Strategy - BondYield


Description

This extends on the work of swhanly with a variation of accelerating dual momentum. However, here the use of bond and junk bond funds creates a relatively stable portfolio addition.

This strategy uses the following risk-on assets: IEF, LQD,HYG,JNK,TLT with simple cash being the risk off haven.

It will buy only one risk on asset at a time.

Trading happens on the Close of the signal day

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 69.00
NoOfWins 39.00
NoOfLosses 30.00
SharpRatio 0.82
SortinoRatio 1.08
GrossProfit $13541.92
FirstDate 2008-12-31
LastDate 2022-01-31
FirstEquity $10000.00
FinalEquity $23541.92
OpenEquity $20080.58
LongEquity $13541.92
ShortEquity $0.00
PercentWins 56.52%
AveWin $454.93
AveLoss $-140.01
AveWinLoss 3.25
Expectancy 2.59%
AveDrawUp 16.31%
AveDrawDown -5.67%
MaxDrawDown -9.49%
Kelly 43.14%
Thrope 165.07
APR 6.76%
CalmarRatio 1.19

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
IEF 2008-12-31 2009-04-30 $74.83 $71.73 Long 57.0 -4.14% 1392.92 9097.95
TLT 2008-12-31 2009-04-30 $82.98 $68.76 Long 51.0 -17.14% 1392.92 9097.95
HYG 2009-04-30 2010-05-28 $34.74 $42.74 Long 111.0 23.00% 1649.91 11139.54
JNK 2009-04-30 2010-05-28 $41.38 $53.79 Long 93.0 30.00% 1649.91 11139.54
TLT 2010-05-28 2010-10-29 $70.64 $74.73 Long 67.0 5.79% 1633.96 11768.76
IEF 2010-05-28 2010-11-30 $74.33 $79.16 Long 64.0 6.50% 1730.78 11627.66
HYG 2010-11-30 2011-06-30 $46.88 $50.28 Long 106.0 7.25% 1921.19 12349.91
JNK 2010-10-29 2011-06-30 $60.51 $63.73 Long 83.0 5.31% 1921.19 12349.91
LQD 2011-06-30 2011-07-29 $76.59 $78.45 Long 68.0 2.43% 1911.89 12641.97
IEF 2011-06-30 2012-02-29 $79.10 $88.19 Long 66.0 11.49% 2142.30 14266.20
TLT 2011-07-29 2012-02-29 $75.27 $92.03 Long 71.0 22.26% 2142.30 14266.20
HYG 2012-02-29 2012-05-31 $53.30 $51.67 Long 114.0 -3.05% 2188.54 13887.87
JNK 2012-02-29 2012-05-31 $67.20 $65.06 Long 90.0 -3.19% 2188.54 13887.87
IEF 2012-05-31 2012-06-29 $91.52 $91.14 Long 64.0 -0.42% 2191.56 13765.18
JNK 2012-06-29 2012-07-31 $67.79 $68.92 Long 86.0 1.67% 2115.07 14081.68
LQD 2012-07-31 2012-08-31 $88.29 $88.24 Long 68.0 -0.05% 2185.03 13999.85
JNK 2012-08-31 2012-09-28 $69.77 $70.28 Long 85.0 0.73% 2271.00 13894.35
TLT 2012-05-31 2012-10-31 $100.73 $98.41 Long 58.0 -2.31% 2022.92 13945.73
LQD 2012-09-28 2012-11-30 $89.21 $90.04 Long 66.0 0.92% 2016.35 13986.79
HYG 2012-11-30 2014-01-31 $56.66 $61.00 Long 105.0 7.66% 2060.30 14924.95
TLT 2014-01-31 2014-02-28 $89.59 $90.05 Long 71.0 0.52% 2026.36 15108.55
HYG 2014-02-28 2014-03-31 $62.40 $62.35 Long 103.0 -0.08% 2008.39 15102.09
JNK 2012-10-31 2014-05-30 $70.90 $80.37 Long 84.0 13.36% 2143.15 15529.14
LQD 2014-05-30 2014-09-30 $93.19 $93.17 Long 71.0 -0.02% 2103.81 15726.59
IEF 2014-09-30 2015-04-30 $91.16 $95.70 Long 73.0 4.98% 2467.85 16754.76
TLT 2014-03-31 2015-04-30 $90.71 $107.96 Long 71.0 19.01% 2467.85 16754.76
JNK 2015-04-30 2015-08-31 $80.39 $76.91 Long 89.0 -4.34% 2417.55 16193.63
HYG 2015-04-30 2015-08-31 $63.68 $61.44 Long 112.0 -3.52% 2417.55 16193.63
LQD 2015-08-31 2015-09-30 $93.49 $94.60 Long 74.0 1.19% 2460.33 16384.07
TLT 2015-09-30 2015-10-30 $107.04 $106.61 Long 65.0 -0.41% 2444.04 16311.23
LQD 2015-10-30 2015-12-31 $95.15 $93.97 Long 73.0 -1.24% 2455.29 16164.50
IEF 2015-08-31 2016-03-31 $95.25 $99.86 Long 72.0 4.85% 2355.37 17092.10
LQD 2016-03-31 2016-07-29 $98.51 $103.94 Long 74.0 5.50% 2343.35 18182.16
TLT 2015-12-31 2016-08-31 $105.36 $123.90 Long 65.0 17.59% 2613.01 18243.67
HYG 2016-08-31 2017-06-30 $65.41 $69.58 Long 119.0 6.37% 2923.43 19288.03
JNK 2016-07-29 2017-06-30 $79.42 $86.55 Long 97.0 8.98% 2923.43 19288.03
TLT 2017-06-30 2017-07-31 $113.14 $112.40 Long 72.0 -0.66% 2792.39 19297.40
HYG 2017-07-31 2017-08-31 $70.29 $70.33 Long 117.0 0.06% 2769.28 19358.72
TLT 2017-08-31 2017-09-29 $116.22 $113.53 Long 71.0 -2.32% 2646.20 19163.11
JNK 2017-09-29 2017-12-29 $87.99 $88.13 Long 93.0 0.15% 2694.74 19283.09
TLT 2017-12-29 2018-01-31 $116.39 $112.60 Long 70.0 -3.26% 2832.38 18914.38
LQD 2017-06-30 2018-01-31 $104.03 $105.54 Long 79.0 1.45% 2832.38 18914.38
JNK 2018-01-31 2018-03-29 $88.08 $86.81 Long 91.0 -1.44% 2758.95 18710.84
TLT 2018-03-29 2018-04-30 $112.30 $109.96 Long 71.0 -2.09% 2628.19 18582.76
JNK 2018-04-30 2018-05-31 $87.23 $87.01 Long 91.0 -0.24% 2695.14 18567.33
TLT 2018-05-31 2018-06-29 $112.16 $112.89 Long 70.0 0.65% 2673.06 18626.01
JNK 2018-06-29 2018-08-31 $87.08 $89.17 Long 91.0 2.40% 2671.15 19008.67
TLT 2018-08-31 2018-09-28 $112.73 $109.50 Long 72.0 -2.86% 2570.18 18819.55
JNK 2018-09-28 2018-10-31 $89.72 $87.93 Long 89.0 -1.99% 2549.41 18496.84
HYG 2018-01-31 2018-12-31 $70.76 $69.30 Long 114.0 -2.07% 2547.12 18622.90
TLT 2018-12-31 2019-02-28 $114.52 $113.37 Long 69.0 -1.00% 2789.52 18553.95
IEF 2018-10-31 2019-02-28 $95.69 $99.80 Long 82.0 4.30% 2789.52 18553.95
JNK 2019-02-28 2019-03-29 $91.00 $92.16 Long 87.0 1.28% 2787.91 18884.86
TLT 2019-03-29 2019-11-29 $119.69 $135.01 Long 67.0 12.79% 2989.77 20714.91
LQD 2019-02-28 2019-12-31 $106.05 $120.65 Long 74.0 13.77% 3006.80 20930.91
JNK 2019-12-31 2020-01-31 $97.93 $97.48 Long 91.0 -0.46% 3081.71 20848.22
HYG 2019-11-29 2020-01-31 $77.58 $78.69 Long 114.0 1.44% 3081.71 20848.22
LQD 2020-01-31 2020-02-28 $123.61 $124.95 Long 72.0 1.09% 2901.11 21532.92
IEF 2020-02-28 2020-06-30 $114.72 $119.76 Long 80.0 4.39% 2976.86 22515.81
TLT 2020-01-31 2020-08-31 $140.74 $157.94 Long 63.0 12.22% 3350.04 22552.40
LQD 2020-06-30 2020-09-30 $128.44 $129.50 Long 74.0 0.82% 3407.82 22414.10
JNK 2020-08-31 2021-07-30 $97.73 $105.82 Long 98.0 8.28% 3675.77 24127.54
HYG 2020-09-30 2021-07-30 $78.07 $84.83 Long 122.0 8.66% 3675.77 24127.54
LQD 2021-07-30 2021-08-31 $133.39 $132.93 Long 77.0 -0.34% 3669.53 24057.41
HYG 2021-08-31 2021-09-30 $85.35 $85.04 Long 120.0 -0.37% 3790.49 23724.55
JNK 2021-09-30 2021-10-29 $106.14 $105.80 Long 95.0 -0.32% 3706.08 23934.62
LQD 2021-10-29 2021-11-30 $131.62 $131.47 Long 77.0 -0.12% 3583.47 24202.51
IEF 2021-11-30 2021-12-31 $115.12 $114.52 Long 89.0 -0.52% 3621.62 23939.74
TLT 2021-07-30 2022-01-31 $147.54 $141.54 Long 69.0 -4.07% 3461.34 23261.35

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
BondYield 0.90 0.43 HYG 2022-01-31 Hold Long -4.72% EOM
BondYield 0.90 0.42 JNK 2021-12-31 Hold Long -7.97% EOM
momentum  IEF  LQD  HYG  JNK  TLT