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 71.00
NoOfWins 39.00
NoOfLosses 32.00
SharpRatio 0.64
SortinoRatio 0.85
GrossProfit $11550.88
FirstDate 2008-12-31
LastDate 2022-09-30
FirstEquity $10000.00
FinalEquity $21550.88
OpenEquity $18524.73
LongEquity $11550.88
ShortEquity $0.00
PercentWins 54.93%
AveWin 7.21%
AveLoss -2.64%
AveWinLoss 2.73
Expectancy 2.77%
AveDrawUp 16.04%
AveDrawDown -5.99%
MaxDrawDown -17.87%
Kelly 38.42%
Thrope 126.97
APR 5.74%
CalmarRatio 0.96

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TLT 2008-12-31 2009-04-30 $82.15 $68.07 Long 52.0 -17.14% 1342.08 9092.55
IEF 2008-12-31 2009-04-30 $74.22 $71.14 Long 57.0 -4.14% 1342.08 9092.55
HYG 2009-04-30 2010-05-28 $33.99 $41.81 Long 114.0 23.00% 1673.02 11146.50
JNK 2009-04-30 2010-05-28 $40.37 $52.48 Long 96.0 30.00% 1673.02 11146.50
TLT 2010-05-28 2010-10-29 $69.93 $73.98 Long 68.0 5.79% 1685.45 11774.13
IEF 2010-05-28 2010-11-30 $73.72 $78.51 Long 64.0 6.50% 1757.18 11633.49
HYG 2010-11-30 2011-06-30 $45.86 $49.19 Long 108.0 7.25% 1884.30 12354.24
JNK 2010-10-29 2011-06-30 $59.04 $62.18 Long 85.0 5.31% 1884.30 12354.24
LQD 2011-06-30 2011-07-29 $75.56 $77.40 Long 69.0 2.43% 1859.36 12647.57
TLT 2011-07-29 2012-02-29 $74.52 $91.11 Long 72.0 22.26% 2082.01 14279.51
IEF 2011-06-30 2012-02-29 $78.45 $87.47 Long 67.0 11.49% 2082.01 14279.51
HYG 2012-02-29 2012-05-31 $52.14 $50.55 Long 117.0 -3.05% 2115.18 13898.86
JNK 2012-02-29 2012-05-31 $65.56 $63.47 Long 93.0 -3.19% 2115.18 13898.86
IEF 2012-05-31 2012-06-29 $90.77 $90.39 Long 65.0 -0.42% 2104.49 13775.29
JNK 2012-06-29 2012-07-31 $66.14 $67.24 Long 89.0 1.67% 2078.99 14094.29
LQD 2012-07-31 2012-08-31 $87.10 $87.05 Long 69.0 -0.05% 2163.62 14011.91
JNK 2012-08-31 2012-09-28 $68.07 $68.57 Long 87.0 0.73% 2232.38 13905.29
TLT 2012-05-31 2012-10-31 $99.72 $97.43 Long 59.0 -2.31% 2031.61 13956.59
LQD 2012-09-28 2012-11-30 $88.01 $88.82 Long 67.0 0.92% 2052.47 13997.53
HYG 2012-11-30 2014-01-31 $55.42 $59.67 Long 107.0 7.66% 2139.83 14933.72
TLT 2014-01-31 2014-02-28 $88.69 $89.16 Long 71.0 0.52% 2059.89 15116.82
HYG 2014-02-28 2014-03-31 $61.05 $61.00 Long 105.0 -0.08% 2088.40 15110.38
JNK 2012-10-31 2014-05-30 $69.17 $78.42 Long 86.0 13.36% 2212.58 15534.04
LQD 2014-05-30 2014-09-30 $91.94 $91.92 Long 72.0 -0.02% 2140.20 15729.51
IEF 2014-09-30 2015-04-30 $90.41 $94.91 Long 74.0 4.98% 2513.60 16752.52
TLT 2014-03-31 2015-04-30 $89.81 $106.88 Long 71.0 19.01% 2513.60 16752.52
HYG 2015-04-30 2015-08-31 $62.29 $60.10 Long 114.0 -3.52% 2379.64 16193.23
JNK 2015-04-30 2015-08-31 $78.43 $75.03 Long 91.0 -4.34% 2379.64 16193.23
LQD 2015-08-31 2015-09-30 $92.23 $93.33 Long 75.0 1.19% 2384.92 16384.26
TLT 2015-09-30 2015-10-30 $105.98 $105.54 Long 66.0 -0.41% 2404.70 16311.02
LQD 2015-10-30 2015-12-31 $93.87 $92.71 Long 74.0 -1.24% 2380.30 16163.94
IEF 2015-08-31 2016-03-31 $94.47 $99.05 Long 73.0 4.85% 2321.47 17096.54
LQD 2016-03-31 2016-07-29 $97.19 $102.54 Long 75.0 5.50% 2263.76 18190.18
TLT 2015-12-31 2016-08-31 $104.31 $122.66 Long 66.0 17.59% 2617.16 18252.09
JNK 2016-07-29 2017-06-30 $77.48 $84.44 Long 100.0 8.98% 2909.49 19297.00
HYG 2016-08-31 2017-06-30 $63.99 $68.06 Long 121.0 6.37% 2909.49 19297.00
TLT 2017-06-30 2017-07-31 $112.01 $111.28 Long 73.0 -0.66% 2781.69 19306.11
HYG 2017-07-31 2017-08-31 $68.76 $68.80 Long 120.0 0.06% 2868.23 19367.39
TLT 2017-08-31 2017-09-29 $115.07 $112.40 Long 71.0 -2.32% 2692.51 19173.70
JNK 2017-09-29 2017-12-29 $85.85 $85.98 Long 95.0 0.15% 2679.28 19293.53
LQD 2017-06-30 2018-01-31 $102.63 $104.12 Long 80.0 1.45% 2816.30 18923.81
TLT 2017-12-29 2018-01-31 $115.23 $111.48 Long 71.0 -3.26% 2816.30 18923.81
JNK 2018-01-31 2018-03-29 $85.94 $84.70 Long 94.0 -1.44% 2883.94 18719.77
TLT 2018-03-29 2018-04-30 $111.18 $108.86 Long 71.0 -2.09% 2698.57 18593.18
JNK 2018-04-30 2018-05-31 $85.10 $84.89 Long 93.0 -0.24% 2709.58 18577.79
TLT 2018-05-31 2018-06-29 $111.04 $111.76 Long 71.0 0.65% 2743.68 18636.64
JNK 2018-06-29 2018-08-31 $84.96 $87.00 Long 93.0 2.40% 2798.94 19017.86
TLT 2018-08-31 2018-09-28 $111.60 $108.41 Long 72.0 -2.86% 2638.88 18830.86
JNK 2018-09-28 2018-10-31 $87.53 $85.79 Long 91.0 -1.99% 2568.32 18509.29
HYG 2018-01-31 2018-12-31 $69.22 $67.79 Long 116.0 -2.07% 2495.16 18637.56
IEF 2018-10-31 2019-02-28 $94.91 $98.99 Long 83.0 4.30% 2820.14 18568.29
TLT 2018-12-31 2019-02-28 $113.38 $112.24 Long 70.0 -1.00% 2820.14 18568.29
JNK 2019-02-28 2019-03-29 $88.78 $89.91 Long 89.0 1.28% 2764.42 18898.98
TLT 2019-03-29 2019-11-29 $118.50 $133.66 Long 68.0 12.79% 3050.39 20733.87
LQD 2019-02-28 2019-12-31 $104.62 $119.03 Long 75.0 13.77% 3092.36 20949.09
JNK 2019-12-31 2020-01-31 $95.54 $95.11 Long 93.0 -0.46% 3047.00 20866.71
HYG 2019-11-29 2020-01-31 $75.89 $76.98 Long 116.0 1.44% 3047.00 20866.71
LQD 2020-01-31 2020-02-28 $121.94 $123.27 Long 73.0 1.09% 2943.74 21554.82
IEF 2020-02-28 2020-06-30 $113.78 $118.78 Long 80.0 4.39% 2815.53 22537.74
TLT 2020-01-31 2020-08-31 $139.34 $156.37 Long 64.0 12.22% 3193.23 22575.44
LQD 2020-06-30 2020-09-30 $126.71 $127.75 Long 76.0 0.82% 3355.64 22436.05
HYG 2020-09-30 2021-07-30 $76.37 $82.99 Long 125.0 8.66% 3666.46 24156.28
JNK 2020-08-31 2021-07-30 $95.35 $103.24 Long 101.0 8.28% 3666.46 24156.28
LQD 2021-07-30 2021-08-31 $131.60 $131.15 Long 78.0 -0.34% 3625.95 24086.02
HYG 2021-08-31 2021-09-30 $83.49 $83.19 Long 123.0 -0.37% 3709.53 23751.77
JNK 2021-09-30 2021-10-29 $103.55 $103.22 Long 98.0 -0.32% 3696.40 23962.69
LQD 2021-10-29 2021-11-30 $129.85 $129.70 Long 78.0 -0.12% 3536.96 24231.81
IEF 2021-11-30 2021-12-31 $114.18 $113.58 Long 90.0 -0.52% 3539.83 23967.97
TLT 2021-07-30 2022-01-31 $146.07 $140.13 Long 70.0 -4.07% 3475.07 23286.03
JNK 2021-12-31 2022-06-30 $104.28 $88.89 Long 98.0 -14.76% 3245.87 20932.83
IEF 2022-06-30 2022-09-30 $101.59 $95.81 Long 88.0 -5.69% 3026.15 20273.02

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
BondYield 0.90 0.42 HYG 2022-01-31 Hold Long -10.26% EOM
BondYield 0.90 0.43 JNK 2022-09-30 Hold Long 2.84% EOM
momentum  IEF  LQD  HYG  JNK  TLT