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

Metric Measure
AccountName default
NoOfTrades 140.00
NoOfWins 80.00
NoOfLosses 60.00
SharpRatio 1.01
SortinoRatio 1.30
GrossProfit $135406.15
FirstDate 2011-01-04
LastDate 2023-05-19
FirstEquity $10000.00
FinalEquity $145406.15
OpenEquity $117895.68
LongEquity $135406.15
ShortEquity $0.00
PercentWins 57.14%
AveWin 6.30%
AveLoss -2.19%
AveWinLoss 2.87
Expectancy 2.66%
AveDrawUp 61.25%
AveDrawDown -13.54%
MaxDrawDown -21.50%
Kelly 42.21%
Thorpe 74.43
Rachev 0.80
APR 24.16%
CalmarRatio 1.78

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
QLD 2011-01-04 2011-01-25 $2.60 $2.66 Long 3173.0 2.25% 1893.15 10137.66
TBF 2011-01-25 2011-02-10 $43.19 $44.43 Long 192.0 2.87% 2100.99 10556.38
QLD 2011-02-10 2011-03-14 $2.79 $2.65 Long 2979.0 -5.13% 9996.06 9996.06
TBF 2011-03-16 2011-03-18 $42.04 $42.30 Long 191.0 0.62% 2024.59 10061.61
TIP 2011-03-18 2011-03-30 $81.85 $80.88 Long 98.0 -1.18% 1867.77 9898.16
TBF 2011-03-30 2011-04-28 $42.77 $41.82 Long 189.0 -2.22% 1895.13 9777.52
TIP 2011-04-28 2011-05-11 $82.91 $83.28 Long 95.0 0.45% 1946.79 9919.72
TMF 2011-05-11 2011-08-26 $8.18 $12.27 Long 961.0 50.00% 13736.99 13736.99
QLD 2012-02-08 2012-04-20 $3.10 $3.51 Long 3613.0 13.29% 3067.85 15261.01
TIP 2012-04-20 2012-04-23 $92.10 $92.60 Long 132.0 0.54% 3349.25 15303.70
QLD 2012-04-23 2012-04-25 $3.39 $3.49 Long 3520.0 2.93% 3734.00 15672.81
TMF 2012-04-25 2012-05-04 $14.63 $15.13 Long 814.0 3.46% 3161.31 16064.35
TIP 2012-05-04 2012-05-08 $92.74 $93.04 Long 139.0 0.32% 2972.33 16134.54
TMF 2012-05-08 2012-06-08 $15.60 $18.92 Long 841.0 21.24% 18880.16 18880.16
TIP 2012-10-18 2012-11-13 $95.21 $96.89 Long 160.0 1.76% 3233.19 19068.72
TMF 2012-11-13 2012-12-03 $18.99 $17.71 Long 838.0 -6.73% 3270.44 18126.66
TIP 2012-12-03 2013-01-04 $96.78 $95.20 Long 153.0 -1.63% 3182.40 17753.67
TBF 2013-01-04 2013-01-28 $29.02 $29.15 Long 505.0 0.46% 3437.29 17862.97
SSO 2013-01-28 2013-01-31 $8.01 $7.96 Long 1807.0 -0.58% 3423.61 17781.84
TBF 2013-01-31 2013-02-01 $29.14 $28.90 Long 494.0 -0.82% 3160.14 17802.79
SSO 2013-02-01 2013-04-11 $8.04 $8.96 Long 1809.0 11.51% 3784.05 19370.90
TLT 2013-04-11 2013-04-12 $94.49 $95.40 Long 165.0 0.97% 3401.56 19739.09
TMF 2013-04-12 2013-04-16 $16.83 $17.07 Long 958.0 1.44% 3807.17 19974.16
SSO 2013-04-16 2013-04-17 $8.69 $8.68 Long 1836.0 -0.04% 3424.27 19904.42
TMF 2013-04-17 2013-05-08 $17.24 $16.41 Long 947.0 -4.80% 3562.78 19134.80
SSO 2013-05-08 2013-06-25 $9.37 $8.97 Long 1644.0 -4.26% 18310.28 18310.28
QLD 2013-07-31 2014-02-05 $4.56 $5.68 Long 3276.0 24.51% 4473.10 21733.41
TMF 2014-02-05 2014-02-19 $12.06 $11.83 Long 1451.0 -1.86% 4171.12 21481.60
QLD 2014-02-19 2014-04-01 $6.42 $6.20 Long 2721.0 -3.39% 3951.78 21161.75
SSO 2014-04-01 2014-04-08 $12.71 $12.24 Long 1346.0 -3.63% 3671.57 20571.87
TMF 2014-04-08 2014-07-07 $12.62 $13.58 Long 1328.0 7.60% 21705.99 21705.99
UBT 2015-04-06 2015-04-07 $40.73 $39.94 Long 427.0 -1.92% 4578.05 21700.37
TMF 2015-04-07 2015-04-10 $22.04 $22.06 Long 762.0 0.12% 4535.18 21168.49
UBT 2015-04-10 2015-04-15 $40.04 $40.44 Long 421.0 1.01% 4147.34 21670.58
QLD 2015-04-15 2015-05-04 $9.14 $9.46 Long 1905.0 3.48% 4520.57 21565.28
TMF 2015-05-04 2015-05-05 $19.18 $18.54 Long 920.0 -3.36% 4221.92 21546.37
TIP 2015-05-05 2015-05-08 $92.30 $92.21 Long 188.0 -0.10% 4491.39 21678.91
TBF 2015-05-08 2015-08-12 $24.21 $23.47 Long 705.0 -3.05% 3903.52 20917.88
TLT 2015-08-12 2015-08-18 $105.11 $104.16 Long 163.0 -0.90% 4255.37 20759.02
TMF 2015-08-18 2015-08-27 $18.79 $17.83 Long 885.0 -5.07% 20038.33 20038.33
TLT 2015-08-28 2015-09-14 $103.61 $102.82 Long 158.0 -0.76% 3892.36 19871.88
TIP 2015-09-14 2015-09-15 $90.52 $90.12 Long 177.0 -0.43% 3629.24 20057.41
TBF 2015-09-15 2015-10-05 $24.13 $23.46 Long 672.0 -2.79% 4027.17 19287.23
TLT 2015-10-05 2015-10-21 $104.53 $104.44 Long 147.0 -0.09% 3472.98 19546.13
TMF 2015-10-21 2015-10-22 $18.67 $18.86 Long 852.0 1.02% 3709.93 19562.56
TLT 2015-10-22 2015-10-28 $104.85 $104.99 Long 151.0 0.14% 3790.34 19389.12
TMF 2015-10-28 2015-11-05 $18.96 $17.62 Long 832.0 -7.06% 3587.61 18415.13
TLT 2015-11-05 2015-11-13 $102.50 $101.03 Long 145.0 -1.43% 3567.88 18196.37
TBF 2015-11-13 2015-12-01 $24.21 $23.74 Long 606.0 -1.94% 3444.76 18139.81
TLT 2015-12-01 2015-12-04 $102.89 $101.42 Long 141.0 -1.43% 4053.61 18100.46
TMF 2015-12-04 2016-01-07 $16.99 $18.37 Long 806.0 8.12% 3627.24 18872.63
TLT 2016-01-07 2016-01-08 $104.31 $104.10 Long 146.0 -0.20% 3644.07 19161.31
TMF 2016-01-08 2016-02-18 $18.25 $21.49 Long 832.0 17.75% 21520.06 21520.06
SSO 2016-04-29 2016-05-02 $15.62 $15.65 Long 1096.0 0.17% 4096.32 21473.16
GLD 2016-05-02 2016-05-05 $123.78 $122.63 Long 141.0 -0.93% 3986.43 21768.32
TMF 2016-05-05 2016-07-15 $21.94 $26.58 Long 793.0 21.15% 4652.69 24907.93
UBT 2016-07-15 2016-07-21 $46.50 $45.27 Long 439.0 -2.66% 4313.61 24388.04
SSO 2016-07-21 2016-07-25 $17.26 $17.26 Long 1171.0 0.01% 4042.15 24243.35
UBT 2016-07-25 2016-07-26 $46.98 $46.90 Long 436.0 -0.18% 4940.79 24520.71
SSO 2016-07-26 2016-08-04 $17.19 $17.14 Long 1137.0 -0.30% 4492.61 24549.51
QLD 2016-08-04 2016-10-31 $10.15 $10.52 Long 1965.0 3.65% 4902.16 25175.49
TIP 2016-10-31 2016-11-03 $95.55 $95.58 Long 212.0 0.03% 4695.46 25202.21
TBF 2016-11-03 2016-11-16 $21.12 $22.52 Long 969.0 6.59% 4922.87 26962.02
QLD 2016-11-16 2016-11-17 $10.18 $10.38 Long 2121.0 1.96% 5089.52 26997.15
IWM 2016-11-17 2016-12-23 $119.39 $124.97 Long 183.0 4.67% 5379.73 28017.77
SSO 2016-12-23 2016-12-27 $18.85 $18.95 Long 1198.0 0.52% 5186.98 28227.81
QLD 2016-12-27 2016-12-28 $11.06 $11.17 Long 2069.0 1.01% 5356.91 27890.79
SSO 2016-12-28 2016-12-29 $19.03 $18.69 Long 1206.0 -1.80% 5769.28 27843.48
QLD 2016-12-29 2016-12-30 $10.95 $10.96 Long 2021.0 0.11% 5400.58 27794.30
IWM 2016-12-30 2017-01-11 $125.10 $125.68 Long 180.0 0.46% 5257.92 28134.72
QLD 2017-01-11 2017-03-27 $11.45 $12.81 Long 1989.0 11.89% 5816.14 30794.74
TBF 2017-03-27 2017-04-03 $22.32 $22.54 Long 1116.0 0.95% 5816.44 30888.94
QLD 2017-04-03 2017-04-04 $13.36 $13.24 Long 1883.0 -0.87% 5923.15 30799.42
TBF 2017-04-04 2017-04-13 $22.36 $21.96 Long 1110.0 -1.80% 5935.28 30163.36
QLD 2017-04-13 2017-05-19 $13.00 $14.38 Long 1874.0 10.59% 6669.64 33099.29
TMF 2017-05-19 2017-05-22 $18.76 $18.80 Long 1397.0 0.20% 6165.23 32921.11
TLT 2017-05-22 2017-05-23 $108.36 $108.45 Long 247.0 0.08% 6256.87 32302.97
TMF 2017-05-23 2017-07-07 $18.83 $18.62 Long 1418.0 -1.11% 32655.75 32655.75
QLD 2017-07-21 2017-07-26 $15.61 $15.86 Long 1676.0 1.63% 6989.72 33457.66
TMF 2017-07-26 2017-09-20 $18.76 $20.11 Long 1391.0 7.22% 6765.78 34816.45
QLD 2017-09-20 2017-10-27 $16.06 $16.81 Long 1756.0 4.66% 7546.82 36541.95
SSO 2017-10-27 2017-11-01 $24.56 $24.85 Long 1170.0 1.20% 6885.42 36393.08
QLD 2017-11-01 2017-12-06 $17.56 $17.38 Long 1694.0 -0.99% 7095.31 36415.92
SSO 2017-12-06 2017-12-08 $25.71 $26.13 Long 1137.0 1.63% 6536.46 36640.40
QLD 2017-12-08 2017-12-18 $18.05 $18.87 Long 1677.0 4.52% 7027.45 38197.52
SSO 2017-12-18 2017-12-19 $26.99 $27.07 Long 1154.0 0.31% 7349.13 38030.29
QLD 2017-12-19 2017-12-20 $18.87 $18.85 Long 1639.0 -0.09% 7514.68 37967.50
SSO 2017-12-20 2017-12-26 $27.03 $26.77 Long 1137.0 -0.96% 7418.35 37935.94
QLD 2017-12-26 2018-02-07 $18.44 $19.55 Long 1656.0 6.04% 39793.11 39793.11
TBF 2018-04-05 2018-04-24 $22.09 $22.49 Long 1474.0 1.78% 7950.68 38714.31
QLD 2018-04-24 2018-05-03 $19.44 $19.02 Long 1668.0 -2.15% 7322.24 39613.59
IWM 2018-05-03 2018-05-08 $144.44 $147.07 Long 224.0 1.82% 7548.13 40310.91
QLD 2018-05-08 2018-09-20 $20.16 $24.46 Long 1623.0 21.35% 9206.03 47091.24
TBF 2018-09-20 2018-09-21 $22.69 $22.63 Long 1677.0 -0.25% 8466.54 46504.47
QLD 2018-09-21 2018-09-25 $24.82 $24.50 Long 1559.0 -1.29% 8795.74 46449.37
SSO 2018-09-25 2018-09-26 $31.50 $31.36 Long 1202.0 -0.44% 8695.04 46475.66
QLD 2018-09-26 2018-10-09 $24.62 $23.25 Long 1535.0 -5.58% 8514.10 44128.38
TBF 2018-10-09 2018-12-13 $23.37 $22.27 Long 1535.0 -4.71% 8117.26 42578.14
TLT 2018-12-13 2018-12-14 $108.38 $108.47 Long 319.0 0.08% 8235.98 42718.23
TBF 2018-12-14 2018-12-17 $22.28 $22.28 Long 1548.0 0.00% 8105.58 42887.52
TLT 2018-12-17 2018-12-20 $108.50 $111.90 Long 319.0 3.13% 6839.34 42603.24
TMF 2018-12-20 2019-09-11 $18.71 $28.01 Long 1975.0 49.67% 62158.29 62158.29
TLT 2019-12-02 2019-12-03 $129.46 $131.24 Long 382.0 1.38% 10320.11 64103.35
TMF 2019-12-03 2019-12-23 $27.50 $25.63 Long 1910.0 -6.80% 11235.14 59138.37
TLT 2019-12-23 2019-12-26 $128.42 $128.52 Long 374.0 0.07% 11206.64 60008.22
QLD 2019-12-26 2019-12-27 $30.29 $30.95 Long 1588.0 2.19% 11770.32 60373.34
TIP 2019-12-27 2020-01-02 $102.93 $103.22 Long 472.0 0.28% 10343.31 61291.31
QLD 2020-01-02 2020-01-30 $30.88 $32.50 Long 1624.0 5.26% 9842.04 62806.02
TMF 2020-01-30 2020-02-05 $30.17 $28.65 Long 1766.0 -5.04% 8216.08 59542.04
QLD 2020-02-05 2020-02-06 $35.43 $34.99 Long 1474.0 -1.26% 11740.86 60370.73
TMF 2020-02-06 2020-03-11 $28.55 $43.75 Long 1683.0 53.25% 85373.44 85373.44
QLD 2020-06-16 2020-07-09 $35.73 $41.22 Long 2130.0 15.36% 18997.59 100503.08
TMF 2020-07-09 2020-07-30 $39.81 $44.44 Long 1961.0 11.62% 21787.79 108365.58
QLD 2020-07-30 2020-09-08 $39.79 $43.99 Long 2120.0 10.57% 115054.67 115054.67
IWM 2021-01-06 2021-01-29 $194.05 $204.02 Long 496.0 5.14% 23880.81 117099.63
QLD 2021-01-29 2021-02-01 $59.30 $58.76 Long 1621.0 -0.91% 25164.90 120229.06
IWM 2021-02-01 2021-02-09 $202.51 $220.95 Long 464.0 9.11% 24554.35 128222.80
QLD 2021-02-09 2021-02-19 $64.14 $64.58 Long 1608.0 0.68% 25164.86 129657.89
IWM 2021-02-19 2021-03-26 $216.41 $213.39 Long 477.0 -1.39% 126953.73 126953.73
SSO 2021-04-07 2021-06-30 $53.30 $59.06 Long 1931.0 10.82% 25245.66 137854.20
QLD 2021-06-30 2021-07-21 $71.74 $73.08 Long 1573.0 1.88% 35931.44 139951.56
TMF 2021-07-21 2021-08-13 $28.17 $27.42 Long 3701.0 -2.69% 137402.94 137402.94
TIP 2021-10-11 2021-11-03 $118.16 $118.96 Long 941.0 0.68% 23171.37 133036.92
TMF 2021-11-03 2021-11-11 $27.82 $28.12 Long 4134.0 1.10% 26979.51 138302.46
QLD 2021-11-11 2021-11-12 $87.03 $86.65 Long 1292.0 -0.44% 28025.50 137365.98
TMF 2021-11-12 2021-12-17 $27.85 $29.12 Long 3983.0 4.59% 144028.30 144028.30
TIP 2022-01-04 2022-01-13 $119.70 $117.83 Long 971.0 -1.56% 26378.71 141446.85
TBF 2022-01-13 2022-08-03 $16.33 $19.29 Long 7094.0 18.13% 163214.60 163214.60
TLT 2022-12-13 2022-12-22 $107.68 $102.62 Long 1241.0 -4.70% 29074.22 156939.74
TBF 2022-12-22 2023-01-20 $21.54 $20.94 Long 5936.0 -2.80% 29942.18 154493.72
EFA 2023-01-20 2023-02-16 $70.36 $70.57 Long 1754.0 0.30% 26451.60 154237.69
TBF 2023-02-16 2023-03-27 $22.00 $21.37 Long 5786.0 -2.85% 32415.40 149303.04
TLT 2023-03-27 2023-03-28 $104.51 $103.71 Long 1126.0 -0.77% 28751.28 149500.12
TIP 2023-03-28 2023-03-29 $108.41 $108.57 Long 1111.0 0.15% 28966.95 150087.49
TLT 2023-03-29 2023-03-30 $103.17 $103.93 Long 1167.0 0.73% 26328.69 151870.89
TMF 2023-03-30 2023-03-31 $8.41 $8.65 Long 14735.0 2.85% 29793.02 154986.94
TLT 2023-03-31 2023-04-03 $104.81 $105.61 Long 1183.0 0.76% 28558.31 154655.83
TIP 2023-04-03 2023-04-04 $109.81 $109.56 Long 1149.0 -0.23% 29600.96 159256.46
TMF 2023-04-04 2023-04-18 $8.81 $8.27 Long 14170.0 -6.19% 146716.01 146716.01
TLT 2023-05-16 2023-05-19 $102.40 $101.26 Long 1149.0 -1.11% 27510.47 145340.87

Signals

Strategy Ratio Size Ticker Date State Type Profit TimeFrame
Alvarez-d 0.90 0.81 TIP 2023-05-18 Hold Long 0.00% EOD