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 | 0.84 |
| SortinoRatio | 1.07 |
| GrossProfit | $219131.30 |
| FirstDate | 2009-11-27 |
| LastDate | 2022-02-28 |
| FirstEquity | $10000.00 |
| FinalEquity | $229131.30 |
| OpenEquity | $-0.00 |
| LongEquity | $219131.30 |
| ShortEquity | $0.00 |
| PercentWins | 66.67% |
| AveWin | $5718.38 |
| AveLoss | $-2306.30 |
| AveWinLoss | 2.48 |
| Expectancy | 9.02% |
| AveDrawUp | 68.52% |
| AveDrawDown | -18.98% |
| MaxDrawDown | -39.65% |
| Kelly | 53.22% |
| Thrope | 43.67 |
| APR | 29.12% |
| CalmarRatio | 1.53 |
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% | 1100.98 | 10176.75 |
| VO | 2009-12-31 | 2010-03-31 | $50.45 | $54.81 | Long | 86.0 | 8.64% | 1105.22 | 11026.29 |
| QLD | 2009-11-27 | 2010-05-28 | $1.66 | $1.78 | Long | 2579.0 | 7.70% | 1309.92 | 10294.44 |
| VB | 2010-03-31 | 2010-06-30 | $52.92 | $47.55 | Long | 89.0 | -10.14% | 5541.65 | 10675.08 |
| QLD | 2010-07-30 | 2010-08-31 | $1.79 | $1.61 | Long | 2502.0 | -10.22% | 5084.27 | 11297.28 |
| TMF | 2010-05-28 | 2010-10-29 | $8.73 | $9.69 | Long | 504.0 | 11.09% | 870.83 | 10563.35 |
| GLD | 2010-10-29 | 2010-11-30 | $132.62 | $135.42 | Long | 34.0 | 2.11% | 947.98 | 10614.94 |
| IWM | 2010-11-30 | 2011-01-31 | $62.02 | $66.75 | Long | 73.0 | 7.63% | 832.65 | 11767.75 |
| VO | 2011-01-31 | 2011-02-28 | $64.78 | $67.45 | Long | 77.0 | 4.13% | 780.29 | 12342.65 |
| VB | 2011-02-28 | 2011-05-31 | $65.58 | $67.74 | Long | 80.0 | 3.30% | 867.27 | 12600.20 |
| QLD | 2010-09-30 | 2011-06-30 | $2.05 | $2.73 | Long | 2242.0 | 33.39% | 1879.47 | 12194.95 |
| GLD | 2011-06-30 | 2011-07-29 | $146.00 | $158.29 | Long | 35.0 | 8.42% | 1806.37 | 12446.42 |
| VO | 2011-05-31 | 2011-07-29 | $70.16 | $66.14 | Long | 76.0 | -5.73% | 1806.37 | 12446.42 |
| TMF | 2011-07-29 | 2012-03-30 | $9.35 | $13.28 | Long | 1138.0 | 42.02% | 2501.80 | 16917.87 |
| VB | 2012-03-30 | 2012-04-30 | $67.80 | $67.12 | Long | 106.0 | -1.02% | 2506.55 | 16658.81 |
| SCHB | 2012-04-30 | 2012-05-31 | $13.97 | $13.10 | Long | 509.0 | -6.23% | 8409.20 | 20970.07 |
| QLD | 2012-03-30 | 2012-06-01 | $3.67 | $2.91 | Long | 1968.0 | -20.66% | 14908.72 | 14908.72 |
| TMF | 2012-05-31 | 2012-09-14 | $19.58 | $15.63 | Long | 332.0 | -20.15% | 13725.94 | 21780.35 |
| QLD | 2012-06-28 | 2012-09-28 | $3.10 | $3.76 | Long | 2058.0 | 21.32% | 3134.58 | 21475.58 |
| TMF | 2012-09-27 | 2012-11-30 | $18.03 | $18.37 | Long | 511.0 | 1.90% | 3114.56 | 21322.58 |
| GLD | 2012-09-28 | 2012-11-30 | $171.89 | $166.05 | Long | 53.0 | -3.40% | 3114.56 | 21322.58 |
| SCHB | 2012-11-30 | 2012-12-31 | $14.31 | $14.50 | Long | 637.0 | 1.36% | 3117.83 | 21721.20 |
| VO | 2012-12-31 | 2013-01-31 | $72.15 | $76.90 | Long | 128.0 | 6.57% | 3197.47 | 22923.58 |
| IWM | 2013-01-31 | 2013-02-28 | $79.38 | $80.17 | Long | 123.0 | 1.00% | 3173.88 | 23146.72 |
| VB | 2012-11-30 | 2013-04-30 | $68.89 | $80.21 | Long | 132.0 | 16.43% | 3390.89 | 24267.89 |
| VO | 2013-02-28 | 2013-05-31 | $77.83 | $84.26 | Long | 127.0 | 8.25% | 3372.20 | 25200.11 |
| VB | 2013-05-31 | 2013-07-31 | $83.10 | $87.80 | Long | 129.0 | 5.66% | 3412.13 | 26607.38 |
| IWM | 2013-07-31 | 2014-01-31 | $92.51 | $100.75 | Long | 122.0 | 8.91% | 2398.96 | 31124.81 |
| TMF | 2014-01-31 | 2014-02-28 | $12.34 | $12.54 | Long | 1078.0 | 1.63% | 1899.15 | 32923.75 |
| VO | 2014-02-28 | 2014-03-31 | $100.87 | $100.61 | Long | 139.0 | -0.26% | 2239.87 | 31936.61 |
| QLD | 2013-04-30 | 2014-05-30 | $3.98 | $6.65 | Long | 2604.0 | 66.86% | 19544.92 | 35273.67 |
| QLD | 2014-06-30 | 2014-07-31 | $7.06 | $7.21 | Long | 2126.0 | 2.09% | 19859.07 | 35681.54 |
| QLD | 2014-08-29 | 2014-09-30 | $7.94 | $7.81 | Long | 2044.0 | -1.67% | 19587.49 | 36488.94 |
| QLD | 2014-10-31 | 2015-03-31 | $8.17 | $8.86 | Long | 1979.0 | 8.39% | 1776.73 | 44996.77 |
| TMF | 2014-03-31 | 2015-04-30 | $12.76 | $20.18 | Long | 1069.0 | 58.12% | 5454.26 | 41868.21 |
| VO | 2015-03-31 | 2015-05-29 | $119.06 | $116.30 | Long | 161.0 | -2.31% | 5860.74 | 42868.89 |
| IWM | 2015-05-29 | 2015-07-31 | $113.08 | $112.71 | Long | 162.0 | -0.33% | 43432.10 | 43432.10 |
| QLD | 2015-04-30 | 2015-07-31 | $9.18 | $9.90 | Long | 1950.0 | 7.91% | 43432.10 | 43432.10 |
| TMF | 2015-08-31 | 2016-09-30 | $17.94 | $26.25 | Long | 2070.0 | 46.37% | 8860.53 | 60646.92 |
| QLD | 2016-09-30 | 2016-11-30 | $10.78 | $10.51 | Long | 2404.0 | -2.51% | 7902.19 | 61537.76 |
| VB | 2016-11-30 | 2016-12-30 | $117.63 | $119.89 | Long | 223.0 | 1.92% | 7781.59 | 62833.30 |
| IWM | 2016-09-30 | 2017-03-31 | $115.98 | $129.28 | Long | 223.0 | 11.46% | 6661.87 | 70064.36 |
| SCHB | 2017-03-31 | 2017-04-28 | $26.16 | $26.42 | Long | 1145.0 | 1.00% | 6180.30 | 72144.47 |
| IWM | 2017-04-28 | 2017-05-31 | $130.76 | $128.18 | Long | 235.0 | -1.97% | 4581.63 | 74224.44 |
| QLD | 2016-12-30 | 2017-08-31 | $10.74 | $16.12 | Long | 2501.0 | 50.11% | 44893.80 | 79653.46 |
| TMF | 2017-05-31 | 2017-09-29 | $19.49 | $19.80 | Long | 1628.0 | 1.59% | 11187.77 | 77121.00 |
| IWM | 2017-09-29 | 2017-10-31 | $140.28 | $141.31 | Long | 235.0 | 0.73% | 10037.89 | 80369.42 |
| SCHB | 2017-10-31 | 2017-11-30 | $28.77 | $29.64 | Long | 1194.0 | 3.00% | 10079.81 | 82736.51 |
| IWM | 2017-11-30 | 2017-12-29 | $145.46 | $144.88 | Long | 243.0 | -0.40% | 9853.94 | 82928.81 |
| SCHB | 2017-12-29 | 2018-03-29 | $29.98 | $29.76 | Long | 1182.0 | -0.73% | 9055.80 | 84142.16 |
| VO | 2018-03-29 | 2018-04-30 | $145.04 | $144.76 | Long | 248.0 | -0.19% | 12397.93 | 84174.85 |
| QLD | 2017-09-29 | 2018-04-30 | $16.02 | $19.06 | Long | 2058.0 | 18.97% | 12397.93 | 84174.85 |
| VB | 2018-04-30 | 2018-05-31 | $139.50 | $146.61 | Long | 257.0 | 5.10% | 12375.07 | 88217.34 |
| IWM | 2018-04-30 | 2018-09-28 | $146.04 | $161.56 | Long | 246.0 | 10.63% | 10781.59 | 96770.01 |
| QLD | 2018-05-31 | 2018-10-31 | $21.20 | $20.66 | Long | 1778.0 | -2.59% | 12441.90 | 85767.52 |
| SCHB | 2018-09-28 | 2018-10-31 | $33.12 | $30.66 | Long | 1248.0 | -7.44% | 12441.90 | 85767.52 |
| TMF | 2018-10-31 | 2019-11-29 | $15.16 | $28.05 | Long | 4838.0 | 85.05% | 21495.99 | 148133.77 |
| QLD | 2019-11-29 | 2020-01-31 | $28.32 | $32.18 | Long | 2236.0 | 13.65% | 22998.55 | 158461.95 |
| SCHB | 2019-11-29 | 2020-01-31 | $36.08 | $37.04 | Long | 1755.0 | 2.66% | 22998.55 | 158461.95 |
| TMF | 2020-01-31 | 2020-08-31 | $31.23 | $38.32 | Long | 4337.0 | 22.68% | 27586.07 | 189184.94 |
| QLD | 2020-08-31 | 2020-09-23 | $52.08 | $41.38 | Long | 1552.0 | -20.55% | 91800.07 | 168183.30 |
| GLD | 2020-08-31 | 2020-09-30 | $184.83 | $177.12 | Long | 437.0 | -4.17% | 23940.29 | 170342.48 |
| VO | 2020-09-30 | 2020-10-30 | $172.83 | $172.71 | Long | 421.0 | -0.07% | 26101.73 | 165351.42 |
| VB | 2020-10-30 | 2020-11-30 | $154.04 | $178.35 | Long | 458.0 | 15.78% | 25715.13 | 191998.99 |
| QLD | 2020-09-29 | 2021-02-26 | $45.12 | $57.27 | Long | 1607.0 | 26.94% | 25130.22 | 217031.95 |
| VB | 2021-02-26 | 2021-04-30 | $207.66 | $219.72 | Long | 446.0 | 5.81% | 26725.33 | 225591.65 |
| IWM | 2020-11-30 | 2021-06-30 | $178.41 | $227.53 | Long | 460.0 | 27.53% | 30096.76 | 237021.59 |
| SCHB | 2021-06-30 | 2021-08-31 | $51.63 | $54.04 | Long | 1962.0 | 4.68% | 26287.09 | 256987.07 |
| QLD | 2021-04-30 | 2021-09-30 | $65.54 | $72.77 | Long | 1471.0 | 11.04% | 133331.76 | 233027.40 |
| QLD | 2021-10-29 | 2021-11-30 | $84.54 | $87.61 | Long | 1214.0 | 3.63% | 137058.74 | 251701.14 |
| TMF | 2021-08-31 | 2022-02-08 | $28.93 | $22.72 | Long | 3797.0 | -21.46% | 223329.79 | 223329.79 |
| TMF | 2022-02-25 | 2022-02-28 | $22.02 | $23.44 | Long | 8670.0 | 6.44% | 235630.82 | 235630.82 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| Alternate | 0.90 | 0.00 | Out | EOM |