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 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

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Alternate 0.90 0.85 TBF 2022-01-31 Hold Long 0.00% EOM
momentum  VO  VB  SCHB  QLD  TMF  GLD  IWM  TBF