Description
The Alvarez 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 being the risk off haven
It will buy up to 4 risk-on assets at a time.
Trading happens on the Close of the signal day, the last trading day of the month
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 122.00 |
| NoOfWins | 73.00 |
| NoOfLosses | 49.00 |
| SharpRatio | 0.84 |
| SortinoRatio | 1.00 |
| GrossProfit | $127468.69 |
| FirstDate | 2011-01-28 |
| LastDate | 2022-01-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $137468.69 |
| OpenEquity | $0.00 |
| LongEquity | $127468.69 |
| ShortEquity | $0.00 |
| PercentWins | 59.84% |
| AveWin | $2403.55 |
| AveLoss | $-979.40 |
| AveWinLoss | 2.45 |
| Expectancy | 6.79% |
| AveDrawUp | 58.95% |
| AveDrawDown | -14.77% |
| MaxDrawDown | -39.65% |
| Kelly | 43.47% |
| Thrope | 47.24 |
| APR | 26.88% |
| CalmarRatio | 1.82 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| EEM | 2011-01-28 | 2011-01-31 | $36.07 | $36.45 | Long | 59.0 | 1.06% | 1492.93 | 10088.93 |
| EFA | 2011-01-31 | 2011-03-31 | $42.72 | $43.18 | Long | 50.0 | 1.08% | 1407.68 | 10530.74 |
| VNQ | 2011-03-31 | 2011-04-29 | $38.04 | $40.23 | Long | 59.0 | 5.75% | 1495.60 | 10983.60 |
| GLD | 2011-04-29 | 2011-05-31 | $152.37 | $149.64 | Long | 15.0 | -1.79% | 1456.44 | 10773.98 |
| QLD | 2011-01-28 | 2011-06-30 | $2.63 | $2.73 | Long | 813.0 | 3.97% | 1556.27 | 10452.60 |
| IWM | 2011-01-28 | 2011-06-30 | $66.29 | $71.05 | Long | 32.0 | 7.18% | 1556.27 | 10452.60 |
| GLD | 2011-06-30 | 2011-07-29 | $146.00 | $158.29 | Long | 15.0 | 8.42% | 1527.86 | 10522.34 |
| EFA | 2011-06-30 | 2011-07-29 | $44.08 | $43.03 | Long | 50.0 | -2.38% | 1527.86 | 10522.34 |
| SSO | 2011-01-28 | 2011-07-29 | $5.85 | $6.02 | Long | 365.0 | 2.83% | 1527.86 | 10522.34 |
| VNQ | 2011-05-31 | 2011-07-29 | $40.78 | $40.05 | Long | 56.0 | -1.79% | 1527.86 | 10522.34 |
| TMF | 2011-07-29 | 2012-01-31 | $9.35 | $16.58 | Long | 962.0 | 77.38% | 2587.96 | 17482.28 |
| GLD | 2012-01-31 | 2012-02-29 | $169.31 | $164.29 | Long | 22.0 | -2.97% | 2382.36 | 17625.64 |
| VNQ | 2012-01-31 | 2012-02-29 | $41.33 | $40.85 | Long | 90.0 | -1.15% | 2382.36 | 17625.64 |
| UBT | 2012-01-31 | 2012-03-30 | $30.96 | $26.79 | Long | 120.0 | -13.47% | 1772.83 | 18089.50 |
| SSO | 2012-02-29 | 2012-05-31 | $6.53 | $6.08 | Long | 577.0 | -6.95% | 1840.48 | 16446.72 |
| IWM | 2012-02-29 | 2012-05-31 | $70.36 | $66.27 | Long | 53.0 | -5.81% | 1840.48 | 16446.72 |
| LQD | 2012-05-31 | 2012-06-29 | $84.58 | $85.32 | Long | 41.0 | 0.87% | 1747.71 | 16826.91 |
| QLD | 2012-01-31 | 2012-07-31 | $2.95 | $3.34 | Long | 1266.0 | 13.28% | 2358.62 | 17311.98 |
| LQD | 2012-07-31 | 2012-08-31 | $88.29 | $88.24 | Long | 41.0 | -0.05% | 2264.16 | 17370.45 |
| VNQ | 2012-03-30 | 2012-09-28 | $42.97 | $44.58 | Long | 89.0 | 3.74% | 2621.98 | 17377.99 |
| QLD | 2012-08-31 | 2012-10-31 | $3.70 | $3.36 | Long | 1004.0 | -9.19% | 2771.45 | 16658.38 |
| SSO | 2012-06-29 | 2012-10-31 | $6.52 | $7.03 | Long | 551.0 | 7.82% | 2771.45 | 16658.38 |
| GLD | 2012-09-28 | 2012-10-31 | $171.89 | $166.83 | Long | 21.0 | -2.94% | 2771.45 | 16658.38 |
| UBT | 2012-05-31 | 2012-11-30 | $34.83 | $33.76 | Long | 100.0 | -3.07% | 2452.43 | 16864.81 |
| LQD | 2012-10-31 | 2012-11-30 | $90.41 | $90.04 | Long | 39.0 | -0.42% | 2452.43 | 16864.81 |
| HYG | 2012-10-31 | 2012-12-31 | $56.07 | $57.45 | Long | 63.0 | 2.46% | 2410.68 | 17394.08 |
| EEM | 2012-11-30 | 2013-03-28 | $34.31 | $35.35 | Long | 105.0 | 3.01% | 2173.46 | 18620.77 |
| IWM | 2012-12-31 | 2013-04-30 | $74.71 | $83.62 | Long | 49.0 | 11.92% | 2160.56 | 19241.88 |
| EFA | 2012-10-31 | 2013-05-31 | $40.67 | $46.10 | Long | 87.0 | 13.34% | 2086.43 | 19367.78 |
| VNQ | 2013-03-28 | 2013-07-31 | $49.36 | $48.99 | Long | 80.0 | -0.74% | 1706.97 | 20242.05 |
| EFA | 2013-07-31 | 2014-01-31 | $47.24 | $50.22 | Long | 91.0 | 6.30% | 1390.14 | 22939.37 |
| UBT | 2014-01-31 | 2014-02-28 | $26.56 | $26.80 | Long | 184.0 | 0.90% | 1147.56 | 24363.70 |
| IWM | 2013-05-31 | 2014-03-31 | $86.90 | $104.77 | Long | 47.0 | 20.56% | 942.40 | 24071.82 |
| SSO | 2012-11-30 | 2014-05-30 | $7.09 | $13.40 | Long | 508.0 | 88.92% | 3742.01 | 25753.43 |
| VNQ | 2014-02-28 | 2014-05-30 | $51.22 | $54.44 | Long | 101.0 | 6.28% | 3742.01 | 25753.43 |
| QLD | 2013-04-30 | 2014-05-30 | $3.98 | $6.65 | Long | 1032.0 | 66.86% | 3742.01 | 25753.43 |
| UBT | 2014-03-31 | 2014-05-30 | $27.14 | $29.88 | Long | 189.0 | 10.11% | 3742.01 | 25753.43 |
| TMF | 2014-05-30 | 2014-06-30 | $14.71 | $14.57 | Long | 1496.0 | -1.00% | 3735.22 | 25533.67 |
| QLD | 2014-06-30 | 2014-07-31 | $7.06 | $7.21 | Long | 773.0 | 2.09% | 3713.78 | 25575.14 |
| UBT | 2014-06-30 | 2014-07-31 | $29.71 | $30.15 | Long | 183.0 | 1.47% | 3713.78 | 25575.14 |
| SSO | 2014-06-30 | 2014-07-31 | $13.95 | $13.55 | Long | 391.0 | -2.88% | 3713.78 | 25575.14 |
| VNQ | 2014-06-30 | 2014-07-31 | $55.06 | $55.10 | Long | 99.0 | 0.08% | 3713.78 | 25575.14 |
| TMF | 2014-07-31 | 2014-08-29 | $14.80 | $16.94 | Long | 1477.0 | 14.42% | 4188.74 | 28728.18 |
| EEM | 2014-08-29 | 2014-09-30 | $38.35 | $35.37 | Long | 160.0 | -7.77% | 4031.41 | 27731.38 |
| QLD | 2014-08-29 | 2014-09-30 | $7.94 | $7.81 | Long | 773.0 | -1.67% | 4031.41 | 27731.38 |
| SSO | 2014-08-29 | 2014-09-30 | $14.61 | $14.18 | Long | 420.0 | -2.93% | 4031.41 | 27731.38 |
| UBT | 2014-08-29 | 2014-09-30 | $32.78 | $31.51 | Long | 187.0 | -3.87% | 4031.41 | 27731.38 |
| TMF | 2014-09-30 | 2014-10-31 | $15.81 | $17.09 | Long | 1499.0 | 8.06% | 4320.16 | 29642.15 |
| SSO | 2014-10-31 | 2015-01-30 | $14.80 | $14.54 | Long | 427.0 | -1.79% | 3617.18 | 32453.03 |
| LQD | 2015-01-30 | 2015-02-27 | $98.73 | $97.33 | Long | 70.0 | -1.42% | 3611.30 | 31952.10 |
| SSO | 2015-02-27 | 2015-03-31 | $16.20 | $15.64 | Long | 421.0 | -3.43% | 3499.03 | 31632.77 |
| VNQ | 2014-10-31 | 2015-04-30 | $58.65 | $60.09 | Long | 108.0 | 2.46% | 3975.14 | 30774.07 |
| IWM | 2015-03-31 | 2015-04-30 | $113.52 | $110.60 | Long | 59.0 | -2.56% | 3975.14 | 30774.07 |
| UBT | 2014-10-31 | 2015-04-30 | $33.32 | $37.61 | Long | 190.0 | 12.87% | 3975.14 | 30774.07 |
| EEM | 2015-04-30 | 2015-05-29 | $37.01 | $35.49 | Long | 177.0 | -4.10% | 3698.66 | 30984.59 |
| SSO | 2015-04-30 | 2015-06-30 | $15.93 | $15.63 | Long | 412.0 | -1.88% | 3743.33 | 30175.48 |
| EFA | 2015-04-30 | 2015-07-31 | $54.32 | $53.80 | Long | 121.0 | -0.96% | 30829.01 | 30829.01 |
| HYG | 2015-06-30 | 2015-07-31 | $62.70 | $62.39 | Long | 102.0 | -0.49% | 30829.01 | 30829.01 |
| IWM | 2015-05-29 | 2015-07-31 | $113.08 | $112.71 | Long | 58.0 | -0.33% | 30829.01 | 30829.01 |
| QLD | 2014-10-31 | 2015-07-31 | $8.17 | $9.90 | Long | 775.0 | 21.16% | 30829.01 | 30829.01 |
| TMF | 2015-09-30 | 2016-04-29 | $18.85 | $21.83 | Long | 1398.0 | 15.81% | 5250.49 | 34995.91 |
| LQD | 2016-04-29 | 2016-05-31 | $100.04 | $99.53 | Long | 74.0 | -0.51% | 5195.47 | 34771.08 |
| UBT | 2016-04-29 | 2016-06-30 | $40.39 | $46.56 | Long | 185.0 | 15.28% | 5383.75 | 36975.99 |
| GLD | 2016-04-29 | 2016-06-30 | $123.65 | $126.47 | Long | 60.0 | 2.28% | 5383.75 | 36975.99 |
| SSO | 2016-05-31 | 2016-06-30 | $16.13 | $16.16 | Long | 460.0 | 0.16% | 5383.75 | 36975.99 |
| VNQ | 2016-04-29 | 2016-06-30 | $64.79 | $70.83 | Long | 115.0 | 9.33% | 5383.75 | 36975.99 |
| TMF | 2016-06-30 | 2016-07-29 | $26.96 | $28.59 | Long | 1172.0 | 6.07% | 5691.52 | 38894.79 |
| VNQ | 2016-07-29 | 2016-08-31 | $73.85 | $71.07 | Long | 112.0 | -3.76% | 5383.67 | 38546.42 |
| UBT | 2016-07-29 | 2016-08-31 | $48.58 | $47.39 | Long | 171.0 | -2.46% | 5383.67 | 38546.42 |
| SSO | 2016-07-29 | 2016-10-31 | $17.35 | $16.68 | Long | 479.0 | -3.85% | 5257.82 | 38144.06 |
| EEM | 2016-08-31 | 2016-11-30 | $32.51 | $31.59 | Long | 253.0 | -2.82% | 4985.78 | 38694.51 |
| HYG | 2016-10-31 | 2017-01-31 | $65.46 | $67.29 | Long | 124.0 | 2.79% | 4590.60 | 40912.14 |
| EEM | 2017-01-31 | 2017-04-28 | $33.61 | $36.06 | Long | 260.0 | 7.28% | 4487.45 | 44540.04 |
| IWM | 2016-08-31 | 2017-05-31 | $114.74 | $128.18 | Long | 71.0 | 11.71% | 3797.76 | 45819.84 |
| EEM | 2017-05-31 | 2017-08-31 | $37.09 | $40.54 | Long | 264.0 | 9.32% | 7023.20 | 48337.66 |
| SSO | 2016-11-30 | 2017-08-31 | $17.89 | $22.84 | Long | 462.0 | 27.65% | 7023.20 | 48337.66 |
| QLD | 2016-07-29 | 2017-08-31 | $10.16 | $16.12 | Long | 818.0 | 58.62% | 7023.20 | 48337.66 |
| EFA | 2017-04-28 | 2017-08-31 | $55.11 | $58.73 | Long | 172.0 | 6.57% | 7023.20 | 48337.66 |
| TMF | 2017-08-31 | 2017-09-29 | $21.35 | $19.80 | Long | 1935.0 | -7.29% | 6615.37 | 45327.64 |
| EFA | 2017-09-29 | 2017-11-30 | $60.12 | $61.55 | Long | 161.0 | 2.38% | 6342.20 | 48143.28 |
| IWM | 2017-11-30 | 2017-12-29 | $145.46 | $144.88 | Long | 70.0 | -0.40% | 6066.38 | 48829.05 |
| EFA | 2017-12-29 | 2018-02-28 | $62.38 | $62.34 | Long | 167.0 | -0.06% | 5762.25 | 50785.59 |
| IWM | 2018-02-28 | 2018-03-29 | $142.88 | $144.62 | Long | 75.0 | 1.22% | 6168.44 | 49260.74 |
| EEM | 2017-09-29 | 2018-04-30 | $40.52 | $43.08 | Long | 239.0 | 6.30% | 6275.15 | 48913.89 |
| SSO | 2017-09-29 | 2018-04-30 | $23.71 | $25.98 | Long | 408.0 | 9.57% | 6275.15 | 48913.89 |
| GLD | 2018-03-29 | 2018-05-31 | $125.79 | $123.10 | Long | 83.0 | -2.14% | 5133.41 | 50529.14 |
| EFA | 2018-04-30 | 2018-05-31 | $62.76 | $61.57 | Long | 166.0 | -1.89% | 5133.41 | 50529.14 |
| QLD | 2017-09-29 | 2018-10-31 | $16.02 | $20.66 | Long | 604.0 | 28.95% | 49534.73 | 49534.73 |
| SSO | 2018-05-31 | 2018-10-31 | $27.12 | $27.02 | Long | 398.0 | -0.38% | 49534.73 | 49534.73 |
| IWM | 2018-04-30 | 2018-10-31 | $146.04 | $143.81 | Long | 71.0 | -1.53% | 49534.73 | 49534.73 |
| VNQ | 2018-05-31 | 2018-10-31 | $68.26 | $69.37 | Long | 158.0 | 1.63% | 49534.73 | 49534.73 |
| TMF | 2018-11-30 | 2019-06-28 | $15.88 | $24.22 | Long | 2667.0 | 52.54% | 10626.11 | 71784.09 |
| QLD | 2019-06-28 | 2019-07-31 | $23.99 | $25.02 | Long | 639.0 | 4.31% | 10593.62 | 72965.90 |
| IWM | 2019-06-28 | 2019-07-31 | $150.49 | $151.52 | Long | 101.0 | 0.68% | 10593.62 | 72965.90 |
| SSO | 2019-06-28 | 2019-07-31 | $31.26 | $32.04 | Long | 490.0 | 2.52% | 10593.62 | 72965.90 |
| UBT | 2019-06-28 | 2019-07-31 | $45.17 | $45.27 | Long | 339.0 | 0.21% | 10593.62 | 72965.90 |
| TMF | 2019-07-31 | 2019-11-29 | $24.30 | $28.05 | Long | 2567.0 | 15.43% | 12073.44 | 82590.53 |
| EFA | 2019-11-29 | 2019-12-31 | $63.71 | $65.61 | Long | 277.0 | 2.98% | 11886.07 | 85944.74 |
| EEM | 2019-12-31 | 2020-01-31 | $43.31 | $40.64 | Long | 424.0 | -6.15% | 12369.66 | 85239.41 |
| QLD | 2019-11-29 | 2020-01-31 | $28.32 | $32.18 | Long | 623.0 | 13.65% | 12369.66 | 85239.41 |
| IWM | 2019-11-29 | 2020-01-31 | $157.12 | $156.48 | Long | 112.0 | -0.40% | 12369.66 | 85239.41 |
| SSO | 2019-11-29 | 2020-01-31 | $35.48 | $37.32 | Long | 497.0 | 5.19% | 12369.66 | 85239.41 |
| TMF | 2020-01-31 | 2020-06-30 | $31.23 | $39.80 | Long | 2333.0 | 27.41% | 15386.98 | 105214.20 |
| LQD | 2020-06-30 | 2020-07-31 | $128.44 | $132.42 | Long | 175.0 | 3.10% | 14270.21 | 113647.84 |
| UBT | 2020-06-30 | 2020-08-31 | $66.78 | $65.29 | Long | 336.0 | -2.22% | 11074.56 | 117683.86 |
| GLD | 2020-06-30 | 2020-09-30 | $167.37 | $177.12 | Long | 134.0 | 5.83% | 11187.67 | 110586.59 |
| QLD | 2020-06-30 | 2021-02-26 | $36.92 | $57.27 | Long | 609.0 | 55.11% | 16062.25 | 140673.90 |
| EFA | 2021-02-26 | 2021-03-31 | $71.61 | $73.41 | Long | 419.0 | 2.51% | 15424.68 | 144337.97 |
| EEM | 2020-07-31 | 2021-03-31 | $42.03 | $52.32 | Long | 578.0 | 24.50% | 15424.68 | 144337.97 |
| IWM | 2020-09-30 | 2021-07-30 | $147.63 | $219.28 | Long | 160.0 | 48.53% | 15116.71 | 165694.99 |
| EFA | 2021-07-30 | 2021-08-31 | $77.96 | $79.08 | Long | 454.0 | 1.45% | 14115.86 | 172660.55 |
| SSO | 2020-08-31 | 2021-09-30 | $39.77 | $59.83 | Long | 632.0 | 50.45% | 23147.33 | 159523.20 |
| VNQ | 2021-03-31 | 2021-09-30 | $89.32 | $100.29 | Long | 345.0 | 12.29% | 23147.33 | 159523.20 |
| QLD | 2021-03-31 | 2021-09-30 | $58.60 | $72.77 | Long | 526.0 | 24.19% | 23147.33 | 159523.20 |
| UBT | 2021-08-31 | 2021-09-30 | $55.33 | $52.05 | Long | 667.0 | -5.93% | 23147.33 | 159523.20 |
| TMF | 2021-09-30 | 2021-10-29 | $26.26 | $28.11 | Long | 5194.0 | 7.08% | 24759.04 | 169175.37 |
| QLD | 2021-10-29 | 2021-11-30 | $84.54 | $87.61 | Long | 427.0 | 3.63% | 24819.90 | 171044.07 |
| UBT | 2021-10-29 | 2021-11-30 | $54.39 | $57.31 | Long | 664.0 | 5.37% | 24819.90 | 171044.07 |
| SSO | 2021-10-29 | 2021-11-30 | $68.37 | $67.20 | Long | 528.0 | -1.72% | 24819.90 | 171044.07 |
| VNQ | 2021-10-29 | 2021-11-30 | $107.45 | $105.18 | Long | 336.0 | -2.11% | 24819.90 | 171044.07 |
| TMF | 2021-11-30 | 2022-01-18 | $30.19 | $23.66 | Long | 4843.0 | -21.64% | 139405.54 | 139405.54 |
| TMF | 2022-01-28 | 2022-01-31 | $25.21 | $24.80 | Long | 4728.0 | -1.63% | 137468.69 | 137468.69 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| Alvarez | 0.90 | 0.00 | Out | EOM |