Strategy - Factor


Description

This is inspired by the research of Ploutos but using accelerating dual momentum.

This strategy uses two of the following risk-on assets: SPLV, MTUM, NOBL, RPV, USMV, QUAL, SIZE, VLUE with UBT being the risk off haven.

It will buy only two risk on assets at a time.

Trading happens on the Close of the signal day

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 56.00
NoOfWins 34.00
NoOfLosses 22.00
SharpRatio 0.81
SortinoRatio 0.98
GrossProfit $14305.14
FirstDate 2014-12-30
LastDate 2022-01-31
FirstEquity $10000.00
FinalEquity $24305.14
OpenEquity $0.00
LongEquity $14305.14
ShortEquity $0.00
PercentWins 60.71%
AveWin 7.83%
AveLoss -2.92%
AveWinLoss 2.68
Expectancy 3.61%
AveDrawUp 30.03%
AveDrawDown -9.80%
MaxDrawDown -20.43%
Kelly 46.08%
Thrope 82.95
APR 13.35%
CalmarRatio 1.36

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
NOBL 2014-12-30 2015-01-30 $43.05 $41.45 Long 88.0 -3.71% 2302.06 9797.82
SPLV 2015-01-30 2015-02-27 $32.00 $32.47 Long 117.0 1.46% 2337.16 9989.45
USMV 2014-12-30 2015-04-30 $35.31 $35.53 Long 108.0 0.63% 2391.88 9859.81
MTUM 2015-02-27 2015-04-30 $64.89 $63.54 Long 58.0 -2.08% 2391.88 9859.81
VLUE 2015-04-30 2015-05-29 $54.85 $55.36 Long 68.0 0.92% 2405.34 9898.74
RPV 2015-04-30 2015-05-29 $46.72 $46.78 Long 80.0 0.13% 2405.34 9898.74
QUAL 2015-05-29 2015-07-31 $56.81 $57.37 Long 66.0 0.98% 10064.35 10064.35
MTUM 2015-05-29 2015-07-31 $65.68 $67.94 Long 57.0 3.44% 10064.35 10064.35
UBT 2015-08-31 2016-04-29 $35.24 $40.39 Long 218.0 14.63% 2642.59 11188.24
RPV 2016-04-29 2016-05-31 $44.97 $44.90 Long 95.0 -0.15% 2620.91 11214.08
NOBL 2016-04-29 2016-06-30 $45.96 $47.63 Long 93.0 3.64% 2729.31 11529.66
USMV 2016-05-31 2016-06-30 $39.33 $41.09 Long 109.0 4.49% 2729.31 11529.66
UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 189.0 4.34% 2818.57 11911.82
SIZE 2016-07-29 2016-08-31 $63.24 $62.83 Long 72.0 -0.65% 2849.79 11864.43
RPV 2016-07-29 2016-10-31 $46.33 $45.75 Long 98.0 -1.24% 2889.70 11801.43
MTUM 2016-10-31 2016-11-30 $70.53 $70.11 Long 63.0 -0.59% 2690.23 12091.66
RPV 2016-11-30 2017-03-31 $49.64 $51.88 Long 93.0 4.51% 2713.55 12630.82
VLUE 2016-08-31 2017-04-28 $55.47 $63.29 Long 81.0 14.11% 3023.37 12765.76
SIZE 2017-04-28 2017-05-31 $69.81 $70.21 Long 69.0 0.57% 2923.57 13028.17
SPLV 2017-05-31 2017-06-30 $40.20 $40.07 Long 123.0 -0.31% 2882.51 13030.85
SIZE 2017-06-30 2017-07-31 $71.00 $72.06 Long 70.0 1.49% 2890.40 13284.86
MTUM 2017-03-31 2017-08-31 $77.45 $87.69 Long 62.0 13.23% 3160.75 13401.84
USMV 2017-07-31 2017-08-31 $45.37 $45.72 Long 111.0 0.76% 3160.75 13401.84
UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 252.0 -4.79% 3104.34 12910.78
VLUE 2017-09-29 2018-03-29 $67.65 $72.54 Long 73.0 7.24% 3171.62 13819.07
QUAL 2018-03-29 2018-04-30 $76.89 $75.88 Long 68.0 -1.31% 3087.75 13777.91
RPV 2018-04-30 2018-05-31 $59.59 $59.12 Long 88.0 -0.78% 2991.46 13924.59
QUAL 2018-05-31 2018-06-29 $77.93 $77.92 Long 68.0 -0.00% 2971.81 13920.29
MTUM 2017-09-29 2018-07-31 $90.15 $106.09 Long 54.0 17.68% 3310.72 14194.42
SPLV 2018-07-31 2018-08-31 $44.92 $45.71 Long 120.0 1.77% 3292.62 14457.88
MTUM 2018-08-31 2018-10-24 $112.32 $99.31 Long 49.0 -11.58% 8158.83 13606.62
USMV 2018-06-29 2018-10-31 $49.25 $50.93 Long 108.0 3.41% 13767.35 13767.35
MTUM 2018-10-30 2018-10-31 $100.09 $102.18 Long 52.0 2.08% 13767.35 13767.35
UBT 2018-11-30 2019-06-28 $33.62 $45.17 Long 313.0 34.38% 4141.14 17384.84
QUAL 2019-06-28 2019-07-31 $87.00 $88.20 Long 76.0 1.38% 4150.42 17595.02
MTUM 2019-06-28 2019-07-31 $114.34 $116.39 Long 58.0 1.80% 4150.42 17595.02
UBT 2019-07-31 2019-11-07 $45.27 $47.11 Long 297.0 4.07% 18141.81 18141.81
UBT 2019-11-27 2019-11-29 $50.64 $50.39 Long 274.0 -0.49% 4350.65 18073.80
QUAL 2019-11-29 2020-01-31 $94.21 $96.21 Long 73.0 2.13% 4290.77 18176.45
VLUE 2019-11-29 2020-01-31 $80.54 $80.03 Long 85.0 -0.64% 4290.77 18176.45
UBT 2020-01-31 2020-03-10 $54.45 $65.42 Long 255.0 20.14% 20973.43 20973.43
UBT 2020-03-30 2020-06-04 $69.06 $61.70 Long 232.0 -10.66% 19264.75 19264.75
UBT 2020-06-29 2020-06-30 $67.31 $66.78 Long 218.0 -0.79% 4601.79 19148.12
QUAL 2020-06-30 2020-09-30 $92.83 $100.85 Long 78.0 8.63% 4633.29 20701.56
MTUM 2020-06-30 2020-11-30 $128.16 $153.12 Long 57.0 19.47% 4869.13 22302.40
SIZE 2020-09-30 2021-01-29 $91.10 $107.29 Long 86.0 17.77% 5268.02 23140.75
VLUE 2021-01-29 2021-06-30 $85.71 $101.22 Long 103.0 18.10% 5412.49 26881.36
RPV 2020-11-30 2021-07-30 $56.99 $73.37 Long 149.0 28.74% 6219.67 26755.69
SIZE 2021-06-30 2021-08-31 $126.93 $131.53 Long 81.0 3.62% 6506.44 27285.53
USMV 2021-08-31 2021-09-30 $76.23 $72.43 Long 136.0 -4.99% 6161.33 26096.48
QUAL 2021-07-30 2021-09-30 $135.01 $129.87 Long 75.0 -3.81% 6161.33 26096.48
UBT 2021-09-30 2021-10-29 $52.05 $54.39 Long 383.0 4.50% 6638.35 26992.70
QUAL 2021-10-29 2021-11-30 $139.89 $139.04 Long 73.0 -0.61% 6242.53 26530.27
MTUM 2021-10-29 2021-11-30 $187.83 $180.41 Long 54.0 -3.95% 6242.53 26530.27
UBT 2021-11-30 2022-01-04 $57.31 $51.45 Long 354.0 -10.23% 24455.20 24455.20
UBT 2022-01-28 2022-01-31 $51.00 $50.59 Long 366.0 -0.80% 24305.14 24305.14

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Factor 0.90 0.00 Out EOM
momentum  SPLV  MTUM  NOBL  RPV  USMV  QUAL  SIZE  VLUE  UBT