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 | 45.00 |
| NoOfWins | 32.00 |
| NoOfLosses | 13.00 |
| SharpRatio | 1.02 |
| SortinoRatio | 1.23 |
| GrossProfit | $27002.59 |
| FirstDate | 2014-12-31 |
| LastDate | 2021-08-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $37002.59 |
| OpenEquity | $31654.94 |
| LongEquity | $27002.59 |
| ShortEquity | $0.00 |
| PercentWins | 71.11% |
| AveWin | $896.52 |
| AveLoss | $-129.69 |
| AveWinLoss | 6.91 |
| Expectancy | 7.33% |
| AveDrawUp | 36.45% |
| AveDrawDown | -10.19% |
| MaxDrawDown | -24.97% |
| Kelly | 66.93% |
| Thrope | 83.72 |
| APR | 21.68% |
| CalmarRatio | 2.13 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| NOBL | 2014-12-31 | 2015-01-30 | $43.68 | $42.47 | Long | 97.0 | -2.75% | 1430.11 | 9862.27 |
| SPLV | 2015-01-30 | 2015-02-27 | $32.70 | $33.18 | Long | 128.0 | 1.46% | 1387.25 | 10078.40 |
| MTUM | 2015-02-27 | 2015-04-30 | $65.99 | $64.62 | Long | 65.0 | -2.08% | 1492.04 | 9931.04 |
| USMV | 2014-12-31 | 2015-04-30 | $35.56 | $36.20 | Long | 120.0 | 1.78% | 1492.04 | 9931.04 |
| VLUE | 2015-04-30 | 2015-05-29 | $56.94 | $57.46 | Long | 74.0 | 0.92% | 1547.05 | 9975.03 |
| RPV | 2015-04-30 | 2015-05-29 | $48.02 | $48.08 | Long | 88.0 | 0.13% | 1547.05 | 9975.03 |
| QUAL | 2015-05-29 | 2015-07-31 | $57.80 | $58.37 | Long | 73.0 | 0.98% | 1475.65 | 10161.24 |
| MTUM | 2015-05-29 | 2015-07-31 | $66.80 | $69.10 | Long | 63.0 | 3.44% | 1475.65 | 10161.24 |
| UBT | 2015-07-31 | 2016-04-29 | $35.74 | $40.39 | Long | 243.0 | 13.01% | 1681.63 | 11290.80 |
| RPV | 2016-04-29 | 2016-05-31 | $46.21 | $46.14 | Long | 104.0 | -0.15% | 1672.84 | 11319.82 |
| NOBL | 2016-04-29 | 2016-06-30 | $47.09 | $48.80 | Long | 102.0 | 3.64% | 1709.61 | 11674.03 |
| USMV | 2016-05-31 | 2016-06-30 | $40.06 | $41.86 | Long | 120.0 | 4.49% | 1709.61 | 11674.03 |
| UBT | 2016-06-30 | 2016-07-29 | $46.56 | $48.58 | Long | 214.0 | 4.34% | 1806.05 | 12106.73 |
| SIZE | 2016-07-29 | 2016-08-31 | $64.48 | $64.07 | Long | 80.0 | -0.65% | 1807.61 | 12053.05 |
| RPV | 2016-07-29 | 2016-10-31 | $47.61 | $47.02 | Long | 108.0 | -1.24% | 1792.54 | 11981.50 |
| MTUM | 2016-10-31 | 2016-11-30 | $71.73 | $71.31 | Long | 71.0 | -0.59% | 1600.50 | 12312.35 |
| RPV | 2016-11-30 | 2017-03-31 | $51.02 | $53.32 | Long | 103.0 | 4.51% | 1578.98 | 12926.79 |
| VLUE | 2016-08-31 | 2017-04-28 | $57.57 | $65.69 | Long | 89.0 | 14.11% | 1873.67 | 13081.65 |
| SIZE | 2017-04-28 | 2017-05-31 | $71.18 | $71.59 | Long | 78.0 | 0.57% | 1747.85 | 13383.08 |
| SPLV | 2017-05-31 | 2017-06-30 | $41.08 | $40.95 | Long | 139.0 | -0.31% | 1720.70 | 13386.07 |
| SIZE | 2017-06-30 | 2017-07-31 | $72.40 | $73.48 | Long | 79.0 | 1.49% | 1701.65 | 13677.92 |
| USMV | 2017-07-31 | 2017-08-31 | $46.22 | $46.57 | Long | 126.0 | 0.76% | 2027.17 | 13812.55 |
| MTUM | 2017-03-31 | 2017-08-31 | $78.77 | $89.19 | Long | 70.0 | 13.23% | 2027.17 | 13812.55 |
| UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 290.0 | -4.79% | 2037.29 | 13247.45 |
| VLUE | 2017-09-29 | 2018-03-29 | $70.21 | $75.29 | Long | 80.0 | 7.24% | 1959.24 | 14286.88 |
| QUAL | 2018-03-29 | 2018-04-30 | $78.23 | $77.20 | Long | 78.0 | -1.31% | 1918.15 | 14238.36 |
| RPV | 2018-04-30 | 2018-05-31 | $61.24 | $60.76 | Long | 99.0 | -0.78% | 1828.71 | 14406.57 |
| QUAL | 2018-05-31 | 2018-06-29 | $79.29 | $79.28 | Long | 77.0 | -0.00% | 1813.34 | 14401.63 |
| MTUM | 2017-09-29 | 2018-07-31 | $91.69 | $107.90 | Long | 61.0 | 17.68% | 2106.85 | 14716.90 |
| SPLV | 2018-07-31 | 2018-08-31 | $45.90 | $46.71 | Long | 137.0 | 1.77% | 2109.57 | 15021.58 |
| USMV | 2018-06-29 | 2018-10-31 | $50.16 | $51.88 | Long | 122.0 | 3.41% | 2093.01 | 14258.05 |
| MTUM | 2018-08-31 | 2018-10-31 | $114.23 | $103.92 | Long | 56.0 | -9.03% | 2093.01 | 14258.05 |
| UBT | 2018-10-31 | 2019-06-28 | $32.61 | $45.17 | Long | 373.0 | 38.51% | 2864.00 | 18942.88 |
| QUAL | 2019-06-28 | 2019-07-31 | $88.52 | $89.74 | Long | 91.0 | 1.38% | 2810.92 | 19197.94 |
| MTUM | 2019-06-28 | 2019-07-31 | $116.28 | $118.37 | Long | 69.0 | 1.80% | 2810.92 | 19197.94 |
| UBT | 2019-07-31 | 2019-11-29 | $45.27 | $50.39 | Long | 362.0 | 11.32% | 3193.34 | 21052.34 |
| QUAL | 2019-11-29 | 2020-01-31 | $95.85 | $97.89 | Long | 93.0 | 2.13% | 3106.33 | 21184.93 |
| VLUE | 2019-11-29 | 2020-01-31 | $83.60 | $83.06 | Long | 107.0 | -0.64% | 3106.33 | 21184.93 |
| UBT | 2020-01-31 | 2020-06-30 | $54.45 | $66.78 | Long | 332.0 | 22.63% | 3819.65 | 25275.63 |
| QUAL | 2020-06-30 | 2020-09-30 | $94.45 | $102.60 | Long | 114.0 | 8.63% | 3812.51 | 27563.42 |
| MTUM | 2020-06-30 | 2020-11-30 | $130.35 | $155.73 | Long | 82.0 | 19.47% | 3812.99 | 29939.71 |
| SIZE | 2020-09-30 | 2021-01-29 | $92.89 | $109.40 | Long | 126.0 | 17.77% | 4341.78 | 31197.54 |
| VLUE | 2021-01-29 | 2021-06-30 | $88.96 | $105.06 | Long | 149.0 | 18.10% | 4335.90 | 36818.78 |
| RPV | 2020-11-30 | 2021-07-30 | $58.57 | $75.41 | Long | 218.0 | 28.74% | 5116.24 | 36632.33 |
| SIZE | 2021-06-30 | 2021-08-31 | $129.42 | $134.11 | Long | 121.0 | 3.62% | 5347.65 | 37446.05 |