98 | $57.09 | Long | 879.0 | 26.94% | 13787.34 | 118345.92 |
| VB | 2021-02-26 | 2021-04-30 | $204.95 | $216.85 | Long | 246.0 | 5.81% | 14604.78 | 123008.50 |
| IWM | 2020-11-30 | 2021-06-30 | $176.20 | $224.71 | Long | 254.0 | 27.53% | 16433.02 | 129237.42 |
| SCHB | 2021-06-30 | 2021-08-31 | $50.97 | $53.35 | Long | 1084.0 | 4.68% | 14368.61 | 140118.80 |
| QLD | 2021-04-30 | 2021-09-30 | $65.33 | $72.55 | Long | 804.0 | 11.04% | 72695.14 | 127059.37 |
| QLD | 2021-10-29 | 2021-11-30 | $84.28 | $87.34 | Long | 664.0 | 3.63% | 74727.33 | 137242.06 |
| TMF | 2021-08-31 | 2022-01-31 | $28.60 | $24.52 | Long | 2094.0 | -14.28% | 18285.30 | 126074.14 |