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 69.00
NoOfWins 39.00
NoOfLosses 30.00
SharpRatio 0.58
SortinoRatio 0.72
GrossProfit $10644.62
FirstDate 2014-12-31
LastDate 2023-08-31
FirstEquity $10000.00
FinalEquity $20644.62
OpenEquity $14902.02
LongEquity $10644.62
ShortEquity $0.00
PercentWins 56.52%
AveWin 7.28%
AveLoss -3.31%
AveWinLoss 2.20
Expectancy 2.67%
AveDrawUp 28.64%
AveDrawDown -11.24%
MaxDrawDown -27.65%
Kelly 36.74%
Thorpe 63.37
Rachev 0.90
APR 8.73%
CalmarRatio 0.78

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
NOBL 2014-12-31 2015-01-30 $41.73 $40.58 Long 86.0 -2.75% 2755.75 9883.42
SPLV 2015-01-30 2015-02-27 $31.11 $31.57 Long 114.0 1.46% 2723.73 10065.93
USMV 2014-12-31 2015-04-30 $34.27 $34.88 Long 105.0 1.78% 2826.12 9941.39
MTUM 2015-02-27 2015-04-30 $63.69 $62.37 Long 57.0 -2.08% 2826.12 9941.39
VLUE 2015-04-30 2015-05-29 $53.23 $53.71 Long 67.0 0.92% 2847.07 9978.58
RPV 2015-04-30 2015-05-29 $45.50 $45.56 Long 78.0 0.13% 2847.07 9978.58
QUAL 2015-05-29 2015-07-31 $56.03 $56.58 Long 64.0 0.98% 2830.42 10135.78
MTUM 2015-05-29 2015-07-31 $64.47 $66.69 Long 55.0 3.44% 2830.42 10135.78
TBF 2015-07-31 2015-09-30 $23.49 $23.03 Long 311.0 -1.96% 2801.61 9992.65
UBT 2015-09-30 2015-10-30 $35.42 $34.92 Long 203.0 -1.43% 2753.69 9890.17
TBF 2015-10-30 2015-11-30 $23.10 $23.26 Long 309.0 0.69% 2780.40 9939.51
UBT 2015-11-30 2016-04-29 $34.42 $39.32 Long 208.0 14.23% 3103.31 10958.17
RPV 2016-04-29 2016-05-31 $43.79 $43.72 Long 90.0 -0.15% 3100.09 10981.78
USMV 2016-05-31 2016-06-30 $38.61 $40.34 Long 102.0 4.49% 3158.52 11271.34
NOBL 2016-04-29 2016-06-30 $44.99 $46.62 Long 87.0 3.64% 3158.52 11271.34
UBT 2016-06-30 2016-07-29 $45.32 $47.29 Long 179.0 4.34% 3254.27 11623.64
SIZE 2016-07-29 2016-08-31 $62.29 $61.89 Long 67.0 -0.65% 3256.94 11580.06
RPV 2016-07-29 2016-10-31 $45.11 $44.55 Long 93.0 -1.24% 3246.48 11521.89
MTUM 2016-10-31 2016-11-30 $69.23 $68.82 Long 60.0 -0.59% 3121.54 11789.26
RPV 2016-11-30 2017-03-31 $48.34 $50.53 Long 88.0 4.51% 3158.66 12286.40
VLUE 2016-08-31 2017-04-28 $53.82 $61.41 Long 77.0 14.11% 3417.82 12410.35
SIZE 2017-04-28 2017-05-31 $68.76 $69.16 Long 65.0 0.57% 3379.67 12651.58
SPLV 2017-05-31 2017-06-30 $39.08 $38.96 Long 116.0 -0.31% 3353.16 12654.06
SIZE 2017-06-30 2017-07-31 $69.94 $70.98 Long 65.0 1.49% 3334.37 12887.04
USMV 2017-07-31 2017-08-31 $44.54 $44.88 Long 104.0 0.76% 3619.44 12994.52
MTUM 2017-03-31 2017-08-31 $76.02 $86.08 Long 58.0 13.23% 3619.44 12994.52
UBT 2017-08-31 2017-09-29 $39.56 $37.66 Long 237.0 -4.79% 3502.86 12544.98
VLUE 2017-09-29 2018-03-29 $65.64 $70.39 Long 69.0 7.24% 3582.89 13383.46
QUAL 2018-03-29 2018-04-30 $75.82 $74.83 Long 63.0 -1.31% 3480.60 13346.23
RPV 2018-04-30 2018-05-31 $58.03 $57.58 Long 83.0 -0.78% 3418.09 13482.56
QUAL 2018-05-31 2018-06-29 $76.85 $76.84 Long 63.0 -0.00% 3424.71 13478.57
MTUM 2017-09-29 2018-07-31 $88.49 $104.14 Long 51.0 17.68% 3801.00 13729.55
SPLV 2018-07-31 2018-08-31 $43.67 $44.44 Long 113.0 1.77% 3861.89 13969.65
MTUM 2018-08-31 2018-10-24 $110.25 $97.48 Long 45.0 -11.58% 8248.53 13200.67
MTUM 2018-10-30 2018-10-31 $98.25 $100.30 Long 48.0 2.08% 3714.73 13346.46
USMV 2018-06-29 2018-10-31 $48.35 $50.00 Long 100.0 3.41% 3714.73 13346.46
TBF 2018-10-31 2018-12-31 $22.77 $21.21 Long 423.0 -6.86% 3535.31 12686.20
UBT 2018-12-31 2019-06-28 $36.75 $43.97 Long 249.0 19.65% 4173.71 14484.15
QUAL 2019-06-28 2019-07-31 $85.80 $86.98 Long 60.0 1.38% 4072.70 14647.77
MTUM 2019-06-28 2019-07-31 $112.23 $114.24 Long 46.0 1.80% 4072.70 14647.77
UBT 2019-07-31 2019-11-07 $44.06 $45.85 Long 240.0 4.07% 15077.86 15077.86
QUAL 2019-11-29 2020-01-31 $92.90 $94.88 Long 58.0 2.13% 4239.31 15158.11
VLUE 2019-11-29 2020-01-31 $78.15 $77.65 Long 69.0 -0.64% 4239.31 15158.11
UBT 2020-01-31 2020-03-10 $53.00 $63.68 Long 206.0 20.14% 17357.47 17357.47
UBT 2020-03-30 2020-06-04 $67.22 $60.05 Long 186.0 -10.66% 16024.05 16024.05
UBT 2020-06-29 2020-06-30 $65.52 $65.00 Long 176.0 -0.79% 4595.33 15932.40
QUAL 2020-06-30 2020-09-30 $91.55 $99.45 Long 62.0 8.63% 4569.52 17141.79
MTUM 2020-06-30 2020-11-30 $125.80 $150.30 Long 45.0 19.47% 4728.03 18399.35
SIZE 2020-09-30 2021-01-29 $89.73 $105.68 Long 69.0 17.77% 5200.67 19054.98
VLUE 2021-01-29 2021-06-30 $83.16 $98.21 Long 82.0 18.10% 5377.57 21955.90
RPV 2020-11-30 2021-07-30 $55.50 $71.46 Long 119.0 28.74% 6025.78 21856.65
SIZE 2021-06-30 2021-08-31 $125.03 $129.56 Long 63.0 3.62% 6180.49 22265.34
USMV 2021-08-31 2021-09-30 $74.83 $71.10 Long 107.0 -4.99% 5942.72 21344.65
QUAL 2021-07-30 2021-09-30 $133.14 $128.07 Long 59.0 -3.81% 5942.72 21344.65
UBT 2021-09-30 2021-10-29 $50.66 $52.94 Long 304.0 4.50% 6246.22 22037.07
QUAL 2021-10-29 2021-11-30 $137.95 $137.11 Long 57.0 -0.61% 6056.77 21676.35
MTUM 2021-10-29 2021-11-30 $184.37 $177.09 Long 43.0 -3.95% 6056.77 21676.35
UBT 2021-11-30 2021-12-31 $55.78 $52.99 Long 280.0 -5.01% 5908.78 20894.14
TIP 2021-12-31 2022-01-31 $117.99 $115.57 Long 127.0 -2.06% 5716.72 20585.62
TBF 2022-01-31 2022-12-07 $16.04 $20.01 Long 927.0 24.73% 24262.59 24262.59
TBF 2022-12-29 2023-01-31 $21.73 $20.46 Long 806.0 -5.84% 6487.14 23239.73
SIZE 2023-01-31 2023-02-28 $121.55 $117.58 Long 69.0 -3.27% 6249.33 22466.01
RPV 2023-01-31 2023-02-28 $85.36 $80.26 Long 98.0 -5.97% 6249.33 22466.01
TBF 2023-02-28 2023-03-31 $21.62 $20.67 Long 750.0 -4.41% 6061.98 21750.59
UBT 2023-03-31 2023-05-22 $26.55 $23.76 Long 591.0 -10.50% 20104.03 20104.03
UBT 2023-05-30 2023-05-31 $24.33 $24.82 Long 596.0 2.01% 5762.81 20395.03
TIP 2023-05-31 2023-06-30 $106.03 $105.67 Long 138.0 -0.34% 5761.02 20345.18
SIZE 2023-06-30 2023-08-31 $122.16 $123.12 Long 60.0 0.79% 5742.60 20644.62
QUAL 2023-06-30 2023-08-31 $134.35 $138.82 Long 54.0 3.33% 5742.60 20644.62

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
Factor 0.72 TBF 2023-08-31 Hold Long 3.94% EOM
momentum  SPLV  MTUM  NOBL  RPV  USMV  QUAL  SIZE  VLUE  UBT  TBF