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 5ff5e0ab-b013-4bdc-9bf5-c8a4bef04869
NoOfTrades 222.00
NoOfWins 127.00
NoOfLosses 95.00
SharpRatio 0.68
SortinoRatio 0.88
GrossProfit $15226.69
FirstDate 2014-12-31
LastDate 2024-03-28
FirstEquity $10000.00
FinalEquity $25226.69
OpenEquity $18172.95
LongEquity $15226.69
ShortEquity $0.00
PercentWins 57.21%
AveWin 2.69%
AveLoss -2.12%
AveWinLoss 1.27
Expectancy 0.63%
MedianDrawUp 28.68%
MednDrawDown -13.26%
MaxDrawDown -23.25%
Kelly 23.48%
Thorpe 4.55
Rachev 1.13
PAPR 2.47%
APR 10.53%
CalmarRatio 0.86

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
NOBL 2014-12-31 2015-01-29 $41.27 $40.82 Long 175 -1.10% 2777.16 9920.74
NOBL 2015-01-29 2015-01-30 $40.82 $40.14 Long 175 -1.67% 2745.71 9801.13
SPLV 2015-01-30 2015-02-26 $30.81 $31.27 Long 229 1.49% 2776.98 9906.09
SPLV 2015-02-26 2015-02-27 $31.27 $31.26 Long 228 -0.03% 2793.41 9904.23
MTUM 2015-02-27 2015-03-30 $63.49 $63.55 Long 112 0.09% 2793.41 9910.91
MTUM 2015-03-30 2015-03-31 $63.55 $62.83 Long 112 -1.14% 2742.79 9829.83
USMV 2015-03-31 2015-04-29 $34.74 $34.82 Long 204 0.24% 2742.79 9847.00
USMV 2015-04-29 2015-04-30 $34.82 $34.54 Long 204 -0.82% 2733.19 9788.60
RPV 2015-04-30 2015-05-28 $44.94 $45.05 Long 157 0.25% 2733.19 9806.49
RPV 2015-05-28 2015-05-29 $45.05 $45.00 Long 157 -0.13% 2728.50 9797.55
MTUM 2015-05-29 2015-06-29 $64.26 $63.86 Long 110 -0.63% 2728.50 9752.68
MTUM 2015-06-29 2015-06-30 $63.86 $64.04 Long 110 0.29% 2728.50 9773.39
MTUM 2015-06-30 2015-07-30 $64.04 $66.46 Long 110 3.78% 2794.97 10039.64
MTUM 2015-07-30 2015-07-31 $66.46 $66.47 Long 109 0.01% 2803.43 10040.66
TBF 2015-07-31 2015-08-28 $22.90 $22.84 Long 316 -0.28% 2803.43 10020.40
TBF 2015-08-28 2015-08-31 $22.84 $22.99 Long 316 0.68% 2803.43 10069.59
TBF 2015-08-31 2015-09-29 $22.99 $22.38 Long 316 -2.67% 2758.67 9875.71
TBF 2015-09-29 2015-09-30 $22.38 $22.45 Long 318 0.33% 2761.31 9899.01
UBT 2015-09-30 2015-10-29 $34.82 $33.88 Long 205 -2.68% 2727.43 9707.65
UBT 2015-10-29 2015-10-30 $33.88 $34.32 Long 206 1.29% 2727.08 9797.73
TBF 2015-10-30 2015-11-27 $22.52 $22.77 Long 314 1.10% 2749.85 9875.37
TBF 2015-11-27 2015-11-30 $22.77 $22.67 Long 313 -0.40% 2742.37 9846.71
UBT 2015-11-30 2015-12-30 $33.83 $33.01 Long 210 -2.41% 2709.35 9675.23
UBT 2015-12-30 2015-12-31 $33.01 $33.19 Long 211 0.52% 2709.35 9711.54
UBT 2015-12-31 2016-01-28 $33.19 $36.57 Long 211 10.20% 2928.77 10425.52
UBT 2016-01-28 2016-01-29 $36.57 $37.18 Long 205 1.66% 2928.77 10549.96
UBT 2016-01-29 2016-02-26 $37.18 $39.16 Long 205 5.32% 3046.24 10955.76
UBT 2016-02-26 2016-02-29 $39.16 $39.39 Long 202 0.59% 3085.62 11002.43
UBT 2016-02-29 2016-03-30 $39.39 $38.76 Long 201 -1.58% 3046.86 10877.06
UBT 2016-03-30 2016-03-31 $38.76 $39.47 Long 202 1.84% 3086.34 11020.78
UBT 2016-03-31 2016-04-28 $39.47 $38.43 Long 201 -2.66% 3009.48 10809.93
UBT 2016-04-28 2016-04-29 $38.43 $38.64 Long 203 0.57% 3022.49 10854.18
NOBL 2016-04-29 2016-05-27 $44.50 $44.95 Long 176 1.02% 3067.45 10934.37
NOBL 2016-05-27 2016-05-31 $44.95 $44.84 Long 175 -0.26% 3067.45 10913.70
NOBL 2016-05-31 2016-06-29 $44.84 $45.25 Long 175 0.93% 3067.45 10986.91
NOBL 2016-06-29 2016-06-30 $45.25 $46.12 Long 175 1.91% 3119.58 11138.21
UBT 2016-06-30 2016-07-28 $44.55 $45.73 Long 180 2.64% 3165.31 11350.25
UBT 2016-07-28 2016-07-29 $45.73 $46.48 Long 179 1.65% 3198.09 11485.66
RPV 2016-07-29 2016-08-30 $44.56 $44.50 Long 186 -0.13% 3198.09 11474.77
RPV 2016-08-30 2016-08-31 $44.50 $44.38 Long 186 -0.26% 3219.47 11452.97
VLUE 2016-08-31 2016-09-29 $53.12 $52.82 Long 155 -0.56% 3166.65 11406.83
VLUE 2016-09-29 2016-09-30 $52.82 $53.47 Long 156 1.22% 3220.12 11507.77
VLUE 2016-09-30 2016-10-28 $53.47 $52.69 Long 155 -1.46% 3167.42 11387.16
VLUE 2016-10-28 2016-10-31 $52.69 $52.83 Long 156 0.26% 3167.42 11408.88
VLUE 2016-10-31 2016-11-29 $52.83 $56.36 Long 156 6.68% 3336.50 11959.59
VLUE 2016-11-29 2016-11-30 $56.36 $56.57 Long 153 0.38% 3350.06 11992.17
RPV 2016-11-30 2016-12-29 $47.75 $48.64 Long 181 1.88% 3398.70 12154.25
RPV 2016-12-29 2016-12-30 $48.64 $48.57 Long 180 -0.14% 3421.71 12142.11
VLUE 2016-12-30 2017-01-30 $57.75 $58.47 Long 151 1.24% 3421.71 12250.19
VLUE 2017-01-30 2017-01-31 $58.47 $58.48 Long 151 0.03% 3421.71 12252.68
VLUE 2017-01-31 2017-02-27 $58.48 $61.50 Long 151 5.16% 3544.71 12708.64
VLUE 2017-02-27 2017-02-28 $61.50 $61.16 Long 149 -0.56% 3544.71 12657.15
VLUE 2017-02-28 2017-03-30 $61.16 $60.64 Long 149 -0.84% 3544.71 12580.18
VLUE 2017-03-30 2017-03-31 $60.64 $60.48 Long 149 -0.26% 3544.71 12556.77
VLUE 2017-03-31 2017-04-27 $60.48 $60.92 Long 149 0.72% 3544.71 12622.09
VLUE 2017-04-27 2017-04-28 $60.92 $60.62 Long 149 -0.50% 3559.59 12576.49
MTUM 2017-04-28 2017-05-30 $77.73 $81.39 Long 116 4.71% 3640.98 13000.85
MTUM 2017-05-30 2017-05-31 $81.39 $81.44 Long 115 0.06% 3640.98 13006.12
MTUM 2017-05-31 2017-06-29 $81.44 $81.75 Long 115 0.38% 3640.98 13041.89
MTUM 2017-06-29 2017-06-30 $81.75 $81.72 Long 115 -0.03% 3640.98 13038.72
MTUM 2017-06-30 2017-07-28 $81.72 $84.36 Long 115 3.23% 3725.34 13342.15
MTUM 2017-07-28 2017-07-31 $84.36 $84.56 Long 114 0.24% 3725.34 13365.20
MTUM 2017-07-31 2017-08-30 $84.56 $85.33 Long 114 0.91% 3810.67 13453.24
MTUM 2017-08-30 2017-08-31 $85.33 $85.80 Long 113 0.55% 3786.02 13506.22
UBT 2017-08-31 2017-09-28 $38.88 $36.87 Long 250 -5.16% 3638.53 13004.44
UBT 2017-09-28 2017-09-29 $36.87 $37.02 Long 254 0.39% 3690.34 13040.71
MTUM 2017-09-29 2017-10-30 $88.21 $92.41 Long 106 4.76% 3782.75 13485.36
MTUM 2017-10-30 2017-10-31 $92.41 $92.65 Long 105 0.27% 3782.75 13511.50
MTUM 2017-10-31 2017-11-29 $92.65 $94.33 Long 105 1.81% 3877.08 13687.68
MTUM 2017-11-29 2017-11-30 $94.33 $95.25 Long 104 0.97% 3877.08 13782.60
MTUM 2017-11-30 2017-12-28 $95.25 $95.90 Long 104 0.69% 3877.08 13850.54
MTUM 2017-12-28 2017-12-29 $95.90 $95.36 Long 104 -0.56% 3877.08 13794.77
MTUM 2017-12-29 2018-01-30 $95.36 $102.61 Long 104 7.60% 4082.30 14548.71
MTUM 2018-01-30 2018-01-31 $102.61 $103.20 Long 102 0.58% 4082.30 14609.08
MTUM 2018-01-31 2018-02-27 $103.20 $102.67 Long 102 -0.52% 4082.30 14554.37
MTUM 2018-02-27 2018-02-28 $102.67 $101.70 Long 102 -0.95% 4082.30 14455.34
MTUM 2018-02-28 2018-03-28 $101.70 $96.62 Long 102 -4.99% 3889.07 13937.27
MTUM 2018-03-28 2018-03-29 $96.62 $98.19 Long 104 1.63% 3987.26 14101.17
MTUM 2018-03-29 2018-04-27 $98.19 $99.42 Long 103 1.25% 3987.26 14227.21
MTUM 2018-04-27 2018-04-30 $99.42 $98.68 Long 103 -0.74% 3949.80 14151.78
RPV 2018-04-30 2018-05-30 $57.31 $57.35 Long 178 0.06% 3949.80 14157.93
RPV 2018-05-30 2018-05-31 $57.35 $56.87 Long 178 -0.84% 3965.23 14071.83
MTUM 2018-05-31 2018-06-28 $102.09 $101.82 Long 99 -0.26% 3965.23 14045.15
MTUM 2018-06-28 2018-06-29 $101.82 $102.01 Long 99 0.19% 3965.23 14064.48
MTUM 2018-06-29 2018-07-30 $102.01 $103.43 Long 99 1.39% 3965.23 14204.41
MTUM 2018-07-30 2018-07-31 $103.43 $103.81 Long 99 0.37% 3957.88 14242.16
USMV 2018-07-31 2018-08-30 $49.44 $50.87 Long 208 2.88% 4059.61 14538.08
USMV 2018-08-30 2018-08-31 $50.87 $50.96 Long 206 0.18% 4059.61 14556.63
USMV 2018-08-31 2018-09-27 $50.96 $51.35 Long 206 0.77% 4110.96 14637.10
USMV 2018-09-27 2018-09-28 $51.35 $51.59 Long 205 0.48% 4150.88 14687.16
MTUM 2018-09-28 2018-10-24 $110.91 $97.17 Long 95 -12.39% 13382.08 13382.08
MTUM 2018-10-30 2018-10-31 $97.93 $99.98 Long 98 2.08% 3769.38 13582.11
TBF 2018-10-31 2018-11-29 $22.20 $21.95 Long 442 -1.12% 3747.42 13472.31
TBF 2018-11-29 2018-11-30 $21.95 $21.86 Long 443 -0.42% 3747.42 13431.55
TBF 2018-11-30 2018-12-28 $21.86 $20.76 Long 443 -5.02% 3602.09 12944.99
TBF 2018-12-28 2018-12-31 $20.76 $20.68 Long 450 -0.40% 3588.10 12907.59
UBT 2018-12-31 2019-01-30 $36.12 $35.56 Long 258 -1.56% 3552.54 12762.10
UBT 2019-01-30 2019-01-31 $35.56 $36.15 Long 259 1.67% 3588.69 12915.45
UBT 2019-01-31 2019-02-27 $36.15 $35.37 Long 258 -2.16% 3553.32 12714.20
UBT 2019-02-27 2019-02-28 $35.37 $35.10 Long 259 -0.76% 3518.22 12644.83
UBT 2019-02-28 2019-03-28 $35.10 $39.06 Long 260 11.27% 3830.69 13673.70
UBT 2019-03-28 2019-03-29 $39.06 $38.95 Long 252 -0.28% 3791.74 13646.38
UBT 2019-03-29 2019-04-29 $38.95 $37.03 Long 253 -4.94% 3680.66 13159.73
UBT 2019-04-29 2019-04-30 $37.03 $37.33 Long 256 0.81% 3680.66 13236.97
UBT 2019-04-30 2019-05-30 $37.33 $41.44 Long 256 11.01% 3970.74 14289.40
UBT 2019-05-30 2019-05-31 $41.44 $42.52 Long 249 2.61% 4055.78 14558.22
UBT 2019-05-31 2019-06-27 $42.52 $43.26 Long 247 1.73% 4099.04 14740.30
UBT 2019-06-27 2019-06-28 $43.26 $43.22 Long 246 -0.09% 4103.12 14730.97
MTUM 2019-06-28 2019-07-30 $111.87 $115.65 Long 95 3.37% 4218.77 15089.41
MTUM 2019-07-30 2019-07-31 $115.65 $113.88 Long 94 -1.53% 4182.91 14923.61
UBT 2019-07-31 2019-08-29 $43.31 $53.08 Long 248 22.56% 4819.88 17346.99
UBT 2019-08-29 2019-08-30 $53.08 $53.15 Long 236 0.13% 4819.88 17363.77
UBT 2019-08-30 2019-09-12 $53.15 $47.72 Long 236 -10.23% 16080.97 16080.97
UBT 2019-09-27 2019-09-30 $49.86 $50.09 Long 233 0.46% 4514.04 16134.09
UBT 2019-09-30 2019-10-30 $50.09 $47.55 Long 232 -5.05% 4323.83 15546.75
UBT 2019-10-30 2019-10-31 $47.55 $48.81 Long 236 2.64% 4421.44 15842.68
UBT 2019-10-31 2019-11-27 $48.81 $48.45 Long 234 -0.74% 4372.99 15758.21
UBT 2019-11-27 2019-11-29 $48.45 $48.21 Long 235 -0.49% 4363.55 15702.40
VLUE 2019-11-29 2019-12-30 $77.14 $79.37 Long 147 2.90% 4522.30 16031.60
VLUE 2019-12-30 2019-12-31 $79.37 $79.65 Long 145 0.35% 4522.30 16071.50
VLUE 2019-12-31 2020-01-30 $79.65 $78.11 Long 145 -1.93% 4444.19 15848.83
VLUE 2020-01-30 2020-01-31 $78.11 $76.64 Long 146 -1.89% 4380.66 15633.70
UBT 2020-01-31 2020-02-27 $52.10 $56.55 Long 216 8.55% 4606.86 16595.42
UBT 2020-02-27 2020-02-28 $56.55 $59.29 Long 212 4.84% 4784.72 17176.13
UBT 2020-02-28 2020-03-10 $59.29 $62.59 Long 209 5.57% 17866.32 17866.32
UBT 2020-03-30 2020-03-31 $66.07 $65.07 Long 195 -1.52% 4917.25 17670.43
UBT 2020-03-31 2020-04-29 $65.07 $67.64 Long 196 3.96% 5052.54 18174.85
UBT 2020-04-29 2020-04-30 $67.64 $66.39 Long 194 -1.85% 4986.14 17932.64
UBT 2020-04-30 2020-05-28 $66.39 $62.78 Long 195 -5.44% 4797.80 17228.37
UBT 2020-05-28 2020-05-29 $62.78 $63.63 Long 198 1.35% 4861.43 17396.01
UBT 2020-05-29 2020-06-29 $63.63 $64.40 Long 197 1.21% 4925.83 17547.74
UBT 2020-06-29 2020-06-30 $64.40 $63.89 Long 196 -0.79% 4907.36 17447.41
MTUM 2020-06-30 2020-07-30 $125.40 $133.57 Long 100 6.51% 5174.49 18263.95
MTUM 2020-07-30 2020-07-31 $133.57 $134.20 Long 98 0.47% 5174.49 18325.87
MTUM 2020-07-31 2020-08-28 $134.20 $144.87 Long 98 7.95% 5464.24 19371.86
MTUM 2020-08-28 2020-08-31 $144.87 $146.92 Long 96 1.41% 5464.24 19568.52
MTUM 2020-08-31 2020-09-29 $146.92 $139.95 Long 96 -4.74% 5324.29 18899.41
MTUM 2020-09-29 2020-09-30 $139.95 $141.34 Long 97 0.99% 5324.29 19034.28
MTUM 2020-09-30 2020-10-29 $141.34 $137.87 Long 97 -2.46% 5324.29 18697.58
MTUM 2020-10-29 2020-10-30 $137.87 $135.42 Long 97 -1.77% 5188.86 18460.40
MTUM 2020-10-30 2020-11-27 $135.42 $149.11 Long 98 10.10% 5636.18 19801.36
MTUM 2020-11-27 2020-11-30 $149.11 $149.82 Long 95 0.48% 5561.75 19868.77
RPV 2020-11-30 2020-12-30 $54.82 $56.48 Long 261 3.03% 5674.70 20301.74
RPV 2020-12-30 2020-12-31 $56.48 $56.99 Long 259 0.92% 5674.70 20436.25
RPV 2020-12-31 2021-01-28 $56.99 $59.72 Long 259 4.78% 5913.58 21142.38
RPV 2021-01-28 2021-01-29 $59.72 $58.39 Long 255 -2.24% 5796.81 20801.86
RPV 2021-01-29 2021-02-25 $58.39 $65.31 Long 257 11.86% 6319.31 22582.16
RPV 2021-02-25 2021-02-26 $65.31 $64.55 Long 249 -1.16% 6254.76 22392.81
RPV 2021-02-26 2021-03-30 $64.55 $69.56 Long 250 7.76% 6602.58 23645.79
RPV 2021-03-30 2021-03-31 $69.56 $68.99 Long 245 -0.83% 6533.60 23504.16
RPV 2021-03-31 2021-04-29 $68.99 $72.31 Long 246 4.82% 6750.54 24322.99
RPV 2021-04-29 2021-04-30 $72.31 $71.68 Long 243 -0.88% 6750.54 24168.93
RPV 2021-04-30 2021-05-27 $71.68 $75.24 Long 243 4.97% 6976.27 25034.41
RPV 2021-05-27 2021-05-28 $75.24 $75.07 Long 240 -0.24% 6976.27 24991.89
RPV 2021-05-28 2021-06-29 $75.07 $71.86 Long 240 -4.26% 6760.67 24223.72
RPV 2021-06-29 2021-06-30 $71.86 $72.22 Long 243 0.49% 6760.67 24310.14
RPV 2021-06-30 2021-07-29 $72.22 $71.12 Long 243 -1.53% 6689.56 24041.79
RPV 2021-07-29 2021-07-30 $71.12 $70.57 Long 244 -0.76% 6705.00 23909.35
QUAL 2021-07-30 2021-08-30 $132.34 $136.60 Long 130 3.22% 6841.60 24462.95
QUAL 2021-08-30 2021-08-31 $136.60 $136.09 Long 129 -0.37% 6841.60 24397.08
QUAL 2021-08-31 2021-09-29 $136.09 $128.73 Long 129 -5.41% 6584.15 23447.22
QUAL 2021-09-29 2021-09-30 $128.73 $127.31 Long 131 -1.10% 6479.26 23261.12
UBT 2021-09-30 2021-10-28 $49.80 $51.74 Long 337 3.90% 6686.22 23915.63
UBT 2021-10-28 2021-10-29 $51.74 $52.04 Long 333 0.57% 6739.03 24014.39
MTUM 2021-10-29 2021-11-29 $183.78 $181.09 Long 94 -1.46% 6739.03 23761.62
MTUM 2021-11-29 2021-11-30 $181.09 $176.52 Long 94 -2.52% 6499.31 23332.19
UBT 2021-11-30 2021-12-30 $54.83 $52.27 Long 307 -4.68% 6290.25 22545.03
UBT 2021-12-30 2021-12-31 $52.27 $52.08 Long 311 -0.35% 6333.01 22488.49
TIP 2021-12-31 2022-01-28 $117.92 $115.19 Long 137 -2.32% 6217.82 22113.37
TIP 2022-01-28 2022-01-31 $115.19 $115.50 Long 138 0.27% 6157.72 22156.19
TBF 2022-01-31 2022-02-25 $15.64 $16.19 Long 1023 3.55% 6319.66 22724.13
TBF 2022-02-25 2022-02-28 $16.19 $15.85 Long 1013 -2.15% 6208.74 22371.44
TBF 2022-02-28 2022-03-30 $15.85 $16.70 Long 1020 5.40% 6459.27 23244.85
TBF 2022-03-30 2022-03-31 $16.70 $16.65 Long 1005 -0.34% 6442.63 23188.11
TBF 2022-03-31 2022-04-28 $16.65 $18.12 Long 1006 8.88% 6859.46 24674.28
TBF 2022-04-28 2022-04-29 $18.12 $18.36 Long 983 1.30% 6914.53 24905.52
TBF 2022-04-29 2022-05-27 $18.36 $18.30 Long 980 -0.31% 6896.23 24850.19
TBF 2022-05-27 2022-05-31 $18.30 $18.69 Long 981 2.11% 7008.35 25228.65
TBF 2022-05-31 2022-06-29 $18.69 $19.05 Long 975 1.91% 7103.58 25577.28
TBF 2022-06-29 2022-06-30 $19.05 $18.87 Long 970 -0.94% 7065.85 25403.86
TBF 2022-06-30 2022-07-28 $18.87 $18.35 Long 972 -2.74% 6919.06 24900.82
TBF 2022-07-28 2022-07-29 $18.35 $18.39 Long 980 0.21% 6937.44 24937.71
TBF 2022-07-29 2022-08-30 $18.39 $19.08 Long 979 3.79% 7128.27 25619.40
TBF 2022-08-30 2022-08-31 $19.08 $19.26 Long 969 0.94% 7166.79 25792.64
TBF 2022-08-31 2022-09-29 $19.26 $20.70 Long 967 7.47% 7560.11 27184.80
TBF 2022-09-29 2022-09-30 $20.70 $20.98 Long 948 1.36% 7623.06 27452.41
TBF 2022-09-30 2022-10-28 $20.98 $22.15 Long 945 5.56% 7933.17 28555.03
TBF 2022-10-28 2022-10-31 $22.15 $22.34 Long 931 0.85% 7977.84 28730.23
TBF 2022-10-31 2022-11-29 $22.34 $20.98 Long 929 -6.07% 7642.11 27471.45
TBF 2022-11-29 2022-11-30 $20.98 $20.86 Long 945 -0.58% 7600.39 27355.86
TBF 2022-11-30 2022-12-29 $20.86 $21.19 Long 947 1.56% 7685.13 27663.08
TBF 2022-12-29 2022-12-30 $21.19 $21.42 Long 943 1.11% 7749.39 27885.75
TBF 2022-12-30 2023-01-30 $21.42 $20.13 Long 940 -6.04% 7407.22 26669.40
TBF 2023-01-30 2023-01-31 $20.13 $19.95 Long 957 -0.89% 7359.61 26497.66
RPV 2023-01-31 2023-02-27 $84.31 $79.65 Long 227 -5.53% 7120.66 25440.05
RPV 2023-02-27 2023-02-28 $79.65 $79.27 Long 230 -0.47% 7054.31 25353.17
TBF 2023-02-28 2023-03-30 $21.08 $20.45 Long 868 -3.01% 6890.74 24802.51
TBF 2023-03-30 2023-03-31 $20.45 $20.15 Long 876 -1.45% 6827.13 24543.52
UBT 2023-03-31 2023-04-27 $26.09 $25.37 Long 679 -2.77% 6674.92 24052.49
UBT 2023-04-27 2023-04-28 $25.37 $26.10 Long 685 2.89% 6831.53 24554.47
UBT 2023-04-28 2023-05-22 $26.10 $23.35 Long 679 -10.53% 22688.55 22688.55
UBT 2023-05-30 2023-05-31 $23.91 $24.39 Long 685 2.01% 6486.56 23017.28
TIP 2023-05-31 2023-06-29 $105.97 $105.14 Long 156 -0.78% 6381.42 22889.01
TIP 2023-06-29 2023-06-30 $105.14 $105.61 Long 157 0.44% 6402.14 22961.42
QUAL 2023-06-30 2023-07-28 $133.54 $138.55 Long 124 3.75% 6679.24 23582.68
QUAL 2023-07-28 2023-07-31 $138.55 $138.59 Long 122 0.03% 6679.24 23587.51
QUAL 2023-07-31 2023-08-30 $138.59 $137.96 Long 122 -0.46% 6541.28 23510.20
QUAL 2023-08-30 2023-08-31 $137.96 $137.99 Long 123 0.02% 6536.64 23513.85
TBF 2023-08-31 2023-09-28 $22.46 $24.52 Long 756 9.19% 6978.03 25074.67
TBF 2023-09-28 2023-09-29 $24.52 $24.52 Long 738 0.00% 6978.03 25074.67
TBF 2023-09-29 2023-10-30 $24.52 $25.86 Long 738 5.45% 7236.60 26060.45
TBF 2023-10-30 2023-10-31 $25.86 $26.03 Long 728 0.68% 7288.66 26188.21
TBF 2023-10-31 2023-11-29 $26.03 $23.46 Long 726 -9.89% 6749.12 24319.49
TBF 2023-11-29 2023-11-30 $23.46 $23.74 Long 749 1.21% 6820.34 24531.27
TBF 2023-11-30 2023-12-28 $23.74 $21.75 Long 746 -8.38% 6407.07 23046.50
TBF 2023-12-28 2023-12-29 $21.75 $21.95 Long 765 0.91% 6513.82 23198.38
VLUE 2023-12-29 2024-01-30 $100.51 $100.72 Long 166 0.21% 6513.82 23233.02
VLUE 2024-01-30 2024-01-31 $100.72 $99.65 Long 166 -1.06% 6505.79 23056.54
MTUM 2024-01-31 2024-02-28 $165.51 $180.12 Long 100 8.83% 6866.02 24517.29
MTUM 2024-02-28 2024-02-29 $180.12 $182.05 Long 98 1.08% 6866.02 24707.24
MTUM 2024-02-29 2024-03-27 $182.05 $187.72 Long 98 3.11% 7053.74 25262.58
MTUM 2024-03-27 2024-03-28 $187.72 $187.35 Long 97 -0.20% 7053.74 25226.69

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
Factor 0.72 MTUM 2024-03-28 Hold Long -6.43% EndOfMonth
momentum  SPLV  MTUM  NOBL  RPV  USMV  QUAL  SIZE  VLUE  UBT  TBF