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 |