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 |