Strategy - Alvarez-d


Alvarez Daily Accelerating Dual Momentum

Description

The Alvarez daily strategy is based on the work of Cesar Alvarez on https://alvarezquanttrading.com. This too is using a variant of accelerating dual momentum but with a wide range of assets.

It uses the following risk-on assets: EEM, EFA, GLD, HYG, IWM, LQD, QLD, SSO, UBT, VNQ, with TMF and TIP being the risk off havens

It will buy up to 2 risk-on assets at a time.

Trading happens on the NextOpen of the signal day.

Details

Metrics

MetricMeasure
AccountNamedefault
NoOfTrades183.00
NoOfWins102.00
NoOfLosses81.00
SharpRatio0.86
SortinoRatio1.11
GrossProfit$223816.74
FirstDate2011-01-04
LastDate2023-03-29
FirstEquity$10000.00
FinalEquity$233816.74
OpenEquity$188526.60
LongEquity$223816.74
ShortEquity$0.00
PercentWins55.74%
AveWin7.48%
AveLoss-3.75%
AveWinLoss1.99
Expectancy2.51%
AveDrawUp75.25%
AveDrawDown-19.69%
MaxDrawDown-33.71%
Kelly33.54%
Thorpe45.61
APR29.40%
CalmarRatio1.49

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
QLD2011-01-042011-01-25$2.60$2.66Long3173.02.25%1893.1510137.66
TBF2011-01-252011-02-10$43.19$44.43Long192.02.87%2100.9910556.38
QLD2011-02-102011-03-14$2.79$2.65Long2979.0-5.13%1727.3110022.95
QLD2011-03-142011-03-16$2.65$2.54Long3120.0-4.10%1795.999606.73
TBF2011-03-162011-03-18$42.04$42.30Long187.00.62%1962.689720.97
TIP2011-03-182011-03-30$82.37$81.40Long94.0-1.18%1830.349563.31
TBF2011-03-302011-04-28$42.77$41.82Long182.0-2.22%1764.929447.21
TIP2011-04-282011-05-11$83.44$83.81Long92.00.45%1885.659584.79
TMF2011-05-112011-08-26$8.18$12.27Long928.050.00%2253.7113202.79
TMF2011-08-262011-09-28$12.27$15.06Long898.022.77%2916.4615838.85
TMF2011-09-282011-10-10$15.06$15.09Long854.00.18%2931.5515677.84
TMF2011-10-102011-10-26$15.09$14.41Long853.0-4.53%2009.5314811.03
TMF2011-10-262011-10-28$14.41$12.66Long917.0-12.12%3313.5013824.73
TMF2011-10-282011-12-02$12.66$14.79Long814.016.80%2722.0416000.16
TMF2011-12-022011-12-28$14.79$15.62Long854.05.61%2893.8216648.75
TMF2011-12-282012-01-24$15.62$14.73Long843.0-5.66%2849.6215215.84
TMF2012-01-242012-02-08$14.73$14.58Long846.0-1.01%2785.8715301.73
QLD2012-02-082012-04-20$3.10$3.51Long4002.013.29%3396.7316876.40
TIP2012-04-202012-04-23$92.69$93.19Long145.00.54%3702.4016923.60
QLD2012-04-232012-04-25$3.39$3.49Long3893.02.93%4131.6717331.82
TMF2012-04-252012-05-04$14.63$15.13Long900.03.46%3471.2817764.75
TIP2012-05-042012-05-08$93.34$93.63Long153.00.32%3287.3117842.42
TMF2012-05-082012-06-08$15.60$18.92Long930.021.24%3627.7920267.04
TMF2012-06-082012-08-08$18.92$18.72Long912.0-1.03%3964.7620323.31
TMF2012-08-082012-08-17$18.72$16.63Long894.0-11.17%3998.0218900.14
TMF2012-08-172012-09-13$16.63$17.08Long892.02.68%3690.6618906.16
TMF2012-09-132012-10-18$17.08$16.52Long910.0-3.26%3678.2818738.60
TIP2012-10-182012-11-13$95.82$97.51Long157.01.76%3205.0918908.34
TMF2012-11-132012-12-03$18.99$17.71Long831.0-6.73%3218.4217974.23
TIP2012-12-032013-01-04$97.39$95.81Long151.0-1.63%3148.0017603.85
TBF2013-01-042013-01-28$29.02$29.15Long501.00.46%3406.3717712.30
SSO2013-01-282013-01-31$8.01$7.96Long1792.0-0.58%3389.8817631.84
TBF2013-01-312013-02-01$29.14$28.90Long490.0-0.82%3131.3717652.60
SSO2013-02-012013-04-11$8.04$8.96Long1794.011.51%3730.8519207.71
TLT2013-04-112013-04-12$94.97$95.89Long163.00.97%3371.9219573.02
TMF2013-04-122013-04-16$16.83$17.07Long950.01.44%3771.2619806.17
SSO2013-04-162013-04-17$8.69$8.68Long1821.0-0.04%3396.0219736.95
TMF2013-04-172013-05-08$17.24$16.41Long939.0-4.80%3534.4118973.83
SSO2013-05-082013-06-25$9.37$8.97Long1630.0-4.26%3462.6518173.95
SSO2013-06-252013-07-31$8.97$10.17Long1638.013.40%3762.6420125.76
QLD2013-07-312014-02-06$4.56$5.72Long3589.025.41%5083.9024117.56
TMF2014-02-062014-02-18$11.83$11.70Long1623.0-1.10%4480.1824215.82
QLD2014-02-182014-04-01$6.40$6.20Long3060.0-3.10%4407.4923586.50
SSO2014-04-012014-04-08$12.71$12.24Long1500.0-3.63%4094.4722929.14
TMF2014-04-082014-07-07$12.62$13.58Long1480.07.60%4393.2324335.96
TMF2014-07-072014-09-15$13.58$14.64Long1458.07.80%5022.7325565.91
TMF2014-09-152014-10-24$14.64$17.14Long1415.017.09%5828.3529120.61
TMF2014-10-242015-02-09$17.14$22.96Long1368.033.92%7733.6636446.00
TMF2015-02-092015-02-18$22.96$20.33Long1285.0-11.44%7327.0533946.71
TMF2015-02-182015-03-09$20.33$19.33Long1305.0-4.91%6766.4232548.91
TMF2015-03-092015-04-06$19.33$22.68Long1334.017.32%7778.9136429.34
UBT2015-04-062015-04-07$40.73$39.94Long718.0-1.92%7787.1337020.90
TMF2015-04-072015-04-10$22.04$22.06Long1301.00.12%7745.7336113.22
UBT2015-04-102015-04-15$40.04$40.44Long718.01.01%7074.2936969.58
QLD2015-04-152015-05-04$9.14$9.46Long3250.03.48%7683.2936788.99
TMF2015-05-042015-05-05$19.18$18.54Long1571.0-3.36%7172.4036756.69
TIP2015-05-052015-05-08$92.89$92.80Long319.0-0.10%7630.1736983.05
TBF2015-05-082015-08-12$24.21$23.47Long1204.0-3.05%6726.7735684.05
TLT2015-08-122015-08-18$105.64$104.69Long276.0-0.90%7273.1735413.29
TMF2015-08-182015-08-27$18.79$17.83Long1509.0-5.07%7291.0134328.72
TMF2015-08-272015-08-28$17.83$18.42Long1508.03.27%7050.5534884.42
TLT2015-08-282015-09-14$104.14$103.35Long269.0-0.76%6702.5034777.38
TIP2015-09-142015-09-15$91.10$90.70Long309.0-0.43%6328.4435102.19
TBF2015-09-152015-10-05$24.13$23.46Long1177.0-2.79%7041.7633753.34
TLT2015-10-052015-10-21$105.06$104.97Long256.0-0.09%6059.7834206.65
TMF2015-10-212015-10-22$18.67$18.86Long1492.01.02%6483.0034235.42
TLT2015-10-222015-10-28$105.39$105.53Long263.00.14%6634.0333931.89
TMF2015-10-282015-11-05$18.96$17.62Long1456.0-7.06%6120.1632227.04
TLT2015-11-052015-11-13$103.02$101.55Long254.0-1.43%6254.5631842.34
TBF2015-11-132015-12-01$24.21$23.74Long1060.0-1.94%5871.2331745.58
TLT2015-12-012015-12-04$103.42$101.94Long247.0-1.43%7082.0031672.69
TMF2015-12-042016-01-07$16.99$18.37Long1411.08.12%6260.8233024.55
TLT2016-01-072016-01-08$104.84$104.63Long255.0-0.20%6374.3233529.48
TMF2016-01-082016-02-18$18.25$21.49Long1456.017.75%7362.6538687.07
TMF2016-02-182016-04-29$21.49$21.04Long1410.0-2.10%7227.5936920.56
SSO2016-04-292016-05-02$15.62$15.65Long1907.00.17%6814.1036443.20
TMF2016-05-022016-05-03$21.29$21.65Long1421.01.69%8136.0637400.54
GLD2016-05-032016-05-05$123.73$122.63Long238.0-0.89%6931.1037987.74
TMF2016-05-052016-07-15$21.94$26.58Long1385.021.15%8082.0843471.06
UBT2016-07-152016-07-21$46.50$45.27Long767.0-2.66%7522.7142562.96
SSO2016-07-212016-07-25$17.26$17.26Long2044.00.01%7051.0042310.44
UBT2016-07-252016-07-26$46.98$46.90Long761.0-0.18%8611.4842794.55
SSO2016-07-262016-08-04$17.19$17.14Long1985.0-0.30%7824.3942844.87
QLD2016-08-042016-10-31$10.15$10.52Long3431.03.65%8521.3343937.87
TIP2016-10-312016-11-03$96.17$96.19Long368.00.03%8198.1843984.48
TBF2016-11-032016-11-16$21.12$22.52Long1691.06.59%8588.4647055.65
QLD2016-11-162016-11-17$10.18$10.38Long3702.01.96%8808.7547117.16
IWM2016-11-172016-12-23$119.39$124.97Long320.04.67%9389.0348901.66
SSO2016-12-232016-12-27$18.85$18.95Long2091.00.52%9055.3949268.26
QLD2016-12-272016-12-28$11.06$11.17Long3611.01.01%9329.4448679.65
SSO2016-12-282016-12-29$19.03$18.69Long2106.0-1.80%10062.7948597.07
QLD2016-12-292016-12-30$10.95$10.96Long3528.00.11%9321.6648510.67
IWM2016-12-302017-01-11$125.10$125.68Long315.00.46%9172.1549105.92
QLD2017-01-112017-03-24$11.45$13.02Long3472.013.72%10469.9954287.45
TBF2017-03-242017-04-13$22.56$21.96Long1946.0-2.64%10418.5652966.38
QLD2017-04-132017-04-17$13.00$13.00Long3291.00.01%10320.3753320.30
TBF2017-04-172017-04-18$21.96$21.90Long1953.0-0.26%9746.7153272.81
QLD2017-04-182017-04-24$13.05$13.64Long3321.04.50%10718.3154909.58
TBF2017-04-242017-04-25$22.15$22.23Long2001.00.35%10335.2555562.55
QLD2017-04-252017-05-19$13.76$14.38Long3260.04.47%11597.9857589.74
TMF2017-05-192017-05-22$18.76$18.80Long2431.00.20%10679.5857279.66
TLT2017-05-222017-05-23$108.91$109.00Long428.00.08%10871.1456203.83
TMF2017-05-232017-07-07$18.83$18.62Long2468.0-1.11%11057.3156794.88
TMF2017-07-072017-07-21$18.62$19.92Long2458.06.97%12426.1860335.39
QLD2017-07-212017-07-26$15.61$15.86Long3049.01.63%12839.5761475.12
TMF2017-07-262017-09-20$18.76$20.11Long2556.07.22%12423.2163971.91
QLD2017-09-202017-10-27$16.06$16.81Long3227.04.66%13836.6367143.06
SSO2017-10-272017-11-01$24.56$24.85Long2151.01.20%12626.8866869.42
QLD2017-11-012017-12-06$17.56$17.38Long3114.0-0.99%13015.1066911.40
SSO2017-12-062017-12-08$25.71$26.13Long2090.01.63%12016.9467324.18
QLD2017-12-082017-12-18$18.05$18.87Long3081.04.52%12895.7870184.96
SSO2017-12-182017-12-19$26.99$27.07Long2121.00.31%13475.8469877.51
QLD2017-12-192017-12-20$18.87$18.85Long3013.0-0.09%13784.6469762.11
SSO2017-12-202017-12-26$27.03$26.77Long2090.0-0.96%13626.1969704.12
QLD2017-12-262018-02-07$18.44$19.55Long3043.06.04%9051.5071829.28
QLD2018-02-072018-02-09$19.55$18.04Long3277.0-7.71%17621.9668443.41
QLD2018-02-092018-03-23$18.04$19.62Long2802.08.74%15208.7569628.53
QLD2018-03-232018-04-04$19.62$17.55Long2925.0-10.56%12945.0270099.00
QLD2018-04-042018-04-05$17.55$19.18Long3054.09.31%14148.0971701.27
TBF2018-04-052018-04-24$22.09$22.49Long2597.01.78%14273.7569567.12
QLD2018-04-242018-05-03$19.44$19.02Long2998.0-2.15%13087.7571183.36
IWM2018-05-032018-05-08$144.44$147.07Long403.01.82%13573.8072437.80
QLD2018-05-082018-09-20$20.16$24.46Long2916.021.35%16552.9584619.83
TBF2018-09-202018-09-21$22.69$22.63Long3013.0-0.25%15224.2183565.61
QLD2018-09-212018-09-25$24.82$24.50Long2801.0-1.29%15802.7783466.54
SSO2018-09-252018-09-26$31.50$31.36Long2160.0-0.44%15607.1183513.77
QLD2018-09-262018-10-09$24.62$23.25Long2759.0-5.58%15281.8979294.79
TBF2018-10-092018-12-13$23.37$22.27Long2759.0-4.71%14617.0276508.55
TLT2018-12-132018-12-14$108.94$109.02Long570.00.08%14767.8576760.16
TBF2018-12-142018-12-17$22.28$22.28Long2783.00.00%14596.0577064.19
TLT2018-12-172018-12-20$109.06$112.47Long570.03.13%12286.1076552.47
TMF2018-12-202019-09-11$18.71$28.01Long3549.049.67%25366.58111810.25
TMF2019-09-112019-10-14$28.01$28.46Long3082.01.59%22065.65113038.14
TMF2019-10-142019-11-08$28.46$24.75Long3198.0-13.02%20951.83100879.17
TMF2019-11-082019-12-02$24.75$26.37Long3243.06.55%18385.51106589.97
TLT2019-12-022019-12-03$130.13$131.92Long677.01.38%17697.06109860.69
TMF2019-12-032019-12-23$27.50$25.63Long3273.0-6.80%19216.33101352.51
TLT2019-12-232019-12-26$129.08$129.17Long638.00.07%19192.54102843.61
QLD2019-12-262019-12-27$30.29$30.95Long2722.02.19%20150.03103469.46
TIP2019-12-272020-01-02$103.59$103.88Long804.00.28%17703.71105043.13
QLD2020-01-022020-01-30$30.88$32.50Long2784.05.26%16857.31107639.86
TMF2020-01-302020-02-05$30.17$28.65Long3027.0-5.04%14088.06102045.56
QLD2020-02-052020-02-06$35.43$34.99Long2526.0-1.26%20133.16103465.63
TMF2020-02-062020-03-11$28.55$43.75Long2884.053.25%41921.06130227.60
TMF2020-03-112020-03-12$43.75$39.42Long2386.0-9.89%40935.46132021.91
TMF2020-03-122020-03-18$39.42$33.07Long2411.0-16.12%41233.07108143.85
TMF2020-03-182020-03-19$33.07$29.11Long2402.0-11.98%34072.92114991.16
TMF2020-03-192020-05-06$29.11$39.06Long2648.034.19%26495.85137961.81
TMF2020-05-062020-05-20$39.06$38.82Long2842.0-0.62%23739.90138832.90
TMF2020-05-202020-06-05$38.82$33.01Long2913.0-14.95%26711.11122738.04
TMF2020-06-052020-06-16$33.01$36.07Long2823.09.26%8367.60127729.32
QLD2020-06-162020-07-09$35.73$41.22Long3363.015.36%28837.21152196.87
TMF2020-07-092020-07-30$39.81$44.44Long2968.011.62%33006.45164098.29
QLD2020-07-302020-09-08$39.79$43.99Long3210.010.57%37537.81171702.19
QLD2020-09-082020-09-22$43.99$43.21Long3107.0-1.79%26649.83174274.36
QLD2020-09-222020-10-29$43.21$43.76Long3359.01.28%39471.38176633.53
QLD2020-10-292021-01-06$43.76$54.97Long3066.025.63%29689.94212538.85
IWM2021-01-062021-01-29$194.05$204.02Long919.05.14%43211.87211937.35
QLD2021-01-292021-02-01$59.30$58.76Long2934.0-0.91%45300.57217604.36
IWM2021-02-012021-02-09$202.51$220.95Long841.09.11%44418.44232091.85
QLD2021-02-092021-02-19$64.14$64.58Long2911.00.68%45420.70234691.10
IWM2021-02-192021-03-26$216.41$213.39Long864.0-1.39%36884.95231246.67
IWM2021-03-262021-04-07$213.39$218.53Long904.02.41%44327.39235038.63
SSO2021-04-072021-06-30$53.30$59.06Long3567.010.82%46535.72254571.59
QLD2021-06-302021-07-21$71.74$73.08Long2906.01.88%66314.13258446.39
TMF2021-07-212021-08-13$28.17$27.42Long6836.0-2.69%46710.74260573.00
TMF2021-08-132021-09-28$27.42$25.86Long7551.0-5.69%46193.59240994.69
TMF2021-09-282021-10-11$25.86$24.47Long7571.0-5.37%43339.55231385.87
TIP2021-10-112021-11-03$118.91$119.72Long1582.00.68%39034.37224110.24
TMF2021-11-032021-11-11$27.82$28.12Long6964.01.10%45489.52232980.80
QLD2021-11-112021-11-12$87.03$86.65Long2176.0-0.44%47201.36231402.87
TMF2021-11-122021-12-17$27.85$29.12Long6710.04.59%43735.54243634.51
TMF2021-12-172022-01-04$29.12$25.21Long6829.0-13.44%39411.67215411.90
TIP2022-01-042022-01-13$120.47$118.59Long1465.0-1.56%39516.17211988.61
TBF2022-01-132022-08-03$16.33$19.29Long10633.018.13%42100.89240886.51
TBF2022-08-032022-11-29$19.29$21.99Long10499.014.02%50611.94273098.61
TBF2022-11-292022-12-13$21.99$20.49Long10112.0-6.82%42776.46255190.97
TLT2022-12-132022-12-22$108.23$103.15Long1987.0-4.70%45899.23247735.47
TBF2022-12-222023-01-19$21.54$20.70Long9370.0-3.91%49740.21240145.16
EFA2023-01-192023-02-16$70.28$70.57Long2705.00.41%41411.94241439.35
TBF2023-02-162023-03-27$22.00$21.37Long9057.0-2.85%50807.38233715.40
TLT2023-03-272023-03-28$105.05$104.24Long1753.0-0.77%44906.20234024.22
TIP2023-03-282023-03-29$109.10$109.26Long1729.00.15%45290.14234943.90

Signals

StrategyRatioSizeTickerDateStateTypeProfitTick
Alvarez-d0.900.81TLT2023-03-28Sell@NextOpenLong0.00%EOD
Alvarez-d0.900.82TMF2023-03-29Buy@NextOpenLong0.00%EOD