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 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

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Factor 0.90 0.43 USMV 2021-08-31 Hold Long -1.49% EOM
Factor 0.90 0.43 QUAL 2021-07-30 Hold Long 0.98% EOM
momentum  SPLV  MTUM  NOBL  RPV  USMV  QUAL  SIZE  VLUE  UBT