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 |