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 |