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 |