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 |