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 | 78.00 |
| NoOfWins | 44.00 |
| NoOfLosses | 34.00 |
| SharpRatio | 0.84 |
| SortinoRatio | 0.98 |
| GrossProfit | $72652.42 |
| FirstDate | 2010-01-29 |
| LastDate | 2021-07-30 |
| FirstEquity | $10000.00 |
| FinalEquity | $82652.42 |
| OpenEquity | $59734.17 |
| LongEquity | $72652.42 |
| ShortEquity | $0.00 |
| PercentWins | 56.41% |
| AveWin | $1979.73 |
| AveLoss | $-425.16 |
| AveWinLoss | 4.66 |
| Expectancy | 6.51% |
| AveDrawUp | 50.34% |
| AveDrawDown | -14.47% |
| MaxDrawDown | -39.64% |
| Kelly | 47.05% |
| Thrope | 51.54 |
| APR | 20.16% |
| CalmarRatio | 1.39 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SHV | 2010-01-29 | 2010-04-30 | $103.97 | $103.95 | Long | 27.0 | -0.02% | 1117.85 | 11310.50 |
| SPXL | 2010-01-29 | 2010-05-28 | $3.56 | $3.72 | Long | 799.0 | 4.42% | 1075.94 | 10633.34 |
| SHV | 2010-05-28 | 2010-06-30 | $103.96 | $104.00 | Long | 29.0 | 0.03% | 1591.40 | 10904.12 |
| IAU | 2010-01-29 | 2010-06-30 | $21.20 | $24.34 | Long | 134.0 | 14.79% | 1591.40 | 10904.12 |
| TLT | 2010-04-30 | 2010-06-30 | $67.94 | $75.55 | Long | 47.0 | 11.20% | 1591.40 | 10904.12 |
| UBT | 2010-06-30 | 2010-07-30 | $20.47 | $20.08 | Long | 455.0 | -1.88% | 1669.02 | 10729.42 |
| SHV | 2010-07-30 | 2010-08-31 | $103.98 | $104.00 | Long | 29.0 | 0.03% | 1628.73 | 11155.76 |
| TLT | 2010-07-30 | 2010-08-31 | $74.83 | $81.11 | Long | 40.0 | 8.40% | 1628.73 | 11155.76 |
| IAU | 2010-07-30 | 2010-08-31 | $23.12 | $24.44 | Long | 132.0 | 5.71% | 1628.73 | 11155.76 |
| TMF | 2010-08-31 | 2010-09-30 | $12.34 | $11.23 | Long | 772.0 | -9.02% | 1517.76 | 10296.06 |
| TLT | 2010-09-30 | 2010-11-30 | $79.07 | $74.27 | Long | 37.0 | -6.08% | 1248.76 | 10636.33 |
| SHV | 2010-11-30 | 2011-05-31 | $104.03 | $104.12 | Long | 29.0 | 0.09% | 687.15 | 12569.79 |
| IAU | 2010-09-30 | 2011-07-29 | $25.60 | $31.74 | Long | 114.0 | 23.98% | 1779.01 | 12224.62 |
| TLT | 2011-05-31 | 2011-07-29 | $74.61 | $76.09 | Long | 48.0 | 1.98% | 1779.01 | 12224.62 |
| SPXL | 2010-09-30 | 2011-07-29 | $4.14 | $6.02 | Long | 709.0 | 45.42% | 1779.01 | 12224.62 |
| TMF | 2011-07-29 | 2012-01-31 | $9.36 | $16.60 | Long | 1116.0 | 77.38% | 3020.04 | 20307.44 |
| IAU | 2012-01-31 | 2012-02-29 | $33.96 | $32.96 | Long | 170.0 | -2.94% | 2793.22 | 20741.14 |
| TLT | 2012-01-31 | 2012-03-30 | $95.51 | $89.09 | Long | 60.0 | -6.72% | 2151.17 | 21101.05 |
| IAU | 2012-03-30 | 2012-04-30 | $32.54 | $32.46 | Long | 184.0 | -0.25% | 2239.99 | 20912.51 |
| SHV | 2012-02-29 | 2012-06-29 | $104.11 | $104.12 | Long | 56.0 | 0.01% | 2188.86 | 20682.04 |
| IAU | 2012-06-29 | 2012-07-31 | $31.12 | $31.44 | Long | 189.0 | 1.03% | 2196.35 | 21180.11 |
| SHV | 2012-07-31 | 2012-08-31 | $104.12 | $104.14 | Long | 57.0 | 0.02% | 2001.56 | 21529.43 |
| TLT | 2012-04-30 | 2012-11-30 | $93.39 | $100.85 | Long | 63.0 | 7.99% | 2211.53 | 21639.44 |
| IAU | 2012-08-31 | 2013-02-28 | $32.96 | $30.74 | Long | 186.0 | -6.74% | 1470.88 | 22714.22 |
| TLT | 2013-02-28 | 2013-08-30 | $96.39 | $87.39 | Long | 67.0 | -9.34% | 398.69 | 24335.16 |
| IAU | 2013-08-30 | 2013-09-30 | $27.06 | $25.78 | Long | 256.0 | -4.73% | 6998.37 | 25073.27 |
| SHV | 2012-11-30 | 2014-02-28 | $104.13 | $104.18 | Long | 59.0 | 0.04% | 4817.90 | 29232.50 |
| IAU | 2014-02-28 | 2014-03-31 | $25.70 | $24.88 | Long | 324.0 | -3.19% | 4534.44 | 29297.07 |
| TLT | 2014-03-31 | 2014-05-30 | $91.70 | $96.38 | Long | 91.0 | 5.11% | 4526.40 | 31064.06 |
| SPXL | 2012-01-31 | 2014-05-30 | $5.48 | $16.83 | Long | 1055.0 | 207.04% | 4526.40 | 31064.06 |
| UBT | 2014-05-30 | 2014-06-30 | $29.88 | $29.71 | Long | 888.0 | -0.57% | 4549.17 | 30913.20 |
| IAU | 2014-06-30 | 2014-07-31 | $25.76 | $24.84 | Long | 342.0 | -3.57% | 4391.70 | 30260.81 |
| TLT | 2014-06-30 | 2014-07-31 | $96.14 | $96.78 | Long | 91.0 | 0.67% | 4391.70 | 30260.81 |
| SPXL | 2014-06-30 | 2014-07-31 | $17.90 | $17.09 | Long | 492.0 | -4.50% | 4391.70 | 30260.81 |
| UBT | 2014-07-31 | 2014-08-29 | $30.15 | $32.78 | Long | 858.0 | 8.72% | 4859.41 | 32515.31 |
| SPXL | 2014-08-29 | 2014-09-30 | $19.14 | $18.27 | Long | 484.0 | -4.54% | 4627.93 | 31898.85 |
| TLT | 2014-08-29 | 2014-09-30 | $101.35 | $99.21 | Long | 91.0 | -2.11% | 4627.93 | 31898.85 |
| SHV | 2014-08-29 | 2014-09-30 | $104.18 | $104.17 | Long | 88.0 | -0.02% | 4627.93 | 31898.85 |
| TMF | 2014-09-30 | 2014-10-31 | $15.83 | $17.10 | Long | 1723.0 | 8.06% | 5003.79 | 34097.52 |
| SHV | 2014-10-31 | 2015-01-30 | $104.19 | $104.18 | Long | 93.0 | -0.01% | 4623.86 | 35390.95 |
| IAU | 2015-01-30 | 2015-02-27 | $24.86 | $23.42 | Long | 405.0 | -5.79% | 4002.06 | 35738.23 |
| TLT | 2014-10-31 | 2015-05-29 | $102.01 | $106.55 | Long | 95.0 | 4.45% | 4064.46 | 35298.73 |
| SPXL | 2014-10-31 | 2015-07-31 | $19.39 | $21.97 | Long | 501.0 | 13.29% | 5005.87 | 34422.49 |
| SHV | 2015-02-27 | 2015-07-31 | $104.19 | $104.19 | Long | 97.0 | -0.01% | 5005.87 | 34422.49 |
| IAU | 2015-05-29 | 2015-07-31 | $23.02 | $21.16 | Long | 437.0 | -8.08% | 5005.87 | 34422.49 |
| UBT | 2015-07-31 | 2016-04-29 | $35.74 | $40.39 | Long | 823.0 | 13.01% | 5674.45 | 38248.13 |
| IAU | 2016-04-29 | 2016-10-31 | $24.96 | $24.64 | Long | 436.0 | -1.28% | 5226.78 | 39351.39 |
| TLT | 2016-04-29 | 2016-11-30 | $114.96 | $108.26 | Long | 94.0 | -5.82% | 4091.08 | 39721.40 |
| IAU | 2016-11-30 | 2016-12-30 | $22.58 | $22.16 | Long | 501.0 | -1.86% | 3770.04 | 40308.01 |
| TLT | 2016-12-30 | 2017-01-31 | $107.77 | $108.64 | Long | 106.0 | 0.81% | 3592.91 | 41104.87 |
| SHV | 2016-10-31 | 2017-05-31 | $104.59 | $104.77 | Long | 107.0 | 0.18% | 2207.90 | 44420.03 |
| IAU | 2017-01-31 | 2017-10-31 | $23.34 | $24.42 | Long | 501.0 | 4.63% | 772.19 | 48300.02 |
| SHV | 2017-10-31 | 2017-12-29 | $105.15 | $105.30 | Long | 130.0 | 0.14% | 14461.29 | 51335.17 |
| TLT | 2017-05-31 | 2018-01-31 | $113.47 | $113.83 | Long | 111.0 | 0.31% | 11492.10 | 54944.27 |
| SPXL | 2016-04-29 | 2018-04-30 | $19.83 | $40.33 | Long | 549.0 | 103.43% | 5596.07 | 49281.43 |
| IAU | 2018-04-30 | 2018-05-31 | $25.24 | $24.92 | Long | 556.0 | -1.27% | 5405.13 | 49408.96 |
| SHV | 2018-01-31 | 2018-10-31 | $105.43 | $106.70 | Long | 148.0 | 1.20% | 7048.80 | 48530.51 |
| TLT | 2018-04-30 | 2018-10-31 | $111.15 | $107.45 | Long | 126.0 | -3.33% | 7048.80 | 48530.51 |
| SPXL | 2018-05-31 | 2018-10-31 | $42.96 | $42.18 | Long | 327.0 | -1.79% | 7048.80 | 48530.51 |
| TMF | 2018-10-31 | 2019-04-30 | $15.17 | $19.65 | Long | 2734.0 | 29.49% | 8847.81 | 60761.85 |
| SPXL | 2019-04-30 | 2019-05-31 | $51.63 | $41.97 | Long | 335.0 | -18.70% | 8580.01 | 59021.44 |
| TLT | 2019-04-30 | 2019-05-31 | $118.59 | $126.70 | Long | 146.0 | 6.84% | 8580.01 | 59021.44 |
| IAU | 2019-04-30 | 2019-05-31 | $24.58 | $25.02 | Long | 704.0 | 1.79% | 8580.01 | 59021.44 |
| TMF | 2019-05-31 | 2019-06-28 | $23.79 | $24.25 | Long | 2120.0 | 1.90% | 8799.05 | 59981.63 |
| SPXL | 2019-06-28 | 2019-07-31 | $50.99 | $52.81 | Long | 335.0 | 3.58% | 8830.83 | 60662.71 |
| IAU | 2019-06-28 | 2019-07-31 | $27.00 | $27.04 | Long | 633.0 | 0.15% | 8830.83 | 60662.71 |
| TLT | 2019-06-28 | 2019-07-31 | $127.90 | $128.23 | Long | 133.0 | 0.26% | 8830.83 | 60662.71 |
| UBT | 2019-07-31 | 2019-11-29 | $45.27 | $50.39 | Long | 1145.0 | 11.32% | 9832.67 | 66528.13 |
| TLT | 2019-11-29 | 2019-12-31 | $136.48 | $132.12 | Long | 138.0 | -3.20% | 8657.57 | 68213.34 |
| IAU | 2019-11-29 | 2020-01-31 | $27.96 | $30.34 | Long | 678.0 | 8.51% | 10031.64 | 68971.92 |
| SPXL | 2019-11-29 | 2020-01-31 | $60.79 | $65.30 | Long | 311.0 | 7.42% | 10031.64 | 68971.92 |
| SHV | 2019-12-31 | 2020-01-31 | $109.65 | $109.81 | Long | 177.0 | 0.15% | 10031.64 | 68971.92 |
| TMF | 2020-01-31 | 2020-06-30 | $31.27 | $39.84 | Long | 1885.0 | 27.41% | 12508.45 | 85128.41 |
| TLT | 2020-06-30 | 2020-09-30 | $161.01 | $160.90 | Long | 150.0 | -0.07% | 10229.23 | 92828.49 |
| IAU | 2020-06-30 | 2020-11-30 | $33.98 | $33.90 | Long | 713.0 | -0.24% | 6427.62 | 98549.89 |
| TLT | 2020-11-30 | 2020-12-31 | $158.04 | $156.10 | Long | 177.0 | -1.23% | 4867.71 | 102434.16 |
| IAU | 2020-12-31 | 2021-06-30 | $36.26 | $33.71 | Long | 805.0 | -7.03% | 32004.26 | 120334.35 |
| SHV | 2020-09-30 | 2021-07-30 | $110.52 | $110.49 | Long | 239.0 | -0.03% | 22918.25 | 124575.65 |