Strategy - Alternate


Description

This extends the work of swhanly with accelerating dual momentum. However, here the use of alternate funds for a more 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 74.00
NoOfWins 46.00
NoOfLosses 28.00
SharpRatio 0.54
SortinoRatio 0.58
GrossProfit $90235.40
FirstDate 2010-12-30
LastDate 2023-08-31
FirstEquity $10000.00
FinalEquity $100235.40
OpenEquity $81189.53
LongEquity $90235.40
ShortEquity $0.00
PercentWins 62.16%
AveWin 14.19%
AveLoss -5.31%
AveWinLoss 2.67
Expectancy 6.81%
AveDrawUp 62.32%
AveDrawDown -19.84%
MaxDrawDown -60.44%
Kelly 48.01%
Thorpe 25.84
Rachev 0.88
APR 19.96%
CalmarRatio 1.01

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
IWM 2010-12-30 2011-01-31 $65.87 $65.19 Long 61.0 -1.03% 1799.32 10152.78
VO 2011-01-31 2011-02-28 $63.24 $65.85 Long 65.0 4.13% 1795.30 10585.72
VB 2011-02-28 2011-05-31 $63.95 $66.06 Long 67.0 3.30% 1905.74 10787.33
QLD 2010-12-30 2011-06-30 $2.52 $2.71 Long 1609.0 7.88% 2039.35 10486.06
GLD 2011-06-30 2011-07-29 $146.00 $158.29 Long 29.0 8.42% 2034.02 10697.86
VO 2011-05-31 2011-07-29 $68.50 $64.57 Long 63.0 -5.73% 2034.02 10697.86
TMF 2011-07-29 2012-03-30 $9.07 $12.88 Long 955.0 42.02% 2780.82 14338.82
VB 2012-03-30 2012-04-30 $66.12 $65.45 Long 87.0 -1.02% 2761.75 14130.96
SCHB 2012-04-30 2012-05-31 $13.63 $12.79 Long 419.0 -6.23% 8118.74 18229.56
QLD 2012-03-30 2012-06-01 $3.65 $2.90 Long 1590.0 -20.66% 7482.48 7482.48
TMF 2012-05-31 2012-09-14 $19.00 $15.17 Long 276.0 -20.15% 8639.96 12468.21
QLD 2012-06-28 2012-09-28 $3.08 $3.73 Long 984.0 21.32% 2326.84 12324.58
GLD 2012-09-28 2012-11-30 $171.89 $166.05 Long 29.0 -3.40% 2391.82 12240.22
TMF 2012-09-27 2012-11-30 $17.49 $17.82 Long 286.0 1.90% 2391.82 12240.22
SCHB 2012-11-30 2012-12-31 $13.97 $14.16 Long 354.0 1.36% 2402.41 12455.58
VO 2012-12-31 2013-01-31 $70.44 $75.07 Long 71.0 6.57% 2461.14 13105.36
IWM 2013-01-31 2013-02-28 $77.52 $78.30 Long 68.0 1.00% 2466.45 13225.77
VB 2012-11-30 2013-04-30 $67.18 $78.22 Long 73.0 16.43% 2578.16 13829.66
VO 2013-02-28 2013-05-31 $75.99 $82.26 Long 70.0 8.25% 2583.16 14332.53
VB 2013-05-31 2013-07-31 $81.03 $85.62 Long 71.0 5.66% 2608.53 15090.29
IWM 2013-07-31 2014-01-31 $90.35 $98.40 Long 67.0 8.91% 2111.64 17525.29
TMF 2014-01-31 2014-02-28 $11.98 $12.17 Long 592.0 1.63% 1832.17 18494.84
VO 2014-02-28 2014-03-31 $98.48 $98.22 Long 76.0 -0.26% 2027.55 17962.21
QLD 2013-04-30 2014-05-30 $3.96 $6.61 Long 1414.0 66.86% 11368.64 19748.96
QLD 2014-06-30 2014-07-31 $7.02 $7.16 Long 1134.0 2.09% 11535.21 19965.46
QLD 2014-08-29 2014-09-30 $7.89 $7.76 Long 1087.0 -1.67% 11391.65 20396.78
QLD 2014-10-31 2015-03-31 $8.13 $8.81 Long 1052.0 8.39% 2112.94 24923.83
TMF 2014-03-31 2015-04-30 $12.38 $19.58 Long 587.0 58.12% 4192.43 23264.30
VO 2015-03-31 2015-05-29 $116.23 $113.55 Long 86.0 -2.31% 4349.41 23789.79
QLD 2015-04-30 2015-07-31 $9.12 $9.85 Long 1032.0 7.91% 4589.57 24086.18
IWM 2015-05-29 2015-07-31 $110.44 $110.08 Long 87.0 -0.33% 4589.57 24086.18
TBF 2015-07-31 2015-12-31 $23.49 $23.23 Long 830.0 -1.12% 4550.15 23867.91
TMF 2015-12-31 2016-09-30 $17.07 $25.47 Long 1132.0 49.27% 6388.76 33384.96
QLD 2016-09-30 2016-11-30 $10.72 $10.45 Long 1261.0 -2.51% 5917.10 33849.06
VB 2016-11-30 2016-12-30 $114.70 $116.91 Long 119.0 1.92% 5856.37 34523.85
IWM 2016-09-30 2017-03-31 $113.27 $126.26 Long 119.0 11.46% 5382.77 38286.63
SCHB 2017-03-31 2017-04-28 $25.53 $25.79 Long 607.0 1.00% 5199.98 39368.05
IWM 2017-04-28 2017-05-31 $127.71 $125.19 Long 124.0 -1.97% 4350.48 40453.23
QLD 2016-12-30 2017-08-31 $10.67 $16.02 Long 1309.0 50.11% 25324.36 43265.29
TMF 2017-05-31 2017-09-29 $18.91 $19.21 Long 866.0 1.59% 7978.72 41958.17
IWM 2017-09-29 2017-10-31 $137.01 $138.01 Long 124.0 0.73% 7423.58 43632.36
SCHB 2017-10-31 2017-11-30 $28.09 $28.93 Long 629.0 3.00% 7580.13 44851.15
IWM 2017-11-30 2017-12-29 $142.06 $141.50 Long 127.0 -0.40% 7349.38 44950.96
SCHB 2017-12-29 2018-03-29 $29.26 $29.05 Long 622.0 -0.73% 7008.65 45576.76
VO 2018-03-29 2018-04-30 $141.60 $141.32 Long 130.0 -0.19% 8830.83 45593.86
QLD 2017-09-29 2018-04-30 $15.92 $18.94 Long 1067.0 18.97% 8830.83 45593.86
VB 2018-04-30 2018-05-31 $136.03 $142.96 Long 135.0 5.10% 8843.92 47664.35
IWM 2018-04-30 2018-09-28 $142.63 $157.79 Long 129.0 10.63% 8149.34 52040.56
SCHB 2018-09-28 2018-10-31 $32.33 $29.93 Long 651.0 -7.44% 8825.94 46419.29
QLD 2018-05-31 2018-10-31 $21.08 $20.53 Long 915.0 -2.59% 8825.94 46419.29
TBF 2018-10-31 2018-12-31 $22.77 $21.21 Long 1651.0 -6.86% 8340.37 43842.26
TMF 2018-12-31 2019-11-29 $18.17 $27.21 Long 1954.0 49.78% 11704.02 61516.70
SCHB 2019-11-29 2020-01-31 $35.22 $36.16 Long 707.0 2.66% 12482.67 65579.97
QLD 2019-11-29 2020-01-31 $28.15 $31.99 Long 885.0 13.65% 12482.67 65579.97
TMF 2020-01-31 2020-08-31 $30.31 $37.18 Long 1752.0 22.68% 14776.22 77622.39
QLD 2020-08-31 2020-09-23 $51.77 $41.13 Long 607.0 -20.55% 39741.89 69456.19
GLD 2020-08-31 2020-09-30 $184.83 $177.12 Long 170.0 -4.17% 13162.09 70298.35
VO 2020-09-30 2020-10-30 $168.73 $168.62 Long 168.0 -0.07% 13850.86 68347.18
VB 2020-10-30 2020-11-30 $150.21 $173.91 Long 184.0 15.78% 13963.93 78773.97
QLD 2020-09-29 2021-02-26 $44.85 $56.93 Long 632.0 26.94% 14101.58 88518.97
VB 2021-02-26 2021-04-30 $202.50 $214.26 Long 177.0 5.81% 14892.24 91836.41
IWM 2020-11-30 2021-06-30 $174.24 $222.21 Long 183.0 27.53% 16601.05 96246.49
SCHB 2021-06-30 2021-08-31 $50.40 $52.76 Long 773.0 4.68% 15304.45 103934.22
QLD 2021-04-30 2021-09-30 $65.15 $72.34 Long 570.0 11.04% 56537.35 94726.76
QLD 2021-10-29 2021-11-30 $84.04 $87.09 Long 469.0 3.63% 57968.64 101883.56
TMF 2021-08-31 2022-01-31 $28.07 $24.06 Long 1499.0 -14.28% 17881.41 94038.40
TBF 2022-01-31 2023-01-31 $16.04 $20.46 Long 4748.0 27.56% 22011.61 115024.27
VB 2023-01-31 2023-02-28 $199.77 $195.16 Long 233.0 -2.30% 21184.48 111457.28
GLD 2023-01-31 2023-02-28 $179.41 $169.78 Long 259.0 -5.37% 21184.48 111457.28
TBF 2023-02-28 2023-03-31 $21.62 $20.67 Long 4175.0 -4.41% 20421.40 107474.77
TMF 2023-03-31 2023-05-31 $8.75 $7.80 Long 9950.0 -10.81% 18640.97 98063.60
TBF 2023-05-31 2023-06-30 $21.40 $21.50 Long 3711.0 0.44% 18796.42 98413.85
SCHB 2023-06-30 2023-08-31 $51.51 $52.34 Long 773.0 1.62% 19045.87 100235.40
QLD 2023-06-30 2023-08-31 $64.20 $66.09 Long 620.0 2.95% 19045.87 100235.40

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
Alternate 0.81 TBF 2023-08-31 Hold Long 3.94% EOM
momentum  VO  VB  SCHB  QLD  TMF  GLD  IWM  TBF