Strategy - Alvarez


Alvarez Accelerating Dual Momentum

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 $127496.09
FirstDate 2011-01-28
LastDate 2022-01-31
FirstEquity $10000.00
FinalEquity $137496.09
OpenEquity $-0.00
LongEquity $127496.09
ShortEquity $0.00
PercentWins 59.84%
AveWin 13.95%
AveLoss -3.24%
AveWinLoss 4.31
Expectancy 7.05%
AveDrawUp 58.95%
AveDrawDown -14.78%
MaxDrawDown -39.65%
Kelly 50.51%
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 $35.76 $36.14 Long 59.0 1.06% 1514.89 10088.62
EFA 2011-01-31 2011-03-31 $41.78 $42.23 Long 51.0 1.08% 1424.93 10528.99
VNQ 2011-03-31 2011-04-29 $37.40 $39.54 Long 60.0 5.75% 1512.04 10981.32
GLD 2011-04-29 2011-05-31 $152.37 $149.64 Long 15.0 -1.79% 1471.63 10772.03
QLD 2011-01-28 2011-06-30 $2.63 $2.73 Long 813.0 3.97% 1559.09 10451.06
IWM 2011-01-28 2011-06-30 $65.76 $70.49 Long 32.0 7.18% 1559.09 10451.06
SSO 2011-01-28 2011-07-29 $5.85 $6.02 Long 365.0 2.83% 1532.07 10520.96
VNQ 2011-05-31 2011-07-29 $40.09 $39.37 Long 57.0 -1.79% 1532.07 10520.96
GLD 2011-06-30 2011-07-29 $146.00 $158.29 Long 15.0 8.42% 1532.07 10520.96
EFA 2011-06-30 2011-07-29 $43.10 $42.08 Long 51.0 -2.38% 1532.07 10520.96
TMF 2011-07-29 2012-01-31 $9.30 $16.49 Long 967.0 77.38% 2604.85 17476.56
VNQ 2012-01-31 2012-02-29 $40.62 $40.16 Long 91.0 -1.15% 2412.85 17620.18
GLD 2012-01-31 2012-02-29 $169.31 $164.29 Long 22.0 -2.97% 2412.85 17620.18
UBT 2012-01-31 2012-03-30 $30.96 $26.79 Long 120.0 -13.47% 1783.86 18082.87
SSO 2012-02-29 2012-05-31 $6.53 $6.08 Long 576.0 -6.95% 1780.94 16443.08
IWM 2012-02-29 2012-05-31 $69.81 $65.75 Long 53.0 -5.81% 1780.94 16443.08
LQD 2012-05-31 2012-06-29 $83.44 $84.17 Long 42.0 0.87% 1725.27 16824.64
QLD 2012-01-31 2012-07-31 $2.95 $3.34 Long 1266.0 13.28% 2297.78 17310.11
LQD 2012-07-31 2012-08-31 $87.10 $87.05 Long 42.0 -0.05% 2241.71 17368.56
VNQ 2012-03-30 2012-09-28 $42.24 $43.82 Long 91.0 3.74% 2619.71 17375.72
SSO 2012-06-29 2012-10-31 $6.52 $7.03 Long 551.0 7.82% 2837.22 16656.11
GLD 2012-09-28 2012-10-31 $171.89 $166.83 Long 21.0 -2.94% 2837.22 16656.11
QLD 2012-08-31 2012-10-31 $3.70 $3.36 Long 1004.0 -9.19% 2837.22 16656.11
LQD 2012-10-31 2012-11-30 $89.20 $88.82 Long 39.0 -0.42% 2502.04 16862.55
UBT 2012-05-31 2012-11-30 $34.83 $33.76 Long 100.0 -3.07% 2502.04 16862.55
HYG 2012-10-31 2012-12-31 $54.85 $56.20 Long 64.0 2.46% 2392.53 17389.44
EEM 2012-11-30 2013-03-28 $34.02 $35.04 Long 105.0 3.01% 2093.40 18622.94
IWM 2012-12-31 2013-04-30 $74.12 $82.96 Long 50.0 11.92% 2131.13 19245.96
EFA 2012-10-31 2013-05-31 $39.77 $45.08 Long 89.0 13.34% 2004.56 19369.91
VNQ 2013-03-28 2013-07-31 $48.52 $48.16 Long 82.0 -0.74% 1657.36 20247.34
EFA 2013-07-31 2014-01-31 $46.20 $49.11 Long 93.0 6.30% 1337.78 22949.61
UBT 2014-01-31 2014-02-28 $26.56 $26.80 Long 184.0 0.90% 1082.47 24376.93
IWM 2013-05-31 2014-03-31 $86.22 $103.95 Long 48.0 20.56% 942.40 24084.62
VNQ 2014-02-28 2014-05-30 $50.35 $53.51 Long 103.0 6.28% 3736.71 25766.98
QLD 2013-04-30 2014-05-30 $3.98 $6.65 Long 1032.0 66.86% 3736.71 25766.98
SSO 2012-11-30 2014-05-30 $7.09 $13.40 Long 508.0 88.92% 3736.71 25766.98
UBT 2014-03-31 2014-05-30 $27.14 $29.88 Long 189.0 10.11% 3736.71 25766.98
TMF 2014-05-30 2014-06-30 $14.63 $14.48 Long 1506.0 -1.00% 3787.13 25547.03
SSO 2014-06-30 2014-07-31 $13.95 $13.55 Long 391.0 -2.88% 3721.25 25588.46
VNQ 2014-06-30 2014-07-31 $54.12 $54.16 Long 100.0 0.08% 3721.25 25588.46
UBT 2014-06-30 2014-07-31 $29.71 $30.15 Long 183.0 1.47% 3721.25 25588.46
QLD 2014-06-30 2014-07-31 $7.06 $7.21 Long 773.0 2.09% 3721.25 25588.46
TMF 2014-07-31 2014-08-29 $14.72 $16.84 Long 1486.0 14.42% 4217.81 28742.35
QLD 2014-08-29 2014-09-30 $7.94 $7.81 Long 773.0 -1.67% 4026.77 27746.71
EEM 2014-08-29 2014-09-30 $38.02 $35.07 Long 161.0 -7.77% 4026.77 27746.71
SSO 2014-08-29 2014-09-30 $14.61 $14.18 Long 420.0 -2.93% 4026.77 27746.71
UBT 2014-08-29 2014-09-30 $32.78 $31.51 Long 187.0 -3.87% 4026.77 27746.71
TMF 2014-09-30 2014-10-31 $15.72 $16.99 Long 1509.0 8.06% 4372.34 29659.09
SSO 2014-10-31 2015-01-30 $14.80 $14.54 Long 428.0 -1.79% 3679.47 32464.17
LQD 2015-01-30 2015-02-27 $97.41 $96.02 Long 71.0 -1.42% 3677.96 31965.23
SSO 2015-02-27 2015-03-31 $16.20 $15.64 Long 421.0 -3.43% 3505.91 31644.96
VNQ 2014-10-31 2015-04-30 $57.65 $59.07 Long 109.0 2.46% 3995.14 30787.92
UBT 2014-10-31 2015-04-30 $33.32 $37.61 Long 190.0 12.87% 3995.14 30787.92
IWM 2015-03-31 2015-04-30 $112.62 $109.73 Long 60.0 -2.56% 3995.14 30787.92
EEM 2015-04-30 2015-05-29 $36.69 $35.19 Long 179.0 -4.10% 3674.40 30998.03
SSO 2015-04-30 2015-06-30 $15.93 $15.63 Long 413.0 -1.88% 3689.80 30189.95
QLD 2014-10-31 2015-07-31 $8.17 $9.90 Long 775.0 21.16% 30841.81 30841.81
HYG 2015-06-30 2015-07-31 $61.33 $61.03 Long 105.0 -0.49% 30841.81 30841.81
IWM 2015-05-29 2015-07-31 $112.19 $111.82 Long 59.0 -0.33% 30841.81 30841.81
EFA 2015-04-30 2015-07-31 $53.12 $52.61 Long 123.0 -0.96% 30841.81 30841.81
TMF 2015-09-30 2016-04-29 $18.74 $21.70 Long 1407.0 15.81% 5266.05 35011.25
LQD 2016-04-29 2016-05-31 $98.70 $98.19 Long 75.0 -0.51% 5210.13 34786.45
VNQ 2016-04-29 2016-06-30 $63.69 $69.63 Long 117.0 9.33% 5367.69 36991.41
SSO 2016-05-31 2016-06-30 $16.13 $16.16 Long 460.0 0.16% 5367.69 36991.41
GLD 2016-04-29 2016-06-30 $123.65 $126.47 Long 60.0 2.28% 5367.69 36991.41
UBT 2016-04-29 2016-06-30 $40.39 $46.56 Long 185.0 15.28% 5367.69 36991.41
TMF 2016-06-30 2016-07-29 $26.80 $28.43 Long 1180.0 6.07% 5704.30 38912.12
VNQ 2016-07-29 2016-08-31 $72.60 $69.86 Long 114.0 -3.76% 5357.76 38563.58
UBT 2016-07-29 2016-08-31 $48.58 $47.39 Long 171.0 -2.46% 5357.76 38563.58
SSO 2016-07-29 2016-10-31 $17.35 $16.68 Long 479.0 -3.85% 5216.35 38159.34
EEM 2016-08-31 2016-11-30 $32.23 $31.32 Long 255.0 -2.82% 4938.00 38715.37
HYG 2016-10-31 2017-01-31 $64.04 $65.83 Long 127.0 2.79% 4567.55 40935.12
EEM 2017-01-31 2017-04-28 $33.32 $35.75 Long 262.0 7.28% 4448.87 44564.10
IWM 2016-08-31 2017-05-31 $113.84 $127.17 Long 72.0 11.71% 3825.46 45843.00
EEM 2017-05-31 2017-08-31 $36.77 $40.19 Long 266.0 9.32% 7030.02 48359.99
SSO 2016-11-30 2017-08-31 $17.89 $22.84 Long 462.0 27.65% 7030.02 48359.99
QLD 2016-07-29 2017-08-31 $10.16 $16.12 Long 818.0 58.62% 7030.02 48359.99
EFA 2017-04-28 2017-08-31 $53.89 $57.43 Long 176.0 6.57% 7030.02 48359.99
TMF 2017-08-31 2017-09-29 $21.23 $19.68 Long 1947.0 -7.29% 6661.21 45348.84
EFA 2017-09-29 2017-11-30 $58.79 $60.19 Long 164.0 2.38% 6285.71 48165.60
IWM 2017-11-30 2017-12-29 $144.32 $143.74 Long 71.0 -0.40% 6059.74 48851.16
EFA 2017-12-29 2018-02-28 $61.00 $60.97 Long 171.0 -0.06% 5712.27 50810.15
IWM 2018-02-28 2018-03-29 $141.75 $143.48 Long 76.0 1.22% 6176.36 49284.17
EEM 2017-09-29 2018-04-30 $40.18 $42.71 Long 241.0 6.30% 6201.26 48937.48
SSO 2017-09-29 2018-04-30 $23.71 $25.98 Long 408.0 9.57% 6201.26 48937.48
GLD 2018-03-29 2018-05-31 $125.79 $123.10 Long 83.0 -2.14% 5056.65 50558.47
EFA 2018-04-30 2018-05-31 $61.38 $60.21 Long 170.0 -1.89% 5056.65 50558.47
QLD 2017-09-29 2018-10-31 $16.02 $20.66 Long 605.0 28.95% 49558.95 49558.95
SSO 2018-05-31 2018-10-31 $27.12 $27.02 Long 398.0 -0.38% 49558.95 49558.95
VNQ 2018-05-31 2018-10-31 $67.10 $68.20 Long 161.0 1.63% 49558.95 49558.95
IWM 2018-04-30 2018-10-31 $144.89 $142.67 Long 72.0 -1.53% 49558.95 49558.95
TMF 2018-11-30 2019-06-28 $15.79 $24.08 Long 2684.0 52.54% 10601.86 71820.48
SSO 2019-06-28 2019-07-31 $31.26 $32.04 Long 491.0 2.52% 10605.63 73003.27
UBT 2019-06-28 2019-07-31 $45.17 $45.27 Long 339.0 0.21% 10605.63 73003.27
IWM 2019-06-28 2019-07-31 $149.30 $150.32 Long 102.0 0.68% 10605.63 73003.27
QLD 2019-06-28 2019-07-31 $23.99 $25.02 Long 639.0 4.31% 10605.63 73003.27
TMF 2019-07-31 2019-11-29 $24.16 $27.88 Long 2583.0 15.43% 12113.76 82631.82
EFA 2019-11-29 2019-12-31 $62.30 $64.16 Long 283.0 2.98% 11896.50 85986.03
SSO 2019-11-29 2020-01-31 $35.48 $37.32 Long 497.0 5.19% 12365.71 85279.33
EEM 2019-12-31 2020-01-31 $42.93 $40.29 Long 428.0 -6.15% 12365.71 85279.33
IWM 2019-11-29 2020-01-31 $155.88 $155.25 Long 113.0 -0.40% 12365.71 85279.33
QLD 2019-11-29 2020-01-31 $28.32 $32.18 Long 623.0 13.65% 12365.71 85279.33
TMF 2020-01-31 2020-06-30 $31.05 $39.57 Long 2348.0 27.41% 15487.89 105266.15
LQD 2020-06-30 2020-07-31 $126.71 $130.64 Long 177.0 3.10% 14321.85 113698.28
UBT 2020-06-30 2020-08-31 $66.78 $65.29 Long 336.0 -2.22% 11126.20 117734.26
GLD 2020-06-30 2020-09-30 $167.37 $177.12 Long 134.0 5.83% 11279.22 110637.00
QLD 2020-06-30 2021-02-26 $36.92 $57.27 Long 609.0 55.11% 16116.38 140705.59
EFA 2021-02-26 2021-03-31 $70.02 $71.78 Long 429.0 2.51% 15512.81 144369.80
EEM 2020-07-31 2021-03-31 $41.66 $51.87 Long 583.0 24.50% 15512.81 144369.80
IWM 2020-09-30 2021-07-30 $146.47 $217.55 Long 161.0 48.53% 15165.12 165727.17
EFA 2021-07-30 2021-08-31 $76.23 $77.34 Long 464.0 1.45% 14144.44 172692.52
UBT 2021-08-31 2021-09-30 $55.33 $52.05 Long 667.0 -5.93% 23159.51 159554.98
VNQ 2021-03-31 2021-09-30 $87.80 $98.59 Long 351.0 12.29% 23159.51 159554.98
QLD 2021-03-31 2021-09-30 $58.60 $72.77 Long 526.0 24.19% 23159.51 159554.98
SSO 2020-08-31 2021-09-30 $39.77 $59.83 Long 632.0 50.45% 23159.51 159554.98
TMF 2021-09-30 2021-10-29 $26.10 $27.95 Long 5225.0 7.08% 24772.33 169208.54
VNQ 2021-10-29 2021-11-30 $105.62 $103.39 Long 342.0 -2.11% 24828.78 171076.82
UBT 2021-10-29 2021-11-30 $54.39 $57.31 Long 664.0 5.37% 24828.78 171076.82
SSO 2021-10-29 2021-11-30 $68.37 $67.20 Long 528.0 -1.72% 24828.78 171076.82
QLD 2021-10-29 2021-11-30 $84.54 $87.61 Long 427.0 3.63% 24828.78 171076.82
TMF 2021-11-30 2022-01-18 $30.02 $23.52 Long 4872.0 -21.64% 139433.13 139433.13
TMF 2022-01-28 2022-01-31 $25.06 $24.66 Long 4756.0 -1.63% 137496.09 137496.09

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Alvarez 0.90 0.00 Out EOM
momentum  EEM  EFA  GLD  HYG  IWM  LQD  QLD  SSO  UBT  VNQ  TMF