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 $14299.10
FirstDate 2014-12-30
LastDate 2022-01-31
FirstEquity $10000.00
FinalEquity $24299.10
OpenEquity $0.00
LongEquity $14299.10
ShortEquity $0.00
PercentWins 60.71%
AveWin $630.07
AveLoss $-323.79
AveWinLoss 1.95
Expectancy 3.38%
AveDrawUp 30.02%
AveDrawDown -9.79%
MaxDrawDown -20.43%
Kelly 40.53%
Thrope 82.91
APR 13.34%
CalmarRatio 1.36

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
NOBL 2014-12-30 2015-01-30 $43.46 $41.84 Long 88.0 -3.71% 2310.37 9796.57
SPLV 2015-01-30 2015-02-27 $32.23 $32.70 Long 116.0 1.46% 2301.36 9987.95
USMV 2014-12-30 2015-04-30 $35.59 $35.82 Long 107.0 0.63% 2382.71 9857.56
MTUM 2015-02-27 2015-04-30 $65.56 $64.20 Long 58.0 -2.08% 2382.71 9857.56
RPV 2015-04-30 2015-05-29 $47.34 $47.40 Long 79.0 0.13% 2332.07 9896.55
VLUE 2015-04-30 2015-05-29 $55.75 $56.26 Long 67.0 0.92% 2332.07 9896.55
QUAL 2015-05-29 2015-07-31 $57.30 $57.86 Long 66.0 0.98% 10063.81 10063.81
MTUM 2015-05-29 2015-07-31 $66.36 $68.65 Long 57.0 3.44% 10063.81 10063.81
UBT 2015-08-31 2016-04-29 $35.24 $40.39 Long 218.0 14.63% 2682.97 11187.70
RPV 2016-04-29 2016-05-31 $45.56 $45.49 Long 93.0 -0.15% 2631.47 11213.55
USMV 2016-05-31 2016-06-30 $39.65 $41.43 Long 108.0 4.49% 2728.38 11528.73
NOBL 2016-04-29 2016-06-30 $46.39 $48.08 Long 92.0 3.64% 2728.38 11528.73
UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 189.0 4.34% 2828.03 11910.89
SIZE 2016-07-29 2016-08-31 $63.80 $63.39 Long 71.0 -0.65% 2819.31 11863.60
RPV 2016-07-29 2016-10-31 $46.94 $46.35 Long 97.0 -1.24% 2825.65 11800.40
MTUM 2016-10-31 2016-11-30 $71.27 $70.84 Long 63.0 -0.59% 2711.97 12091.54
RPV 2016-11-30 2017-03-31 $50.30 $52.57 Long 91.0 4.51% 2721.94 12630.15
VLUE 2016-08-31 2017-04-28 $56.37 $64.32 Long 80.0 14.11% 3008.09 12764.40
SIZE 2017-04-28 2017-05-31 $70.43 $70.84 Long 69.0 0.57% 2915.30 13025.67
SPLV 2017-05-31 2017-06-30 $40.49 $40.37 Long 123.0 -0.31% 2937.63 13028.14
SIZE 2017-06-30 2017-07-31 $71.64 $72.70 Long 69.0 1.49% 2877.05 13280.68
MTUM 2017-03-31 2017-08-31 $78.25 $88.60 Long 61.0 13.23% 3156.42 13397.51
USMV 2017-07-31 2017-08-31 $45.74 $46.09 Long 111.0 0.76% 3156.42 13397.51
UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 252.0 -4.79% 3106.33 12906.45
VLUE 2017-09-29 2018-03-29 $68.75 $73.72 Long 71.0 7.24% 3067.73 13816.34
QUAL 2018-03-29 2018-04-30 $77.54 $76.53 Long 68.0 -1.31% 3019.35 13774.89
RPV 2018-04-30 2018-05-31 $60.37 $59.90 Long 87.0 -0.78% 2964.91 13923.45
QUAL 2018-05-31 2018-06-29 $78.59 $78.59 Long 67.0 -0.00% 2918.68 13919.11
MTUM 2017-09-29 2018-07-31 $91.09 $107.20 Long 54.0 17.68% 3323.07 14194.05
SPLV 2018-07-31 2018-08-31 $45.25 $46.05 Long 119.0 1.77% 3355.22 14457.20
MTUM 2018-08-31 2018-10-24 $113.49 $100.34 Long 48.0 -11.58% 8171.74 13612.71
MTUM 2018-10-30 2018-10-31 $101.13 $103.24 Long 51.0 2.08% 13772.40 13772.40
USMV 2018-06-29 2018-10-31 $49.64 $51.34 Long 107.0 3.41% 13772.40 13772.40
UBT 2018-11-30 2019-06-28 $33.62 $45.17 Long 313.0 34.38% 4223.83 17389.89
QUAL 2019-06-28 2019-07-31 $87.75 $88.96 Long 75.0 1.38% 4154.21 17598.81
MTUM 2019-06-28 2019-07-31 $115.53 $117.60 Long 57.0 1.80% 4154.21 17598.81
UBT 2019-07-31 2019-11-07 $45.27 $47.11 Long 297.0 4.07% 18145.60 18145.60
UBT 2019-11-27 2019-11-29 $50.64 $50.39 Long 274.0 -0.49% 4360.86 18077.58
VLUE 2019-11-29 2020-01-31 $81.85 $81.33 Long 84.0 -0.64% 4293.60 18179.28
QUAL 2019-11-29 2020-01-31 $95.01 $97.04 Long 72.0 2.13% 4293.60 18179.28
UBT 2020-01-31 2020-03-10 $54.45 $65.42 Long 255.0 20.14% 20976.25 20976.25
UBT 2020-03-30 2020-06-04 $69.06 $61.70 Long 232.0 -10.66% 19267.57 19267.57
UBT 2020-06-29 2020-06-30 $67.31 $66.78 Long 218.0 -0.79% 4596.08 19150.94
QUAL 2020-06-30 2020-09-30 $93.63 $101.71 Long 78.0 8.63% 4625.11 20702.94
MTUM 2020-06-30 2020-11-30 $129.50 $154.71 Long 56.0 19.47% 4800.77 22310.03
SIZE 2020-09-30 2021-01-29 $91.91 $108.25 Long 86.0 17.77% 5312.20 23150.68
VLUE 2021-01-29 2021-06-30 $87.11 $102.87 Long 101.0 18.10% 5457.32 26884.88
RPV 2020-11-30 2021-07-30 $57.74 $74.34 Long 147.0 28.74% 6173.10 26758.86
SIZE 2021-06-30 2021-08-31 $128.06 $132.70 Long 80.0 3.62% 6415.15 27290.29
USMV 2021-08-31 2021-09-30 $76.84 $73.01 Long 135.0 -4.99% 6160.00 26095.15
QUAL 2021-07-30 2021-09-30 $136.16 $130.98 Long 75.0 -3.81% 6160.00 26095.15
UBT 2021-09-30 2021-10-29 $52.05 $54.39 Long 383.0 4.50% 6444.01 26991.37
MTUM 2021-10-29 2021-11-30 $189.78 $182.29 Long 54.0 -3.95% 6236.50 26524.24
QUAL 2021-10-29 2021-11-30 $141.08 $140.23 Long 73.0 -0.61% 6236.50 26524.24
UBT 2021-11-30 2022-01-04 $57.31 $51.45 Long 354.0 -10.23% 24449.16 24449.16
UBT 2022-01-28 2022-01-31 $51.00 $50.59 Long 366.0 -0.80% 24299.10 24299.10

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