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 64.00
NoOfWins 39.00
NoOfLosses 25.00
SharpRatio 0.88
SortinoRatio 1.16
GrossProfit $14110.32
FirstDate 2008-12-31
LastDate 2021-08-31
FirstEquity $10000.00
FinalEquity $24110.32
OpenEquity $20565.74
LongEquity $14110.32
ShortEquity $0.00
PercentWins 60.94%
AveWin $455.34
AveLoss $-145.91
AveWinLoss 3.12
Expectancy 2.99%
AveDrawUp 16.35%
AveDrawDown -5.75%
MaxDrawDown -9.46%
Kelly 48.42%
Thrope 177.97
APR 7.20%
CalmarRatio 1.25

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
IEF 2008-12-31 2009-04-30 $75.38 $72.25 Long 56.0 -4.14% 1365.65 9106.26
TLT 2008-12-31 2009-04-30 $83.88 $69.51 Long 50.0 -17.14% 1365.65 9106.26
HYG 2009-04-30 2010-05-28 $35.75 $43.97 Long 108.0 23.00% 1728.51 11158.23
JNK 2009-04-30 2010-05-28 $42.64 $55.43 Long 91.0 30.00% 1728.51 11158.23
TLT 2010-05-28 2010-10-29 $71.41 $75.54 Long 66.0 5.79% 1726.21 11783.31
IEF 2010-05-28 2010-11-30 $74.87 $79.74 Long 63.0 6.50% 1781.64 11643.25
HYG 2010-11-30 2011-06-30 $48.23 $51.73 Long 103.0 7.25% 1890.26 12362.92
JNK 2010-10-29 2011-06-30 $62.35 $65.66 Long 80.0 5.31% 1890.26 12362.92
LQD 2011-06-30 2011-07-29 $77.82 $79.71 Long 67.0 2.43% 1828.61 12656.33
IEF 2011-06-30 2012-02-29 $79.68 $88.84 Long 66.0 11.49% 2116.90 14296.70
TLT 2011-07-29 2012-02-29 $76.09 $93.03 Long 71.0 22.26% 2116.90 14296.70
JNK 2012-02-29 2012-05-31 $69.24 $67.03 Long 88.0 -3.19% 2110.76 13916.60
HYG 2012-02-29 2012-05-31 $54.83 $53.16 Long 111.0 -3.05% 2110.76 13916.60
IEF 2012-05-31 2012-06-29 $92.19 $91.80 Long 64.0 -0.42% 2119.29 13792.65
JNK 2012-06-29 2012-07-31 $69.84 $71.01 Long 84.0 1.67% 2074.02 14112.16
LQD 2012-07-31 2012-08-31 $89.70 $89.66 Long 67.0 -0.05% 2114.41 14029.48
JNK 2012-08-31 2012-09-28 $71.89 $72.41 Long 83.0 0.73% 2233.00 13922.62
TLT 2012-05-31 2012-10-31 $101.82 $99.48 Long 58.0 -2.31% 2085.55 13973.75
LQD 2012-09-28 2012-11-30 $90.64 $91.48 Long 65.0 0.92% 2085.96 14014.37
HYG 2012-11-30 2014-01-31 $58.29 $62.76 Long 102.0 7.66% 2147.81 14949.17
TLT 2014-01-31 2014-02-28 $90.56 $91.03 Long 70.0 0.52% 2099.54 15131.68
HYG 2014-02-28 2014-03-31 $64.21 $64.15 Long 100.0 -0.08% 2096.05 15125.24
JNK 2012-10-31 2014-05-30 $73.05 $82.81 Long 81.0 13.36% 2175.78 15550.56
LQD 2014-05-30 2014-09-30 $94.69 $94.67 Long 70.0 -0.02% 2099.16 15747.34
IEF 2014-09-30 2015-04-30 $91.82 $96.40 Long 73.0 4.98% 2510.78 16775.60
TLT 2014-03-31 2015-04-30 $91.70 $109.13 Long 70.0 19.01% 2510.78 16775.60
HYG 2015-04-30 2015-08-31 $65.52 $63.21 Long 109.0 -3.52% 2468.24 16215.51
JNK 2015-04-30 2015-08-31 $82.83 $79.24 Long 86.0 -4.34% 2468.24 16215.51
LQD 2015-08-31 2015-09-30 $94.99 $96.12 Long 72.0 1.19% 2463.49 16405.80
TLT 2015-09-30 2015-10-30 $108.21 $107.77 Long 64.0 -0.41% 2400.17 16332.76
LQD 2015-10-30 2015-12-31 $96.67 $95.48 Long 72.0 -1.24% 2457.90 16185.41
IEF 2015-08-31 2016-03-31 $95.94 $100.59 Long 72.0 4.85% 2393.77 17112.63
LQD 2016-03-31 2016-07-29 $100.09 $105.60 Long 73.0 5.50% 2329.45 18200.41
TLT 2015-12-31 2016-08-31 $106.51 $125.25 Long 64.0 17.59% 2538.78 18263.61
HYG 2016-08-31 2017-06-30 $67.30 $71.59 Long 116.0 6.37% 2834.97 19314.41
JNK 2016-07-29 2017-06-30 $81.82 $89.18 Long 95.0 8.98% 2834.97 19314.41
TLT 2017-06-30 2017-07-31 $114.37 $113.62 Long 72.0 -0.66% 2771.63 19323.40
HYG 2017-07-31 2017-08-31 $72.32 $72.36 Long 114.0 0.06% 2796.58 19384.91
TLT 2017-08-31 2017-09-29 $117.49 $114.76 Long 70.0 -2.32% 2670.24 19189.93
JNK 2017-09-29 2017-12-29 $90.66 $90.80 Long 90.0 0.15% 2606.30 19310.21
LQD 2017-06-30 2018-01-31 $105.70 $107.23 Long 78.0 1.45% 2780.15 18938.29
TLT 2017-12-29 2018-01-31 $117.66 $113.83 Long 70.0 -3.26% 2780.15 18938.29
JNK 2018-01-31 2018-03-29 $90.75 $89.45 Long 89.0 -1.44% 2794.20 18733.70
TLT 2018-03-29 2018-04-30 $113.53 $111.15 Long 70.0 -2.09% 2666.10 18606.25
JNK 2018-04-30 2018-05-31 $89.87 $89.65 Long 88.0 -0.24% 2618.82 18590.89
TLT 2018-05-31 2018-06-29 $113.38 $114.12 Long 70.0 0.65% 2711.55 18650.14
JNK 2018-06-29 2018-08-31 $89.72 $91.88 Long 88.0 2.40% 2705.77 19032.45
TLT 2018-08-31 2018-09-28 $113.96 $110.69 Long 71.0 -2.86% 2522.59 18844.14
JNK 2018-09-28 2018-10-31 $92.44 $90.60 Long 87.0 -1.99% 2500.61 18520.00
HYG 2018-01-31 2018-12-31 $72.80 $71.30 Long 111.0 -2.07% 2542.18 18648.10
IEF 2018-10-31 2019-02-28 $96.39 $100.54 Long 82.0 4.30% 2838.04 18579.51
TLT 2018-12-31 2019-02-28 $115.77 $114.61 Long 68.0 -1.00% 2838.04 18579.51
JNK 2019-02-28 2019-03-29 $93.76 $94.96 Long 84.0 1.28% 2828.48 18910.43
TLT 2019-03-29 2019-11-29 $121.00 $136.48 Long 66.0 12.79% 2976.54 20738.03
LQD 2019-02-28 2019-12-31 $107.75 $122.59 Long 73.0 13.77% 3046.52 20954.44
JNK 2019-12-31 2020-01-31 $100.90 $100.44 Long 88.0 -0.46% 3133.86 20871.82
HYG 2019-11-29 2020-01-31 $79.82 $80.96 Long 111.0 1.44% 3133.86 20871.82
LQD 2020-01-31 2020-02-28 $125.59 $126.96 Long 71.0 1.09% 3018.98 21553.69
IEF 2020-02-28 2020-06-30 $115.56 $120.63 Long 79.0 4.39% 3022.28 22531.46
TLT 2020-01-31 2020-08-31 $142.28 $159.66 Long 62.0 12.22% 3355.68 22568.76
LQD 2020-06-30 2020-09-30 $130.50 $131.57 Long 73.0 0.82% 3401.61 22430.47
HYG 2020-09-30 2021-07-30 $80.33 $87.28 Long 119.0 8.66% 3553.92 24145.79
JNK 2020-08-31 2021-07-30 $100.69 $109.03 Long 95.0 8.28% 3553.92 24145.79
LQD 2021-07-30 2021-08-31 $135.53 $135.07 Long 76.0 -0.34% 3544.59 24075.18

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
BondYield 0.90 0.43 TLT 2021-07-30 Hold Long 0.50% EOM
BondYield 0.90 0.43 HYG 2021-08-31 Hold Long 0.34% EOM
momentum  IEF  LQD  HYG  JNK  TLT