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 110.00
NoOfWins 66.00
NoOfLosses 44.00
SharpRatio 0.95
SortinoRatio 1.13
GrossProfit $135092.13
FirstDate 2011-01-31
LastDate 2021-08-31
FirstEquity $10000.00
FinalEquity $145092.13
OpenEquity $130223.58
LongEquity $135092.13
ShortEquity $0.00
PercentWins 60.00%
AveWin $2212.63
AveLoss $-248.66
AveWinLoss 8.90
Expectancy 9.91%
AveDrawUp 58.36%
AveDrawDown -14.68%
MaxDrawDown -39.64%
Kelly 55.50%
Thrope 52.58
APR 28.76%
CalmarRatio 1.96

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
EFA 2011-01-31 2011-03-31 $43.57 $44.03 Long 49.0 1.08% 1458.14 10434.20
VNQ 2011-03-31 2011-04-29 $38.85 $41.08 Long 57.0 5.75% 1514.17 10880.29
GLD 2011-04-29 2011-05-31 $152.37 $149.64 Long 15.0 -1.79% 1509.93 10673.35
QLD 2011-01-31 2011-06-30 $2.65 $2.73 Long 805.0 2.95% 1536.26 10356.99
IWM 2011-01-31 2011-06-30 $67.29 $71.62 Long 31.0 6.44% 1536.26 10356.99
SSO 2011-01-31 2011-07-29 $11.90 $12.06 Long 179.0 1.39% 1517.35 10427.95
VNQ 2011-05-31 2011-07-29 $41.65 $40.90 Long 54.0 -1.79% 1517.35 10427.95
EFA 2011-06-30 2011-07-29 $44.94 $43.87 Long 49.0 -2.38% 1517.35 10427.95
GLD 2011-06-30 2011-07-29 $146.00 $158.29 Long 15.0 8.42% 1517.35 10427.95
TMF 2011-07-29 2012-01-31 $9.36 $16.60 Long 952.0 77.38% 2709.19 17322.97
GLD 2012-01-31 2012-02-29 $169.31 $164.29 Long 21.0 -2.97% 2372.29 17469.25
VNQ 2012-01-31 2012-02-29 $42.20 $41.72 Long 87.0 -1.15% 2372.29 17469.25
UBT 2012-01-31 2012-03-30 $30.96 $26.79 Long 119.0 -13.47% 1742.73 17928.31
SSO 2012-02-29 2012-05-31 $13.08 $12.17 Long 285.0 -6.95% 1765.55 16300.96
IWM 2012-02-29 2012-05-31 $70.93 $66.81 Long 52.0 -5.81% 1765.55 16300.96
LQD 2012-05-31 2012-06-29 $85.94 $86.69 Long 40.0 0.87% 1668.84 16678.22
QLD 2012-01-31 2012-07-31 $2.95 $3.34 Long 1255.0 13.28% 2274.64 17161.89
LQD 2012-07-31 2012-08-31 $89.70 $89.66 Long 40.0 -0.05% 2181.83 17219.12
VNQ 2012-03-30 2012-09-28 $43.88 $45.52 Long 87.0 3.74% 2532.64 17224.87
GLD 2012-09-28 2012-10-31 $171.89 $166.83 Long 21.0 -2.94% 2685.21 16510.09
QLD 2012-08-31 2012-10-31 $3.70 $3.36 Long 995.0 -9.19% 2685.21 16510.09
SSO 2012-06-29 2012-10-31 $13.06 $14.08 Long 273.0 7.82% 2685.21 16510.09
UBT 2012-05-31 2012-11-30 $34.83 $33.76 Long 100.0 -3.07% 2417.79 16716.15
LQD 2012-10-31 2012-11-30 $91.86 $91.48 Long 38.0 -0.42% 2417.79 16716.15
HYG 2012-10-31 2012-12-31 $57.69 $59.11 Long 61.0 2.46% 2408.01 17240.45
EEM 2012-11-30 2013-03-28 $34.83 $35.88 Long 102.0 3.01% 2136.30 18455.05
IWM 2012-12-31 2013-04-30 $75.32 $84.29 Long 48.0 11.92% 2108.09 19072.69
EFA 2012-10-31 2013-05-31 $41.47 $47.00 Long 85.0 13.34% 2073.42 19195.47
VNQ 2013-03-28 2013-07-31 $50.40 $50.03 Long 78.0 -0.74% 1688.69 20060.22
EFA 2013-07-31 2014-01-31 $48.17 $51.20 Long 89.0 6.30% 1412.46 22732.90
UBT 2014-01-31 2014-02-28 $26.56 $26.80 Long 182.0 0.90% 1163.63 24142.92
IWM 2013-05-31 2014-03-31 $87.61 $105.62 Long 46.0 20.56% 946.95 23853.60
VNQ 2014-02-28 2014-05-30 $52.31 $55.59 Long 98.0 6.28% 3704.70 25518.93
SSO 2012-11-30 2014-05-30 $14.21 $26.84 Long 251.0 88.92% 3704.70 25518.93
QLD 2013-04-30 2014-05-30 $3.98 $6.65 Long 1023.0 66.86% 3704.70 25518.93
UBT 2014-03-31 2014-05-30 $27.14 $29.88 Long 187.0 10.11% 3704.70 25518.93
TMF 2014-05-30 2014-06-30 $14.73 $14.58 Long 1481.0 -1.00% 3695.79 25301.14
QLD 2014-06-30 2014-07-31 $7.06 $7.21 Long 766.0 2.09% 3680.16 25342.83
SSO 2014-06-30 2014-07-31 $27.94 $27.14 Long 193.0 -2.88% 3680.16 25342.83
VNQ 2014-06-30 2014-07-31 $56.22 $56.27 Long 96.0 0.08% 3680.16 25342.83
UBT 2014-06-30 2014-07-31 $29.71 $30.15 Long 182.0 1.47% 3680.16 25342.83
TMF 2014-07-31 2014-08-29 $14.82 $16.95 Long 1462.0 14.42% 4189.64 28467.23
SSO 2014-08-29 2014-09-30 $29.27 $28.41 Long 207.0 -2.93% 3992.95 27481.07
QLD 2014-08-29 2014-09-30 $7.94 $7.81 Long 766.0 -1.67% 3992.95 27481.07
UBT 2014-08-29 2014-09-30 $32.78 $31.51 Long 185.0 -3.87% 3992.95 27481.07
EEM 2014-08-29 2014-09-30 $38.93 $35.91 Long 156.0 -7.77% 3992.95 27481.07
TMF 2014-09-30 2014-10-31 $15.83 $17.10 Long 1484.0 8.06% 4345.64 29374.77
SSO 2014-10-31 2015-01-30 $29.66 $29.13 Long 211.0 -1.79% 3669.98 32151.67
LQD 2015-01-30 2015-02-27 $100.32 $98.89 Long 68.0 -1.42% 3645.34 31659.22
SSO 2015-02-27 2015-03-31 $32.45 $31.34 Long 208.0 -3.43% 3525.99 31341.93
VNQ 2014-10-31 2015-04-30 $59.89 $61.37 Long 104.0 2.46% 3956.73 30494.84
IWM 2015-03-31 2015-04-30 $114.43 $111.50 Long 58.0 -2.56% 3956.73 30494.84
UBT 2014-10-31 2015-04-30 $33.32 $37.61 Long 188.0 12.87% 3956.73 30494.84
EEM 2015-04-30 2015-05-29 $37.57 $36.03 Long 173.0 -4.10% 3691.85 30703.22
SSO 2015-04-30 2015-06-30 $31.91 $31.31 Long 204.0 -1.88% 3693.56 29902.17
IWM 2015-05-29 2015-07-31 $113.99 $113.62 Long 57.0 -0.33% 4442.61 30548.92
QLD 2014-10-31 2015-07-31 $8.17 $9.90 Long 768.0 21.16% 4442.61 30548.92
HYG 2015-06-30 2015-07-31 $64.51 $64.19 Long 99.0 -0.49% 4442.61 30548.92
EFA 2015-04-30 2015-07-31 $55.38 $54.85 Long 117.0 -0.96% 4442.61 30548.92
TMF 2015-07-31 2016-04-29 $18.46 $21.85 Long 1414.0 18.37% 5184.68 35344.91
LQD 2016-04-29 2016-05-31 $101.65 $101.13 Long 74.0 -0.51% 5170.77 35115.04
VNQ 2016-04-29 2016-06-30 $66.16 $72.33 Long 114.0 9.33% 5425.07 37348.22
UBT 2016-04-29 2016-06-30 $40.39 $46.56 Long 187.0 15.28% 5425.07 37348.22
SSO 2016-05-31 2016-06-30 $32.32 $32.37 Long 232.0 0.16% 5425.07 37348.22
GLD 2016-04-29 2016-06-30 $123.65 $126.47 Long 61.0 2.28% 5425.07 37348.22
TMF 2016-06-30 2016-07-29 $26.98 $28.62 Long 1183.0 6.07% 5788.18 39287.13
UBT 2016-07-29 2016-08-31 $48.58 $47.39 Long 172.0 -2.46% 5466.80 38935.42
VNQ 2016-07-29 2016-08-31 $75.42 $72.58 Long 111.0 -3.76% 5466.80 38935.42
SSO 2016-07-29 2016-10-31 $34.76 $33.42 Long 241.0 -3.85% 5304.80 38530.40
EEM 2016-08-31 2016-11-30 $33.00 $32.07 Long 252.0 -2.82% 5035.78 39084.29
HYG 2016-10-31 2017-01-31 $67.35 $69.23 Long 122.0 2.79% 4679.42 41324.06
EEM 2017-01-31 2017-04-28 $34.12 $36.60 Long 258.0 7.28% 4514.21 44985.86
IWM 2016-08-31 2017-05-31 $115.67 $129.22 Long 71.0 11.71% 3825.73 46279.95
EFA 2017-04-28 2017-08-31 $56.19 $59.89 Long 171.0 6.57% 7099.27 48821.66
QLD 2016-07-29 2017-08-31 $10.16 $16.12 Long 826.0 58.62% 7099.27 48821.66
SSO 2016-11-30 2017-08-31 $35.84 $45.75 Long 233.0 27.65% 7099.27 48821.66
EEM 2017-05-31 2017-08-31 $37.65 $41.15 Long 262.0 9.32% 7099.27 48821.66
TMF 2017-08-31 2017-09-29 $21.37 $19.82 Long 1952.0 -7.29% 6730.78 45781.91
EFA 2017-09-29 2017-11-30 $61.30 $62.76 Long 159.0 2.38% 6444.67 48625.52
IWM 2017-11-30 2017-12-29 $146.64 $146.05 Long 70.0 -0.40% 6173.15 49317.32
EFA 2017-12-29 2018-02-28 $63.61 $63.57 Long 165.0 -0.06% 5716.00 51293.03
IWM 2018-02-28 2018-03-29 $144.03 $145.79 Long 76.0 1.22% 6229.92 49753.39
EEM 2017-09-29 2018-04-30 $41.14 $43.73 Long 237.0 6.30% 6301.44 49403.92
SSO 2017-09-29 2018-04-30 $47.49 $52.04 Long 206.0 9.57% 6301.44 49403.92
GLD 2018-03-29 2018-05-31 $125.79 $123.10 Long 84.0 -2.14% 5259.70 51033.06
EFA 2018-04-30 2018-05-31 $64.00 $62.78 Long 165.0 -1.89% 5259.70 51033.06
IWM 2018-04-30 2018-10-31 $147.22 $144.97 Long 71.0 -1.53% 7258.71 50030.08
QLD 2017-09-29 2018-10-31 $16.02 $20.66 Long 610.0 28.95% 7258.71 50030.08
SSO 2018-05-31 2018-10-31 $54.33 $54.13 Long 200.0 -0.38% 7258.71 50030.08
VNQ 2018-05-31 2018-10-31 $69.71 $70.84 Long 156.0 1.63% 7258.71 50030.08
TMF 2018-10-31 2019-06-28 $15.17 $24.25 Long 2819.0 59.80% 11100.52 75608.30
SSO 2019-06-28 2019-07-31 $62.61 $64.19 Long 258.0 2.52% 11155.14 76854.10
QLD 2019-06-28 2019-07-31 $23.99 $25.02 Long 673.0 4.31% 11155.14 76854.10
UBT 2019-06-28 2019-07-31 $45.17 $45.27 Long 357.0 0.21% 11155.14 76854.10
IWM 2019-06-28 2019-07-31 $151.71 $152.74 Long 106.0 0.68% 11155.14 76854.10
TMF 2019-07-31 2019-11-29 $24.32 $28.08 Long 2701.0 15.43% 12756.67 86992.08
EFA 2019-11-29 2019-12-31 $64.96 $66.90 Long 286.0 2.98% 12548.62 90523.03
EEM 2019-12-31 2020-01-31 $43.96 $41.25 Long 440.0 -6.15% 13048.07 89779.86
SSO 2019-11-29 2020-01-31 $71.07 $74.76 Long 261.0 5.19% 13048.07 89779.86
IWM 2019-11-29 2020-01-31 $158.39 $157.75 Long 117.0 -0.40% 13048.07 89779.86
QLD 2019-11-29 2020-01-31 $28.32 $32.18 Long 656.0 13.65% 13048.07 89779.86
TMF 2020-01-31 2020-06-30 $31.27 $39.84 Long 2454.0 27.41% 16287.48 110813.30
LQD 2020-06-30 2020-07-31 $130.50 $134.55 Long 181.0 3.10% 15087.43 119690.21
UBT 2020-06-30 2020-08-31 $66.78 $65.29 Long 354.0 -2.22% 11750.36 123935.39
GLD 2020-06-30 2020-09-30 $167.37 $177.12 Long 141.0 5.83% 11870.51 116465.96
QLD 2020-06-30 2021-02-26 $36.92 $57.27 Long 641.0 55.11% 16965.31 148126.01
EEM 2020-07-31 2021-03-31 $42.66 $53.11 Long 599.0 24.50% 16255.51 151983.04
EFA 2021-02-26 2021-03-31 $73.01 $74.85 Long 433.0 2.51% 16255.51 151983.04
IWM 2020-09-30 2021-07-30 $148.82 $221.05 Long 167.0 48.53% 15890.05 174473.42
EFA 2021-07-30 2021-08-31 $79.49 $80.64 Long 469.0 1.45% 14868.55 181808.25

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Alvarez 0.90 0.21 VNQ 2021-03-31 Hold Long 17.71% EOM
Alvarez 0.90 0.21 QLD 2021-03-31 Hold Long 38.94% EOM
Alvarez 0.90 0.21 SSO 2020-08-31 Hold Long 62.55% EOM
Alvarez 0.90 0.21 UBT 2021-08-31 Hold Long 1.48% EOM
momentum  EEM  EFA  GLD  HYG  IWM  LQD  QLD  SSO  UBT  VNQ  TMF