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 61.00
NoOfWins 36.00
NoOfLosses 25.00
SharpRatio 0.73
SortinoRatio 0.91
GrossProfit $14317.74
FirstDate 2014-12-30
LastDate 2022-12-07
FirstEquity $10000.00
FinalEquity $24317.74
OpenEquity $18594.47
LongEquity $14317.74
ShortEquity $0.00
PercentWins 59.02%
AveWin 7.68%
AveLoss -2.98%
AveWinLoss 2.58
Expectancy 3.31%
AveDrawUp 29.64%
AveDrawDown -10.85%
MaxDrawDown -20.42%
Kelly 43.13%
Thorpe 75.42
APR 11.85%
CalmarRatio 1.09

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
NOBL 2014-12-30 2015-01-30 $42.77 $41.18 Long 89.0 -3.71% 2346.86 9797.45
SPLV 2015-01-30 2015-02-27 $31.76 $32.23 Long 117.0 1.46% 2310.65 9988.04
MTUM 2015-02-27 2015-04-30 $64.52 $63.18 Long 59.0 -2.08% 2343.38 9857.74
USMV 2014-12-30 2015-04-30 $35.14 $35.37 Long 108.0 0.63% 2343.38 9857.74
RPV 2015-04-30 2015-05-29 $46.39 $46.45 Long 81.0 0.13% 2439.83 9896.94
VLUE 2015-04-30 2015-05-29 $54.44 $54.94 Long 69.0 0.92% 2439.83 9896.94
QUAL 2015-05-29 2015-07-31 $56.59 $57.14 Long 66.0 0.98% 2375.07 10061.67
MTUM 2015-05-29 2015-07-31 $65.31 $67.55 Long 57.0 3.44% 2375.07 10061.67
TBF 2015-07-31 2015-09-30 $24.25 $23.77 Long 317.0 -1.96% 2362.08 9911.07
UBT 2015-09-30 2015-10-30 $36.29 $35.78 Long 208.0 -1.43% 2317.50 9803.50
TBF 2015-10-30 2015-11-30 $23.84 $24.01 Long 314.0 0.69% 2344.12 9855.25
UBT 2015-11-30 2016-04-29 $35.26 $40.28 Long 213.0 14.23% 2617.21 10923.99
RPV 2016-04-29 2016-05-31 $44.65 $44.58 Long 93.0 -0.15% 2613.80 10949.10
USMV 2016-05-31 2016-06-30 $39.15 $40.90 Long 106.0 4.49% 2664.54 11255.08
NOBL 2016-04-29 2016-06-30 $45.65 $47.31 Long 91.0 3.64% 2664.54 11255.08
UBT 2016-06-30 2016-07-29 $46.44 $48.45 Long 185.0 4.34% 2798.07 11628.12
SIZE 2016-07-29 2016-08-31 $63.06 $62.65 Long 70.0 -0.65% 2779.84 11582.12
RPV 2016-07-29 2016-10-31 $46.00 $45.43 Long 96.0 -1.24% 2792.81 11520.66
MTUM 2016-10-31 2016-11-30 $70.13 $69.72 Long 62.0 -0.59% 2629.51 11805.18
RPV 2016-11-30 2017-03-31 $49.29 $51.52 Long 91.0 4.51% 2620.22 12331.88
VLUE 2016-08-31 2017-04-28 $55.05 $62.81 Long 80.0 14.11% 2912.10 12463.91
SIZE 2017-04-28 2017-05-31 $69.61 $70.01 Long 68.0 0.57% 2844.65 12720.74
SPLV 2017-05-31 2017-06-30 $39.90 $39.78 Long 121.0 -0.31% 2843.54 12723.40
SIZE 2017-06-30 2017-07-31 $70.80 $71.85 Long 68.0 1.49% 2806.76 12971.17
MTUM 2017-03-31 2017-08-31 $77.01 $87.19 Long 61.0 13.23% 3075.14 13085.58
USMV 2017-07-31 2017-08-31 $45.16 $45.51 Long 109.0 0.76% 3075.14 13085.58
UBT 2017-08-31 2017-09-29 $40.53 $38.58 Long 247.0 -4.79% 3088.01 12605.58
VLUE 2017-09-29 2018-03-29 $67.13 $71.99 Long 71.0 7.24% 3068.83 13488.17
QUAL 2018-03-29 2018-04-30 $76.58 $75.58 Long 67.0 -1.31% 3043.79 13447.64
RPV 2018-04-30 2018-05-31 $59.17 $58.71 Long 86.0 -0.78% 2970.10 13591.01
QUAL 2018-05-31 2018-06-29 $77.61 $77.61 Long 66.0 -0.00% 2896.68 13586.81
MTUM 2017-09-29 2018-07-31 $89.64 $105.49 Long 53.0 17.68% 3226.72 13854.52
SPLV 2018-07-31 2018-08-31 $44.58 $45.37 Long 118.0 1.77% 3220.12 14111.81
MTUM 2018-08-31 2018-10-24 $111.68 $98.75 Long 48.0 -11.58% 7959.96 13282.04
MTUM 2018-10-30 2018-10-31 $99.52 $101.60 Long 51.0 2.08% 3167.25 13438.88
USMV 2018-06-29 2018-10-31 $49.02 $50.69 Long 106.0 3.41% 3167.25 13438.88
TBF 2018-10-31 2018-12-31 $23.50 $21.89 Long 437.0 -6.86% 3020.41 12734.75
UBT 2018-12-31 2019-06-28 $37.65 $45.05 Long 258.0 19.65% 3526.91 14643.41
QUAL 2019-06-28 2019-07-31 $86.65 $87.85 Long 64.0 1.38% 3488.65 14819.85
MTUM 2019-06-28 2019-07-31 $113.69 $115.73 Long 49.0 1.80% 3488.65 14819.85
UBT 2019-07-31 2019-11-07 $45.14 $46.98 Long 251.0 4.07% 15280.68 15280.68
UBT 2019-11-27 2019-11-29 $50.50 $50.25 Long 231.0 -0.49% 3650.95 15223.50
QUAL 2019-11-29 2020-01-31 $93.83 $95.83 Long 62.0 2.13% 3635.05 15310.56
VLUE 2019-11-29 2020-01-31 $79.93 $79.42 Long 72.0 -0.64% 3635.05 15310.56
UBT 2020-01-31 2020-03-10 $54.30 $65.24 Long 215.0 20.14% 17662.35 17662.35
UBT 2020-03-30 2020-06-04 $68.87 $61.53 Long 196.0 -10.66% 16222.76 16222.76
UBT 2020-06-29 2020-06-30 $67.13 $66.59 Long 184.0 -0.79% 3905.24 16124.59
QUAL 2020-06-30 2020-09-30 $92.46 $100.44 Long 66.0 8.63% 3903.51 17428.72
MTUM 2020-06-30 2020-11-30 $127.43 $152.25 Long 48.0 19.47% 4080.75 18779.15
SIZE 2020-09-30 2021-01-29 $90.83 $106.98 Long 73.0 17.77% 4489.80 19485.02
VLUE 2021-01-29 2021-06-30 $85.06 $100.45 Long 87.0 18.10% 4623.36 22623.76
RPV 2020-11-30 2021-07-30 $56.59 $72.86 Long 126.0 28.74% 5197.87 22517.88
SIZE 2021-06-30 2021-08-31 $126.56 $131.14 Long 68.0 3.62% 5390.24 22965.07
QUAL 2021-07-30 2021-09-30 $134.47 $129.35 Long 64.0 -3.81% 5192.59 21958.76
USMV 2021-08-31 2021-09-30 $75.87 $72.09 Long 115.0 -4.99% 5192.59 21958.76
UBT 2021-09-30 2021-10-29 $51.91 $54.24 Long 323.0 4.50% 5483.37 22712.51
QUAL 2021-10-29 2021-11-30 $139.32 $138.48 Long 62.0 -0.61% 5289.22 22320.89
MTUM 2021-10-29 2021-11-30 $186.76 $179.39 Long 46.0 -3.95% 5289.22 22320.89
UBT 2021-11-30 2022-01-04 $57.15 $51.31 Long 298.0 -10.23% 20578.85 20578.85
UBT 2022-01-28 2022-01-31 $50.86 $50.45 Long 309.0 -0.80% 4822.30 20452.51
TBF 2022-01-31 2022-12-07 $16.56 $20.65 Long 944.0 24.73% 24317.74 24317.74

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Factor 0.90 0.76 TBF 2022-12-29 Hold Long 0.00% EOM
momentum  SPLV  MTUM  NOBL  RPV  USMV  QUAL  SIZE  VLUE  UBT  TBF