Description
This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use assets proposed by SeekingAlpha’s Graybeard for an all weather portfolio.
This strategy uses the following risk-on assets: IAU, SPXL, TLT, SHV with UBT being the risk off haven.
It will buy only three risk on asset at a time.
Trading happens on the Close of the signal day
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 139.00 |
| NoOfWins | 71.00 |
| NoOfLosses | 68.00 |
| SharpRatio | 0.75 |
| SortinoRatio | 0.95 |
| GrossProfit | $77679.49 |
| FirstDate | 2010-02-25 |
| LastDate | 2022-05-05 |
| FirstEquity | $10000.00 |
| FinalEquity | $87679.49 |
| OpenEquity | $0.00 |
| LongEquity | $77679.49 |
| ShortEquity | $0.00 |
| PercentWins | 51.08% |
| AveWin | $2679.97 |
| AveLoss | $-1655.86 |
| AveWinLoss | 1.62 |
| Expectancy | 2.70% |
| AveDrawUp | 57.00% |
| AveDrawDown | -14.29% |
| MaxDrawDown | -43.18% |
| Kelly | 20.85% |
| Thrope | 48.61 |
| APR | 19.50% |
| CalmarRatio | 1.36 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SHV | 2010-02-25 | 2010-04-30 | $103.93 | $103.90 | Long | 24.0 | -0.03% | 2160.71 | 10816.51 |
| SPXL | 2010-02-25 | 2010-05-06 | $3.89 | $4.15 | Long | 655.0 | 6.58% | 4876.32 | 10554.57 |
| SPXL | 2010-05-27 | 2010-05-28 | $3.84 | $3.72 | Long | 698.0 | -3.29% | 2190.05 | 10466.17 |
| IAU | 2010-02-25 | 2010-06-30 | $21.67 | $24.34 | Long | 117.0 | 12.33% | 2534.07 | 10700.61 |
| TLT | 2010-04-30 | 2010-06-30 | $67.20 | $74.73 | Long | 41.0 | 11.20% | 2534.07 | 10700.61 |
| SHV | 2010-05-28 | 2010-06-30 | $103.92 | $103.95 | Long | 25.0 | 0.03% | 2534.07 | 10700.61 |
| UBT | 2010-06-30 | 2010-07-30 | $20.47 | $20.08 | Long | 399.0 | -1.88% | 2602.39 | 10547.41 |
| IAU | 2010-07-30 | 2010-08-31 | $23.12 | $24.44 | Long | 116.0 | 5.71% | 2585.67 | 10924.95 |
| SHV | 2010-07-30 | 2010-08-31 | $103.93 | $103.96 | Long | 25.0 | 0.03% | 2585.67 | 10924.95 |
| TLT | 2010-07-30 | 2010-08-31 | $74.02 | $80.24 | Long | 36.0 | 8.40% | 2585.67 | 10924.95 |
| UBT | 2010-08-31 | 2010-09-10 | $23.56 | $21.02 | Long | 354.0 | -10.76% | 10027.41 | 10027.41 |
| UBT | 2010-09-29 | 2010-09-30 | $22.35 | $22.31 | Long | 343.0 | -0.17% | 2423.07 | 10014.15 |
| TLT | 2010-09-30 | 2010-10-29 | $78.22 | $74.73 | Long | 32.0 | -4.47% | 2138.41 | 10496.64 |
| TQQQ | 2010-09-30 | 2011-03-15 | $0.57 | $0.80 | Long | 4496.0 | 40.79% | 5733.52 | 11866.18 |
| SPXL | 2010-10-29 | 2011-03-16 | $4.62 | $5.60 | Long | 579.0 | 21.22% | 8977.23 | 11678.94 |
| TQQQ | 2011-03-30 | 2011-06-06 | $0.88 | $0.81 | Long | 3395.0 | -8.48% | 8454.20 | 11439.05 |
| SPXL | 2011-03-30 | 2011-06-06 | $6.59 | $6.00 | Long | 453.0 | -9.02% | 8454.20 | 11439.05 |
| TQQQ | 2011-06-29 | 2011-07-29 | $0.82 | $0.89 | Long | 3523.0 | 8.39% | 2755.66 | 11712.75 |
| IAU | 2010-09-30 | 2011-07-29 | $25.60 | $31.74 | Long | 99.0 | 23.98% | 2755.66 | 11712.75 |
| SPXL | 2011-06-29 | 2011-07-29 | $6.29 | $6.01 | Long | 461.0 | -4.39% | 2755.66 | 11712.75 |
| TMF | 2011-07-29 | 2011-10-10 | $9.35 | $15.17 | Long | 958.0 | 62.28% | 17291.62 | 17291.62 |
| TMF | 2011-10-28 | 2012-01-20 | $13.11 | $15.09 | Long | 1008.0 | 15.10% | 19287.48 | 19287.48 |
| TMF | 2012-01-30 | 2012-01-31 | $16.05 | $16.58 | Long | 919.0 | 3.36% | 4705.65 | 19782.91 |
| IAU | 2012-01-31 | 2012-02-29 | $33.96 | $32.96 | Long | 148.0 | -2.94% | 4353.04 | 20520.80 |
| TLT | 2012-01-31 | 2012-03-30 | $94.48 | $88.13 | Long | 53.0 | -6.72% | 3492.06 | 21728.71 |
| TQQQ | 2012-01-31 | 2012-04-24 | $0.90 | $1.09 | Long | 5627.0 | 21.30% | 9610.28 | 20317.22 |
| IAU | 2012-03-30 | 2012-04-30 | $32.54 | $32.46 | Long | 170.0 | -0.25% | 4660.45 | 20587.60 |
| TQQQ | 2012-04-27 | 2012-05-04 | $1.22 | $1.08 | Long | 4357.0 | -11.00% | 9372.45 | 19823.05 |
| SPXL | 2012-02-29 | 2012-05-14 | $6.19 | $5.81 | Long | 845.0 | -6.15% | 14281.23 | 19637.73 |
| TLT | 2012-04-30 | 2012-09-28 | $92.39 | $98.89 | Long | 56.0 | 7.03% | 3857.58 | 22896.89 |
| TQQQ | 2012-05-30 | 2012-10-19 | $0.96 | $1.10 | Long | 5273.0 | 14.52% | 9656.65 | 21778.21 |
| TQQQ | 2012-10-26 | 2012-10-31 | $1.08 | $1.06 | Long | 5048.0 | -1.94% | 4138.36 | 21364.39 |
| SPXL | 2012-05-30 | 2012-11-08 | $5.46 | $6.17 | Long | 927.0 | 12.97% | 9854.84 | 21089.88 |
| TLT | 2012-10-31 | 2012-11-30 | $98.41 | $99.77 | Long | 55.0 | 1.38% | 4637.66 | 20964.81 |
| TQQQ | 2012-11-30 | 2012-12-31 | $1.10 | $1.08 | Long | 4872.0 | -1.93% | 4570.03 | 20858.49 |
| SHV | 2012-12-31 | 2013-01-31 | $104.12 | $104.09 | Long | 51.0 | -0.03% | 4348.72 | 21686.79 |
| IAU | 2012-09-28 | 2013-02-20 | $34.54 | $30.42 | Long | 169.0 | -11.93% | 9489.70 | 21597.92 |
| IAU | 2013-02-27 | 2013-02-28 | $31.06 | $30.74 | Long | 177.0 | -1.03% | 4020.52 | 21518.20 |
| SHV | 2013-02-28 | 2013-04-30 | $104.09 | $104.12 | Long | 52.0 | 0.03% | 3470.58 | 23576.45 |
| TLT | 2013-04-30 | 2013-05-31 | $99.40 | $92.68 | Long | 60.0 | -6.76% | 2888.91 | 24392.74 |
| SPXL | 2012-11-29 | 2013-06-24 | $6.72 | $9.19 | Long | 797.0 | 36.73% | 16407.21 | 22549.50 |
| TQQQ | 2013-01-31 | 2013-06-24 | $1.16 | $1.30 | Long | 4774.0 | 11.97% | 16407.21 | 22549.50 |
| SHV | 2013-05-31 | 2014-01-31 | $104.11 | $104.11 | Long | 59.0 | 0.00% | 4813.86 | 30017.56 |
| SPXL | 2013-06-27 | 2014-02-03 | $9.90 | $12.49 | Long | 580.0 | 26.15% | 12159.93 | 27728.11 |
| TQQQ | 2013-06-27 | 2014-04-07 | $1.38 | $2.37 | Long | 4178.0 | 71.99% | 14395.52 | 28060.40 |
| TQQQ | 2014-04-29 | 2014-05-30 | $2.48 | $2.84 | Long | 2924.0 | 14.51% | 8765.25 | 37920.56 |
| SPXL | 2014-02-27 | 2014-05-30 | $15.12 | $16.82 | Long | 506.0 | 11.21% | 8765.25 | 37920.56 |
| TLT | 2014-01-31 | 2014-05-30 | $89.59 | $95.34 | Long | 82.0 | 6.43% | 8765.25 | 37920.56 |
| UBT | 2014-05-30 | 2014-06-30 | $29.88 | $29.71 | Long | 770.0 | -0.57% | 2784.43 | 37789.75 |
| SPXL | 2014-06-30 | 2014-07-31 | $17.88 | $17.08 | Long | 538.0 | -4.50% | 2723.26 | 37714.27 |
| TQQQ | 2014-06-30 | 2014-07-31 | $3.11 | $3.20 | Long | 3099.0 | 3.05% | 2723.26 | 37714.27 |
| TLT | 2014-06-30 | 2014-07-31 | $95.11 | $95.74 | Long | 101.0 | 0.67% | 2723.26 | 37714.27 |
| TMF | 2014-07-31 | 2014-08-29 | $14.80 | $16.94 | Long | 1949.0 | 14.42% | 3754.90 | 41875.48 |
| TQQQ | 2014-08-29 | 2014-09-30 | $3.70 | $3.60 | Long | 2886.0 | -2.78% | 3470.18 | 40869.72 |
| TLT | 2014-08-29 | 2014-09-30 | $100.26 | $98.15 | Long | 106.0 | -2.11% | 3470.18 | 40869.72 |
| SPXL | 2014-08-29 | 2014-09-30 | $19.13 | $18.26 | Long | 558.0 | -4.54% | 3470.18 | 40869.72 |
| UBT | 2014-09-30 | 2014-10-31 | $31.51 | $33.32 | Long | 992.0 | 5.76% | 3982.20 | 42670.67 |
| TQQQ | 2014-10-31 | 2014-12-16 | $3.83 | $3.65 | Long | 2838.0 | -4.67% | 14353.06 | 42319.06 |
| TQQQ | 2014-12-30 | 2015-01-06 | $4.18 | $3.69 | Long | 2675.0 | -11.89% | 13022.64 | 41806.00 |
| SPXL | 2014-10-31 | 2015-01-30 | $19.37 | $18.72 | Long | 561.0 | -3.39% | 1981.97 | 42023.21 |
| IAU | 2015-01-30 | 2015-02-27 | $24.86 | $23.42 | Long | 431.0 | -5.79% | 1119.55 | 43035.23 |
| TLT | 2014-10-31 | 2015-05-29 | $100.91 | $105.40 | Long | 107.0 | 4.45% | 1439.92 | 42992.68 |
| SPXL | 2015-02-27 | 2015-06-30 | $21.96 | $20.69 | Long | 499.0 | -5.78% | 1347.09 | 41112.49 |
| SHV | 2015-06-30 | 2015-07-31 | $104.16 | $104.14 | Long | 100.0 | -0.02% | 3752.53 | 42042.51 |
| TQQQ | 2015-01-29 | 2015-07-31 | $3.86 | $5.01 | Long | 2805.0 | 29.92% | 3752.53 | 42042.51 |
| IAU | 2015-05-29 | 2015-07-31 | $23.02 | $21.16 | Long | 476.0 | -8.08% | 3752.53 | 42042.51 |
| TMF | 2015-07-31 | 2015-09-15 | $18.44 | $17.04 | Long | 1743.0 | -7.58% | 33461.86 | 39604.37 |
| TMF | 2015-09-29 | 2015-11-06 | $19.06 | $16.99 | Long | 1589.0 | -10.87% | 30167.61 | 36309.87 |
| TMF | 2015-11-27 | 2016-04-29 | $17.82 | $21.83 | Long | 1559.0 | 22.53% | 3908.05 | 42580.28 |
| SPXL | 2016-04-29 | 2016-06-27 | $19.81 | $17.94 | Long | 548.0 | -9.46% | 13736.75 | 42701.78 |
| TLT | 2016-04-29 | 2016-06-30 | $113.72 | $122.59 | Long | 95.0 | 7.80% | 3993.28 | 43074.24 |
| IAU | 2016-04-29 | 2016-06-30 | $24.96 | $25.52 | Long | 435.0 | 2.24% | 3993.28 | 43074.24 |
| SPXL | 2016-06-29 | 2016-06-30 | $19.90 | $20.68 | Long | 545.0 | 3.96% | 3993.28 | 43074.24 |
| UBT | 2016-06-30 | 2016-07-29 | $46.56 | $48.58 | Long | 707.0 | 4.34% | 4328.63 | 44503.89 |
| IAU | 2016-07-29 | 2016-08-31 | $26.04 | $25.20 | Long | 435.0 | -3.23% | 4016.08 | 44477.91 |
| TLT | 2016-08-31 | 2016-09-30 | $123.90 | $122.03 | Long | 91.0 | -1.51% | 3674.17 | 44916.75 |
| IAU | 2016-09-30 | 2016-10-31 | $25.38 | $24.64 | Long | 451.0 | -2.92% | 3810.36 | 43377.60 |
| SPXL | 2016-07-29 | 2016-11-03 | $23.00 | $20.44 | Long | 493.0 | -11.12% | 13888.45 | 41958.94 |
| SHV | 2016-10-31 | 2017-02-28 | $104.54 | $104.65 | Long | 105.0 | 0.11% | 1173.68 | 49705.17 |
| IAU | 2017-02-28 | 2017-03-31 | $24.08 | $24.02 | Long | 526.0 | -0.25% | 934.13 | 50555.38 |
| SHV | 2017-03-31 | 2017-04-28 | $104.67 | $104.66 | Long | 123.0 | -0.00% | 474.58 | 52291.43 |
| IAU | 2017-04-28 | 2017-06-30 | $24.42 | $23.88 | Long | 546.0 | -2.21% | 49.41 | 53181.01 |
| TLT | 2017-06-30 | 2017-07-31 | $113.14 | $112.40 | Long | 119.0 | -0.66% | 13424.47 | 56319.93 |
| TQQQ | 2016-07-29 | 2017-08-31 | $4.91 | $9.60 | Long | 2312.0 | 95.70% | 7335.36 | 57419.80 |
| SPXL | 2016-11-29 | 2017-08-31 | $24.10 | $34.05 | Long | 458.0 | 41.30% | 7335.36 | 57419.80 |
| UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 1080.0 | -4.79% | 6844.75 | 55319.69 |
| TLT | 2017-09-29 | 2017-12-29 | $113.53 | $116.39 | Long | 124.0 | 2.52% | 5589.91 | 61599.33 |
| SPXL | 2017-09-29 | 2018-02-05 | $35.96 | $41.39 | Long | 392.0 | 15.11% | 39523.14 | 61854.81 |
| TQQQ | 2017-09-29 | 2018-02-05 | $9.50 | $11.93 | Long | 1484.0 | 25.56% | 39523.14 | 61854.81 |
| TQQQ | 2018-02-27 | 2018-03-22 | $14.11 | $12.71 | Long | 1113.0 | -9.95% | 36253.59 | 58465.17 |
| SPXL | 2018-02-27 | 2018-03-22 | $45.73 | $40.76 | Long | 343.0 | -10.88% | 36253.59 | 58465.17 |
| SPXL | 2018-03-28 | 2018-04-30 | $38.75 | $40.30 | Long | 384.0 | 3.99% | 6842.49 | 59664.70 |
| IAU | 2017-12-29 | 2018-05-31 | $25.02 | $24.92 | Long | 627.0 | -0.40% | 6630.40 | 62158.08 |
| SHV | 2018-04-30 | 2018-08-31 | $105.67 | $106.32 | Long | 143.0 | 0.62% | 3685.18 | 71191.75 |
| TLT | 2018-08-31 | 2018-09-28 | $112.73 | $109.50 | Long | 161.0 | -2.86% | 3428.01 | 70547.43 |
| TQQQ | 2018-03-28 | 2018-10-10 | $11.34 | $13.92 | Long | 1313.0 | 22.69% | 21700.52 | 63053.10 |
| SPXL | 2018-05-31 | 2018-10-11 | $42.92 | $43.38 | Long | 369.0 | 1.08% | 37708.99 | 61890.91 |
| TQQQ | 2018-10-30 | 2018-10-31 | $12.20 | $13.03 | Long | 1293.0 | 6.75% | 8649.85 | 63472.12 |
| SHV | 2018-09-28 | 2018-10-31 | $106.47 | $106.65 | Long | 168.0 | 0.17% | 8649.85 | 63472.12 |
| SPXL | 2018-10-30 | 2018-10-31 | $40.88 | $42.15 | Long | 386.0 | 3.09% | 8649.85 | 63472.12 |
| UBT | 2018-10-31 | 2019-06-28 | $32.61 | $45.17 | Long | 1488.0 | 38.51% | 13016.10 | 82268.01 |
| TQQQ | 2019-06-28 | 2019-07-31 | $15.44 | $16.39 | Long | 1358.0 | 6.20% | 13442.78 | 84359.45 |
| SPXL | 2019-06-28 | 2019-07-31 | $50.94 | $52.77 | Long | 411.0 | 3.58% | 13442.78 | 84359.45 |
| IAU | 2019-06-28 | 2019-07-31 | $27.00 | $27.04 | Long | 776.0 | 0.15% | 13442.78 | 84359.45 |
| UBT | 2019-07-31 | 2019-11-07 | $45.27 | $47.11 | Long | 1425.0 | 4.07% | 80573.19 | 87024.11 |
| UBT | 2019-11-27 | 2019-11-29 | $50.64 | $50.39 | Long | 1314.0 | -0.49% | 13942.53 | 86702.02 |
| SPXL | 2019-11-29 | 2020-01-31 | $60.73 | $65.24 | Long | 364.0 | 7.42% | 15820.81 | 94774.61 |
| TQQQ | 2019-11-29 | 2020-01-31 | $19.43 | $23.41 | Long | 1138.0 | 20.50% | 15820.81 | 94774.61 |
| IAU | 2019-11-29 | 2020-01-31 | $27.96 | $30.34 | Long | 790.0 | 8.51% | 15820.81 | 94774.61 |
| UBT | 2020-01-31 | 2020-03-10 | $54.45 | $65.42 | Long | 1331.0 | 20.14% | 102897.72 | 109406.68 |
| UBT | 2020-03-30 | 2020-06-04 | $69.06 | $61.70 | Long | 1212.0 | -10.66% | 93971.34 | 100487.69 |
| UBT | 2020-06-29 | 2020-06-30 | $67.31 | $66.78 | Long | 1142.0 | -0.79% | 17122.76 | 99878.49 |
| TLT | 2020-06-30 | 2020-08-31 | $159.27 | $157.94 | Long | 159.0 | -0.83% | 11905.30 | 118945.68 |
| TQQQ | 2020-06-30 | 2020-09-03 | $24.41 | $36.93 | Long | 1043.0 | 51.29% | 50425.80 | 113719.89 |
| SPXL | 2020-08-31 | 2020-09-08 | $59.82 | $51.53 | Long | 507.0 | -13.87% | 76550.50 | 110646.21 |
| TQQQ | 2020-09-29 | 2020-10-28 | $32.09 | $30.03 | Long | 875.0 | -6.42% | 73030.02 | 106346.35 |
| SPXL | 2020-09-29 | 2020-10-28 | $51.31 | $48.17 | Long | 547.0 | -6.12% | 73030.02 | 106346.35 |
| IAU | 2020-06-30 | 2020-11-30 | $33.98 | $33.90 | Long | 749.0 | -0.24% | 13681.05 | 120124.34 |
| SHV | 2020-11-30 | 2020-12-31 | $110.46 | $110.48 | Long | 277.0 | 0.02% | 11359.61 | 129196.78 |
| IAU | 2020-12-31 | 2021-01-29 | $36.26 | $35.10 | Long | 908.0 | -3.20% | 11083.97 | 126475.19 |
| TQQQ | 2020-10-29 | 2021-02-25 | $31.56 | $43.95 | Long | 858.0 | 39.27% | 15918.47 | 128995.48 |
| TQQQ | 2021-02-25 | 2021-03-04 | $43.95 | $40.08 | Long | 748.0 | -8.79% | 45902.03 | 124179.52 |
| TQQQ | 2021-03-30 | 2021-05-12 | $43.67 | $44.12 | Long | 761.0 | 1.04% | 46248.28 | 134068.72 |
| SHV | 2021-01-29 | 2021-05-28 | $110.47 | $110.46 | Long | 291.0 | -0.01% | 7289.86 | 139812.82 |
| IAU | 2021-05-28 | 2021-06-30 | $36.26 | $33.71 | Long | 983.0 | -7.03% | 2767.13 | 147837.69 |
| SHV | 2021-06-30 | 2021-07-30 | $110.44 | $110.44 | Long | 341.0 | 0.00% | 885.21 | 155393.81 |
| TQQQ | 2021-05-27 | 2021-09-28 | $50.80 | $63.41 | Long | 698.0 | 24.83% | 45148.85 | 150056.76 |
| TQQQ | 2021-09-29 | 2021-09-30 | $62.99 | $62.28 | Long | 608.0 | -1.13% | 28234.30 | 147853.66 |
| SPXL | 2020-10-29 | 2021-09-30 | $49.57 | $106.89 | Long | 546.0 | 115.61% | 28234.30 | 147853.66 |
| TLT | 2021-07-30 | 2021-09-30 | $147.54 | $142.77 | Long | 268.0 | -3.24% | 28234.30 | 147853.66 |
| UBT | 2021-09-30 | 2021-10-29 | $52.05 | $54.39 | Long | 2173.0 | 4.50% | 29662.20 | 152936.71 |
| TQQQ | 2021-10-29 | 2021-11-30 | $77.58 | $81.74 | Long | 502.0 | 5.37% | 29931.93 | 155069.79 |
| SPXL | 2021-10-29 | 2021-11-30 | $130.12 | $126.66 | Long | 299.0 | -2.66% | 29931.93 | 155069.79 |
| TLT | 2021-10-29 | 2021-11-30 | $146.28 | $150.34 | Long | 266.0 | 2.77% | 29931.93 | 155069.79 |
| TMF | 2021-11-30 | 2022-01-03 | $30.19 | $26.00 | Long | 3929.0 | -13.89% | 132078.40 | 138588.98 |
| UBT | 2022-01-28 | 2022-02-15 | $51.00 | $45.39 | Long | 2078.0 | -11.00% | 120420.82 | 126922.56 |
| UBT | 2022-02-25 | 2022-03-21 | $46.74 | $42.27 | Long | 2077.0 | -9.57% | 111134.55 | 117636.29 |
| UBT | 2022-03-30 | 2022-04-11 | $43.09 | $37.67 | Long | 2088.0 | -12.58% | 99817.59 | 106316.83 |
| TMF | 2022-04-28 | 2022-05-05 | $14.95 | $12.94 | Long | 5440.0 | -13.44% | 88883.19 | 95382.63 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| GrayBeard | 0.90 | 0.00 | Out | EOM |