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 |