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 | 0.77 |
| SortinoRatio | 0.95 |
| GrossProfit | $153902.15 |
| FirstDate | 2009-11-27 |
| LastDate | 2022-02-28 |
| FirstEquity | $10000.00 |
| FinalEquity | $163902.15 |
| OpenEquity | $0.00 |
| LongEquity | $153902.15 |
| ShortEquity | $0.00 |
| PercentWins | 66.67% |
| AveWin | 15.03% |
| AveLoss | -6.29% |
| AveWinLoss | 2.39 |
| Expectancy | 7.93% |
| AveDrawUp | 64.81% |
| AveDrawDown | -20.14% |
| MaxDrawDown | -39.65% |
| Kelly | 52.72% |
| Thrope | 41.41 |
| APR | 25.64% |
| CalmarRatio | 1.27 |
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% | 1131.98 | 10176.75 |
| VO | 2009-12-31 | 2010-03-31 | $50.09 | $54.42 | Long | 86.0 | 8.64% | 1136.19 | 11023.61 |
| QLD | 2009-11-27 | 2010-05-28 | $1.66 | $1.78 | Long | 2579.0 | 7.70% | 1340.32 | 10292.64 |
| VB | 2010-03-31 | 2010-06-30 | $52.54 | $47.21 | Long | 89.0 | -10.14% | 5541.83 | 10675.91 |
| QLD | 2010-07-30 | 2010-08-31 | $1.79 | $1.61 | Long | 2503.0 | -10.22% | 5084.26 | 11298.07 |
| TMF | 2010-05-28 | 2010-10-29 | $8.67 | $9.64 | Long | 507.0 | 11.09% | 871.45 | 10563.97 |
| GLD | 2010-10-29 | 2010-11-30 | $132.62 | $135.42 | Long | 34.0 | 2.11% | 984.31 | 10615.55 |
| IWM | 2010-11-30 | 2011-01-31 | $61.53 | $66.22 | Long | 73.0 | 7.63% | 801.86 | 11765.64 |
| VO | 2011-01-31 | 2011-02-28 | $64.32 | $66.97 | Long | 78.0 | 4.13% | 751.74 | 12341.72 |
| VB | 2011-02-28 | 2011-05-31 | $65.11 | $67.26 | Long | 81.0 | 3.30% | 835.70 | 12600.18 |
| QLD | 2010-09-30 | 2011-06-30 | $2.05 | $2.73 | Long | 2242.0 | 33.39% | 1847.90 | 12194.18 |
| GLD | 2011-06-30 | 2011-07-29 | $146.00 | $158.29 | Long | 35.0 | 8.42% | 1810.37 | 12444.59 |
| VO | 2011-05-31 | 2011-07-29 | $69.66 | $65.67 | Long | 77.0 | -5.73% | 1810.37 | 12444.59 |
| TMF | 2011-07-29 | 2012-03-30 | $9.30 | $13.20 | Long | 1144.0 | 42.02% | 2481.55 | 16913.59 |
| VB | 2012-03-30 | 2012-04-30 | $67.32 | $66.64 | Long | 107.0 | -1.02% | 2505.28 | 16654.37 |
| SCHB | 2012-04-30 | 2012-05-31 | $13.85 | $12.99 | Long | 513.0 | -6.23% | 2668.05 | 15230.22 |
| QLD | 2012-03-30 | 2012-06-01 | $3.67 | $2.91 | Long | 1968.0 | -20.66% | 8403.67 | 15357.48 |
| TMF | 2012-05-31 | 2012-09-14 | $19.46 | $15.54 | Long | 334.0 | -20.15% | 7277.65 | 15261.62 |
| QLD | 2012-06-28 | 2012-09-28 | $3.10 | $3.76 | Long | 2040.0 | 21.32% | 2146.78 | 14954.23 |
| GLD | 2012-09-28 | 2012-11-30 | $171.89 | $166.05 | Long | 37.0 | -3.40% | 2211.65 | 14847.47 |
| TMF | 2012-09-27 | 2012-11-30 | $17.92 | $18.26 | Long | 359.0 | 1.90% | 2211.65 | 14847.47 |
| SCHB | 2012-11-30 | 2012-12-31 | $14.19 | $14.38 | Long | 447.0 | 1.36% | 2194.02 | 15123.80 |
| VO | 2012-12-31 | 2013-01-31 | $71.64 | $76.35 | Long | 90.0 | 6.57% | 2292.87 | 15959.54 |
| IWM | 2013-01-31 | 2013-02-28 | $78.75 | $79.54 | Long | 86.0 | 1.00% | 2255.65 | 16114.13 |
| VB | 2012-11-30 | 2013-04-30 | $68.40 | $79.64 | Long | 92.0 | 16.43% | 2361.78 | 16892.32 |
| VO | 2013-02-28 | 2013-05-31 | $77.28 | $83.66 | Long | 89.0 | 8.25% | 2381.90 | 17541.27 |
| VB | 2013-05-31 | 2013-07-31 | $82.50 | $87.17 | Long | 90.0 | 5.66% | 2334.32 | 18518.92 |
| IWM | 2013-07-31 | 2014-01-31 | $91.78 | $99.95 | Long | 86.0 | 8.91% | 1678.48 | 21667.25 |
| TMF | 2014-01-31 | 2014-02-28 | $12.27 | $12.47 | Long | 754.0 | 1.63% | 1366.51 | 22919.55 |
| VO | 2014-02-28 | 2014-03-31 | $100.15 | $99.89 | Long | 97.0 | -0.26% | 1564.20 | 22232.39 |
| QLD | 2013-04-30 | 2014-05-30 | $3.98 | $6.65 | Long | 1813.0 | 66.86% | 13612.61 | 24554.60 |
| QLD | 2014-06-30 | 2014-07-31 | $7.06 | $7.21 | Long | 1480.0 | 2.09% | 13831.30 | 24838.48 |
| QLD | 2014-08-29 | 2014-09-30 | $7.94 | $7.81 | Long | 1423.0 | -1.67% | 13642.23 | 25400.03 |
| QLD | 2014-10-31 | 2015-03-31 | $8.17 | $8.86 | Long | 1377.0 | 8.39% | 1229.42 | 31318.84 |
| TMF | 2014-03-31 | 2015-04-30 | $12.69 | $20.07 | Long | 748.0 | 58.12% | 3783.65 | 29141.63 |
| VO | 2015-03-31 | 2015-05-29 | $118.21 | $115.47 | Long | 113.0 | -2.31% | 4155.21 | 29838.20 |
| IWM | 2015-05-29 | 2015-07-31 | $112.19 | $111.82 | Long | 113.0 | -0.33% | 30230.36 | 30230.36 |
| QLD | 2015-04-30 | 2015-07-31 | $9.18 | $9.90 | Long | 1357.0 | 7.91% | 30230.36 | 30230.36 |
| TMF | 2015-08-31 | 2016-09-30 | $17.83 | $26.10 | Long | 1449.0 | 46.37% | 6220.52 | 42210.96 |
| QLD | 2016-09-30 | 2016-11-30 | $10.78 | $10.51 | Long | 1673.0 | -2.51% | 5589.52 | 42828.01 |
| VB | 2016-11-30 | 2016-12-30 | $116.79 | $119.03 | Long | 156.0 | 1.92% | 5474.39 | 43727.42 |
| IWM | 2016-09-30 | 2017-03-31 | $115.07 | $128.26 | Long | 156.0 | 11.46% | 4652.38 | 48757.15 |
| SCHB | 2017-03-31 | 2017-04-28 | $25.94 | $26.20 | Long | 803.0 | 1.00% | 4284.96 | 50204.27 |
| IWM | 2017-04-28 | 2017-05-31 | $129.73 | $127.17 | Long | 165.0 | -1.97% | 3203.30 | 51650.83 |
| QLD | 2016-12-30 | 2017-08-31 | $10.74 | $16.12 | Long | 1740.0 | 50.11% | 31249.35 | 55427.49 |
| TMF | 2017-05-31 | 2017-09-29 | $19.37 | $19.68 | Long | 1139.0 | 1.59% | 7902.12 | 53665.96 |
| IWM | 2017-09-29 | 2017-10-31 | $139.18 | $140.19 | Long | 164.0 | 0.73% | 7007.64 | 55925.45 |
| SCHB | 2017-10-31 | 2017-11-30 | $28.54 | $29.40 | Long | 837.0 | 3.00% | 7077.78 | 57571.91 |
| IWM | 2017-11-30 | 2017-12-29 | $144.32 | $143.74 | Long | 170.0 | -0.40% | 6867.67 | 57705.96 |
| SCHB | 2017-12-29 | 2018-03-29 | $29.73 | $29.51 | Long | 829.0 | -0.73% | 6419.64 | 58550.30 |
| VO | 2018-03-29 | 2018-04-30 | $144.00 | $143.72 | Long | 173.0 | -0.19% | 8722.27 | 58573.28 |
| QLD | 2017-09-29 | 2018-04-30 | $16.02 | $19.06 | Long | 1432.0 | 18.97% | 8722.27 | 58573.28 |
| VB | 2018-04-30 | 2018-05-31 | $138.50 | $145.56 | Long | 180.0 | 5.10% | 8693.55 | 61380.57 |
| IWM | 2018-04-30 | 2018-09-28 | $144.89 | $160.29 | Long | 172.0 | 10.63% | 7486.15 | 67327.59 |
| QLD | 2018-05-31 | 2018-10-31 | $21.20 | $20.66 | Long | 1237.0 | -2.59% | 8664.97 | 59671.60 |
| SCHB | 2018-09-28 | 2018-10-31 | $32.85 | $30.40 | Long | 876.0 | -7.44% | 8664.97 | 59671.60 |
| TMF | 2018-10-31 | 2019-11-29 | $15.07 | $27.88 | Long | 3385.0 | 85.05% | 14972.87 | 103054.69 |
| QLD | 2019-11-29 | 2020-01-31 | $28.32 | $32.18 | Long | 1555.0 | 13.65% | 15990.27 | 110237.65 |
| SCHB | 2019-11-29 | 2020-01-31 | $35.79 | $36.74 | Long | 1231.0 | 2.66% | 15990.27 | 110237.65 |
| TMF | 2020-01-31 | 2020-08-31 | $31.05 | $38.10 | Long | 3035.0 | 22.68% | 19178.16 | 131612.88 |
| QLD | 2020-08-31 | 2020-09-23 | $52.08 | $41.38 | Long | 1080.0 | -20.55% | 63863.16 | 116999.32 |
| GLD | 2020-08-31 | 2020-09-30 | $184.83 | $177.12 | Long | 304.0 | -4.17% | 16648.55 | 118501.42 |
| VO | 2020-09-30 | 2020-10-30 | $171.59 | $171.48 | Long | 295.0 | -0.07% | 18140.96 | 115029.11 |
| VB | 2020-10-30 | 2020-11-30 | $152.94 | $177.07 | Long | 321.0 | 15.78% | 17985.93 | 133569.76 |
| QLD | 2020-09-29 | 2021-02-26 | $45.12 | $57.27 | Long | 1118.0 | 26.94% | 17479.58 | 150964.19 |
| VB | 2021-02-26 | 2021-04-30 | $206.18 | $218.15 | Long | 313.0 | 5.81% | 18719.67 | 156921.09 |
| IWM | 2020-11-30 | 2021-06-30 | $177.00 | $225.73 | Long | 322.0 | 27.53% | 20952.76 | 164867.86 |
| SCHB | 2021-06-30 | 2021-08-31 | $51.20 | $53.60 | Long | 1376.0 | 4.68% | 18313.57 | 178753.24 |
| QLD | 2021-04-30 | 2021-09-30 | $65.54 | $72.77 | Long | 1023.0 | 11.04% | 92757.28 | 162090.56 |
| QLD | 2021-10-29 | 2021-11-30 | $84.54 | $87.61 | Long | 844.0 | 3.63% | 95348.36 | 175076.35 |
| TMF | 2021-08-31 | 2022-02-08 | $28.76 | $22.59 | Long | 2656.0 | -21.46% | 155345.52 | 155345.52 |
| TMF | 2022-02-25 | 2022-02-28 | $21.89 | $23.30 | Long | 6066.0 | 6.44% | 163902.15 | 163902.15 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| Alternate | 0.90 | 0.00 | Out | EOM |