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 |