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 |