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 $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
momentum  EEM  EFA  GLD  HYG  IWM  LQD  QLD  SSO  UBT  VNQ  TMF