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 | $14305.14 |
| FirstDate | 2014-12-30 |
| LastDate | 2022-01-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $24305.14 |
| OpenEquity | $0.00 |
| LongEquity | $14305.14 |
| ShortEquity | $0.00 |
| PercentWins | 60.71% |
| AveWin | 7.83% |
| AveLoss | -2.92% |
| AveWinLoss | 2.68 |
| Expectancy | 3.61% |
| AveDrawUp | 30.03% |
| AveDrawDown | -9.80% |
| MaxDrawDown | -20.43% |
| Kelly | 46.08% |
| Thrope | 82.95 |
| APR | 13.35% |
| CalmarRatio | 1.36 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| NOBL | 2014-12-30 | 2015-01-30 | $43.05 | $41.45 | Long | 88.0 | -3.71% | 2302.06 | 9797.82 |
| SPLV | 2015-01-30 | 2015-02-27 | $32.00 | $32.47 | Long | 117.0 | 1.46% | 2337.16 | 9989.45 |
| USMV | 2014-12-30 | 2015-04-30 | $35.31 | $35.53 | Long | 108.0 | 0.63% | 2391.88 | 9859.81 |
| MTUM | 2015-02-27 | 2015-04-30 | $64.89 | $63.54 | Long | 58.0 | -2.08% | 2391.88 | 9859.81 |
| VLUE | 2015-04-30 | 2015-05-29 | $54.85 | $55.36 | Long | 68.0 | 0.92% | 2405.34 | 9898.74 |
| RPV | 2015-04-30 | 2015-05-29 | $46.72 | $46.78 | Long | 80.0 | 0.13% | 2405.34 | 9898.74 |
| QUAL | 2015-05-29 | 2015-07-31 | $56.81 | $57.37 | Long | 66.0 | 0.98% | 10064.35 | 10064.35 |
| MTUM | 2015-05-29 | 2015-07-31 | $65.68 | $67.94 | Long | 57.0 | 3.44% | 10064.35 | 10064.35 |
| UBT | 2015-08-31 | 2016-04-29 | $35.24 | $40.39 | Long | 218.0 | 14.63% | 2642.59 | 11188.24 |
| RPV | 2016-04-29 | 2016-05-31 | $44.97 | $44.90 | Long | 95.0 | -0.15% | 2620.91 | 11214.08 |
| NOBL | 2016-04-29 | 2016-06-30 | $45.96 | $47.63 | Long | 93.0 | 3.64% | 2729.31 | 11529.66 |
| USMV | 2016-05-31 | 2016-06-30 | $39.33 | $41.09 | Long | 109.0 | 4.49% | 2729.31 | 11529.66 |
| UBT | 2016-06-30 | 2016-07-29 | $46.56 | $48.58 | Long | 189.0 | 4.34% | 2818.57 | 11911.82 |
| SIZE | 2016-07-29 | 2016-08-31 | $63.24 | $62.83 | Long | 72.0 | -0.65% | 2849.79 | 11864.43 |
| RPV | 2016-07-29 | 2016-10-31 | $46.33 | $45.75 | Long | 98.0 | -1.24% | 2889.70 | 11801.43 |
| MTUM | 2016-10-31 | 2016-11-30 | $70.53 | $70.11 | Long | 63.0 | -0.59% | 2690.23 | 12091.66 |
| RPV | 2016-11-30 | 2017-03-31 | $49.64 | $51.88 | Long | 93.0 | 4.51% | 2713.55 | 12630.82 |
| VLUE | 2016-08-31 | 2017-04-28 | $55.47 | $63.29 | Long | 81.0 | 14.11% | 3023.37 | 12765.76 |
| SIZE | 2017-04-28 | 2017-05-31 | $69.81 | $70.21 | Long | 69.0 | 0.57% | 2923.57 | 13028.17 |
| SPLV | 2017-05-31 | 2017-06-30 | $40.20 | $40.07 | Long | 123.0 | -0.31% | 2882.51 | 13030.85 |
| SIZE | 2017-06-30 | 2017-07-31 | $71.00 | $72.06 | Long | 70.0 | 1.49% | 2890.40 | 13284.86 |
| MTUM | 2017-03-31 | 2017-08-31 | $77.45 | $87.69 | Long | 62.0 | 13.23% | 3160.75 | 13401.84 |
| USMV | 2017-07-31 | 2017-08-31 | $45.37 | $45.72 | Long | 111.0 | 0.76% | 3160.75 | 13401.84 |
| UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 252.0 | -4.79% | 3104.34 | 12910.78 |
| VLUE | 2017-09-29 | 2018-03-29 | $67.65 | $72.54 | Long | 73.0 | 7.24% | 3171.62 | 13819.07 |
| QUAL | 2018-03-29 | 2018-04-30 | $76.89 | $75.88 | Long | 68.0 | -1.31% | 3087.75 | 13777.91 |
| RPV | 2018-04-30 | 2018-05-31 | $59.59 | $59.12 | Long | 88.0 | -0.78% | 2991.46 | 13924.59 |
| QUAL | 2018-05-31 | 2018-06-29 | $77.93 | $77.92 | Long | 68.0 | -0.00% | 2971.81 | 13920.29 |
| MTUM | 2017-09-29 | 2018-07-31 | $90.15 | $106.09 | Long | 54.0 | 17.68% | 3310.72 | 14194.42 |
| SPLV | 2018-07-31 | 2018-08-31 | $44.92 | $45.71 | Long | 120.0 | 1.77% | 3292.62 | 14457.88 |
| MTUM | 2018-08-31 | 2018-10-24 | $112.32 | $99.31 | Long | 49.0 | -11.58% | 8158.83 | 13606.62 |
| USMV | 2018-06-29 | 2018-10-31 | $49.25 | $50.93 | Long | 108.0 | 3.41% | 13767.35 | 13767.35 |
| MTUM | 2018-10-30 | 2018-10-31 | $100.09 | $102.18 | Long | 52.0 | 2.08% | 13767.35 | 13767.35 |
| UBT | 2018-11-30 | 2019-06-28 | $33.62 | $45.17 | Long | 313.0 | 34.38% | 4141.14 | 17384.84 |
| QUAL | 2019-06-28 | 2019-07-31 | $87.00 | $88.20 | Long | 76.0 | 1.38% | 4150.42 | 17595.02 |
| MTUM | 2019-06-28 | 2019-07-31 | $114.34 | $116.39 | Long | 58.0 | 1.80% | 4150.42 | 17595.02 |
| UBT | 2019-07-31 | 2019-11-07 | $45.27 | $47.11 | Long | 297.0 | 4.07% | 18141.81 | 18141.81 |
| UBT | 2019-11-27 | 2019-11-29 | $50.64 | $50.39 | Long | 274.0 | -0.49% | 4350.65 | 18073.80 |
| QUAL | 2019-11-29 | 2020-01-31 | $94.21 | $96.21 | Long | 73.0 | 2.13% | 4290.77 | 18176.45 |
| VLUE | 2019-11-29 | 2020-01-31 | $80.54 | $80.03 | Long | 85.0 | -0.64% | 4290.77 | 18176.45 |
| UBT | 2020-01-31 | 2020-03-10 | $54.45 | $65.42 | Long | 255.0 | 20.14% | 20973.43 | 20973.43 |
| UBT | 2020-03-30 | 2020-06-04 | $69.06 | $61.70 | Long | 232.0 | -10.66% | 19264.75 | 19264.75 |
| UBT | 2020-06-29 | 2020-06-30 | $67.31 | $66.78 | Long | 218.0 | -0.79% | 4601.79 | 19148.12 |
| QUAL | 2020-06-30 | 2020-09-30 | $92.83 | $100.85 | Long | 78.0 | 8.63% | 4633.29 | 20701.56 |
| MTUM | 2020-06-30 | 2020-11-30 | $128.16 | $153.12 | Long | 57.0 | 19.47% | 4869.13 | 22302.40 |
| SIZE | 2020-09-30 | 2021-01-29 | $91.10 | $107.29 | Long | 86.0 | 17.77% | 5268.02 | 23140.75 |
| VLUE | 2021-01-29 | 2021-06-30 | $85.71 | $101.22 | Long | 103.0 | 18.10% | 5412.49 | 26881.36 |
| RPV | 2020-11-30 | 2021-07-30 | $56.99 | $73.37 | Long | 149.0 | 28.74% | 6219.67 | 26755.69 |
| SIZE | 2021-06-30 | 2021-08-31 | $126.93 | $131.53 | Long | 81.0 | 3.62% | 6506.44 | 27285.53 |
| USMV | 2021-08-31 | 2021-09-30 | $76.23 | $72.43 | Long | 136.0 | -4.99% | 6161.33 | 26096.48 |
| QUAL | 2021-07-30 | 2021-09-30 | $135.01 | $129.87 | Long | 75.0 | -3.81% | 6161.33 | 26096.48 |
| UBT | 2021-09-30 | 2021-10-29 | $52.05 | $54.39 | Long | 383.0 | 4.50% | 6638.35 | 26992.70 |
| QUAL | 2021-10-29 | 2021-11-30 | $139.89 | $139.04 | Long | 73.0 | -0.61% | 6242.53 | 26530.27 |
| MTUM | 2021-10-29 | 2021-11-30 | $187.83 | $180.41 | Long | 54.0 | -3.95% | 6242.53 | 26530.27 |
| UBT | 2021-11-30 | 2022-01-04 | $57.31 | $51.45 | Long | 354.0 | -10.23% | 24455.20 | 24455.20 |
| UBT | 2022-01-28 | 2022-01-31 | $51.00 | $50.59 | Long | 366.0 | -0.80% | 24305.14 | 24305.14 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| Factor | 0.90 | 0.00 | Out | EOM |