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 | 147.00 |
NoOfWins | 76.00 |
NoOfLosses | 71.00 |
SharpRatio | 0.82 |
SortinoRatio | 1.03 |
GrossProfit | $118982.25 |
FirstDate | 2010-02-25 |
LastDate | 2023-02-28 |
FirstEquity | $10000.00 |
FinalEquity | $128982.25 |
OpenEquity | $98655.51 |
LongEquity | $118982.25 |
ShortEquity | $0.00 |
PercentWins | 51.70% |
AveWin | 15.58% |
AveLoss | -4.81% |
AveWinLoss | 3.24 |
Expectancy | 5.73% |
AveDrawUp | 56.15% |
AveDrawDown | -14.63% |
MaxDrawDown | -26.26% |
Kelly | 36.79% |
Thorpe | 54.59 |
APR | 21.72% |
CalmarRatio | 1.48 |
Trades
Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
---|---|---|---|---|---|---|---|---|---|
SHV | 2010-02-25 | 2010-04-30 | $101.93 | $101.91 | Long | 25.0 | -0.03% | 2219.73 | 10816.86 |
SPXL | 2010-02-25 | 2010-05-06 | $3.86 | $4.12 | Long | 660.0 | 6.58% | 4936.87 | 10551.37 |
SPXL | 2010-05-27 | 2010-05-28 | $3.82 | $3.69 | Long | 703.0 | -3.29% | 2198.55 | 10463.15 |
SHV | 2010-05-28 | 2010-06-30 | $101.92 | $101.95 | Long | 26.0 | 0.03% | 2518.87 | 10693.92 |
TLT | 2010-04-30 | 2010-06-30 | $65.73 | $73.09 | Long | 41.0 | 11.20% | 2518.87 | 10693.92 |
IAU | 2010-02-25 | 2010-06-30 | $21.67 | $24.34 | Long | 117.0 | 12.33% | 2518.87 | 10693.92 |
TMF | 2010-06-30 | 2010-07-30 | $10.03 | $9.64 | Long | 815.0 | -3.90% | 2584.87 | 10375.27 |
TLT | 2010-07-30 | 2010-08-31 | $72.40 | $78.48 | Long | 36.0 | 8.40% | 2526.29 | 10745.25 |
SHV | 2010-07-30 | 2010-08-31 | $101.93 | $101.96 | Long | 25.0 | 0.03% | 2526.29 | 10745.25 |
IAU | 2010-07-30 | 2010-08-31 | $23.12 | $24.44 | Long | 114.0 | 5.71% | 2526.29 | 10745.25 |
TMF | 2010-08-31 | 2010-09-03 | $12.14 | $10.50 | Long | 677.0 | -13.52% | 9634.13 | 9634.13 |
TMF | 2010-09-29 | 2010-09-30 | $11.06 | $11.04 | Long | 666.0 | -0.12% | 2291.20 | 9625.29 |
TLT | 2010-09-30 | 2010-10-29 | $76.51 | $73.09 | Long | 32.0 | -4.47% | 2060.06 | 10086.90 |
TQQQ | 2010-09-30 | 2011-03-15 | $0.56 | $0.79 | Long | 4371.0 | 40.79% | 5514.83 | 11402.45 |
SPXL | 2010-10-29 | 2011-03-16 | $4.59 | $5.56 | Long | 560.0 | 21.22% | 8630.08 | 11222.63 |
SPXL | 2011-03-30 | 2011-06-06 | $6.54 | $5.95 | Long | 439.0 | -9.02% | 8127.15 | 10991.40 |
TQQQ | 2011-03-30 | 2011-06-06 | $0.87 | $0.80 | Long | 3300.0 | -8.48% | 8127.15 | 10991.40 |
TQQQ | 2011-06-29 | 2011-07-29 | $0.81 | $0.88 | Long | 3425.0 | 8.39% | 2644.91 | 11254.23 |
SPXL | 2011-06-29 | 2011-07-29 | $6.24 | $5.97 | Long | 446.0 | -4.39% | 2644.91 | 11254.23 |
IAU | 2010-09-30 | 2011-07-29 | $25.60 | $31.74 | Long | 95.0 | 23.98% | 2644.91 | 11254.23 |
TMF | 2011-07-29 | 2011-10-10 | $9.21 | $14.94 | Long | 935.0 | 62.28% | 16616.50 | 16616.50 |
TMF | 2011-10-28 | 2012-01-20 | $12.91 | $14.86 | Long | 984.0 | 15.10% | 18535.26 | 18535.26 |
TMF | 2012-01-30 | 2012-01-31 | $15.80 | $16.33 | Long | 897.0 | 3.36% | 4536.76 | 19011.48 |
IAU | 2012-01-31 | 2012-02-29 | $33.96 | $32.96 | Long | 142.0 | -2.94% | 4189.07 | 19721.05 |
TLT | 2012-01-31 | 2012-03-30 | $92.40 | $86.19 | Long | 52.0 | -6.72% | 3367.18 | 20882.30 |
TQQQ | 2012-01-31 | 2012-04-24 | $0.89 | $1.07 | Long | 5471.0 | 21.30% | 9247.06 | 19525.93 |
IAU | 2012-03-30 | 2012-04-30 | $32.54 | $32.46 | Long | 163.0 | -0.25% | 4480.40 | 19785.65 |
TQQQ | 2012-04-27 | 2012-05-04 | $1.20 | $1.07 | Long | 4236.0 | -11.00% | 9008.61 | 19050.81 |
SPXL | 2012-02-29 | 2012-05-14 | $6.15 | $5.77 | Long | 818.0 | -6.15% | 13727.19 | 18872.59 |
TLT | 2012-04-30 | 2012-09-28 | $90.36 | $96.72 | Long | 55.0 | 7.03% | 3723.25 | 22004.17 |
TQQQ | 2012-05-30 | 2012-10-19 | $0.95 | $1.09 | Long | 5126.0 | 14.52% | 9295.54 | 20929.64 |
TQQQ | 2012-10-26 | 2012-10-31 | $1.07 | $1.05 | Long | 4908.0 | -1.94% | 3996.40 | 20532.01 |
SPXL | 2012-05-30 | 2012-11-08 | $5.42 | $6.12 | Long | 897.0 | 12.97% | 9489.05 | 20268.10 |
TLT | 2012-10-31 | 2012-11-30 | $96.25 | $97.58 | Long | 54.0 | 1.38% | 4466.57 | 20148.07 |
TQQQ | 2012-11-30 | 2012-12-31 | $1.08 | $1.06 | Long | 4737.0 | -1.93% | 4398.88 | 20046.34 |
SHV | 2012-12-31 | 2013-01-31 | $102.12 | $102.10 | Long | 50.0 | -0.03% | 4189.70 | 20843.11 |
IAU | 2012-09-28 | 2013-02-20 | $34.54 | $30.42 | Long | 162.0 | -11.93% | 9117.74 | 20758.67 |
IAU | 2013-02-27 | 2013-02-28 | $31.06 | $30.74 | Long | 170.0 | -1.03% | 3856.82 | 20682.09 |
SHV | 2013-02-28 | 2013-04-30 | $102.09 | $102.12 | Long | 51.0 | 0.03% | 3328.90 | 22660.95 |
TLT | 2013-04-30 | 2013-05-31 | $97.22 | $90.64 | Long | 59.0 | -6.76% | 2754.61 | 23445.48 |
SPXL | 2012-11-29 | 2013-06-24 | $6.68 | $9.13 | Long | 772.0 | 36.73% | 15751.25 | 21673.49 |
TQQQ | 2013-01-31 | 2013-06-24 | $1.15 | $1.28 | Long | 4641.0 | 11.97% | 15751.25 | 21673.49 |
SHV | 2013-05-31 | 2014-01-31 | $102.11 | $102.11 | Long | 58.0 | 0.00% | 3612.95 | 27795.23 |
SPXL | 2013-06-27 | 2014-02-03 | $9.83 | $12.40 | Long | 562.0 | 26.15% | 10582.67 | 26736.32 |
TQQQ | 2013-06-27 | 2014-04-07 | $1.36 | $2.34 | Long | 4063.0 | 71.99% | 12729.01 | 27078.13 |
TQQQ | 2014-04-29 | 2014-05-30 | $2.45 | $2.81 | Long | 2865.0 | 14.51% | 6917.60 | 29391.82 |
TLT | 2014-01-31 | 2014-05-30 | $87.62 | $93.25 | Long | 80.0 | 6.43% | 6917.60 | 29391.82 |
SPXL | 2014-02-27 | 2014-05-30 | $15.02 | $16.70 | Long | 490.0 | 11.21% | 6917.60 | 29391.82 |
TMF | 2014-05-30 | 2014-06-30 | $14.49 | $14.35 | Long | 1551.0 | -1.00% | 6959.67 | 29167.44 |
TQQQ | 2014-06-30 | 2014-07-31 | $3.07 | $3.17 | Long | 2420.0 | 3.05% | 6851.04 | 29109.33 |
TLT | 2014-06-30 | 2014-07-31 | $93.02 | $93.64 | Long | 79.0 | 0.67% | 6851.04 | 29109.33 |
SPXL | 2014-06-30 | 2014-07-31 | $17.76 | $16.96 | Long | 418.0 | -4.50% | 6851.04 | 29109.33 |
TMF | 2014-07-31 | 2014-08-29 | $14.58 | $16.68 | Long | 1527.0 | 14.42% | 7620.56 | 32319.63 |
TQQQ | 2014-08-29 | 2014-09-30 | $3.66 | $3.56 | Long | 2253.0 | -2.78% | 7425.47 | 31544.16 |
TLT | 2014-08-29 | 2014-09-30 | $98.06 | $95.99 | Long | 84.0 | -2.11% | 7425.47 | 31544.16 |
SPXL | 2014-08-29 | 2014-09-30 | $18.99 | $18.13 | Long | 433.0 | -4.54% | 7425.47 | 31544.16 |
TMF | 2014-09-30 | 2014-10-31 | $15.57 | $16.83 | Long | 1549.0 | 8.06% | 7942.33 | 33488.70 |
TQQQ | 2014-10-31 | 2014-12-16 | $3.79 | $3.61 | Long | 2253.0 | -4.67% | 16080.33 | 33214.74 |
TQQQ | 2014-12-30 | 2015-01-06 | $4.14 | $3.64 | Long | 2124.0 | -11.89% | 15036.16 | 32813.12 |
SPXL | 2014-10-31 | 2015-01-30 | $19.24 | $18.58 | Long | 443.0 | -3.39% | 6370.81 | 32983.60 |
IAU | 2015-01-30 | 2015-02-27 | $24.86 | $23.42 | Long | 338.0 | -5.79% | 5674.72 | 33776.23 |
TLT | 2014-10-31 | 2015-05-29 | $98.69 | $103.09 | Long | 86.0 | 4.45% | 5953.81 | 33742.18 |
SPXL | 2015-02-27 | 2015-06-30 | $21.80 | $20.54 | Long | 395.0 | -5.78% | 5895.30 | 32265.54 |
TQQQ | 2015-01-29 | 2015-07-31 | $3.81 | $4.96 | Long | 2227.0 | 29.92% | 7757.76 | 32997.10 |
SHV | 2015-06-30 | 2015-07-31 | $102.16 | $102.14 | Long | 80.0 | -0.02% | 7757.76 | 32997.10 |
IAU | 2015-05-29 | 2015-07-31 | $23.02 | $21.16 | Long | 373.0 | -8.08% | 7757.76 | 32997.10 |
TBF | 2015-07-31 | 2015-09-30 | $24.01 | $23.54 | Long | 1051.0 | -1.96% | 7658.97 | 32502.61 |
UBT | 2015-09-30 | 2015-10-30 | $36.11 | $35.60 | Long | 688.0 | -1.43% | 7569.20 | 32148.57 |
TBF | 2015-10-30 | 2015-11-30 | $23.61 | $23.77 | Long | 1041.0 | 0.69% | 7618.35 | 32318.50 |
UBT | 2015-11-30 | 2015-12-31 | $35.09 | $34.42 | Long | 704.0 | -1.91% | 7495.32 | 31847.96 |
TMF | 2015-12-31 | 2016-04-29 | $17.32 | $21.50 | Long | 1406.0 | 24.13% | 8929.76 | 37723.69 |
SPXL | 2016-04-29 | 2016-06-27 | $19.67 | $17.81 | Long | 489.0 | -9.46% | 17638.69 | 37825.90 |
TLT | 2016-04-29 | 2016-06-30 | $111.22 | $119.90 | Long | 86.0 | 7.80% | 8980.51 | 38155.23 |
SPXL | 2016-06-29 | 2016-06-30 | $19.76 | $20.54 | Long | 486.0 | 3.96% | 8980.51 | 38155.23 |
IAU | 2016-04-29 | 2016-06-30 | $24.96 | $25.52 | Long | 385.0 | 2.24% | 8980.51 | 38155.23 |
TMF | 2016-06-30 | 2016-07-29 | $26.55 | $28.16 | Long | 1099.0 | 6.07% | 9430.12 | 39927.21 |
IAU | 2016-07-29 | 2016-08-31 | $26.04 | $25.20 | Long | 390.0 | -3.23% | 9200.41 | 39904.06 |
TLT | 2016-08-31 | 2016-09-30 | $121.18 | $119.35 | Long | 83.0 | -1.51% | 8852.88 | 40294.91 |
IAU | 2016-09-30 | 2016-10-31 | $25.38 | $24.64 | Long | 404.0 | -2.92% | 8964.53 | 38913.00 |
SPXL | 2016-07-29 | 2016-11-03 | $22.84 | $20.30 | Long | 445.0 | -11.12% | 17997.53 | 37641.09 |
SHV | 2016-10-31 | 2017-02-28 | $102.53 | $102.64 | Long | 96.0 | 0.11% | 6578.67 | 44584.37 |
IAU | 2017-02-28 | 2017-03-31 | $24.08 | $24.02 | Long | 472.0 | -0.25% | 6418.48 | 45346.25 |
SHV | 2017-03-31 | 2017-04-28 | $102.66 | $102.66 | Long | 112.0 | -0.00% | 5974.46 | 46903.78 |
IAU | 2017-04-28 | 2017-06-30 | $24.42 | $23.88 | Long | 489.0 | -2.21% | 5590.16 | 47695.14 |
TLT | 2017-06-30 | 2017-07-31 | $110.66 | $109.93 | Long | 109.0 | -0.66% | 4716.98 | 50505.64 |
SPXL | 2016-11-29 | 2017-08-31 | $23.93 | $33.81 | Long | 414.0 | 41.30% | 12231.23 | 52014.32 |
TQQQ | 2016-07-29 | 2017-08-31 | $4.85 | $9.49 | Long | 2098.0 | 95.70% | 12231.23 | 52014.32 |
IAU | 2017-07-31 | 2017-08-31 | $24.44 | $25.44 | Long | 526.0 | 4.09% | 12231.23 | 52014.32 |
TMF | 2017-08-31 | 2017-09-29 | $21.03 | $19.50 | Long | 1892.0 | -7.29% | 11660.75 | 49115.87 |
TLT | 2017-09-29 | 2017-12-29 | $111.03 | $113.84 | Long | 112.0 | 2.52% | 10474.52 | 54675.98 |
TQQQ | 2017-09-29 | 2018-02-05 | $9.39 | $11.79 | Long | 1333.0 | 25.56% | 40582.08 | 54896.98 |
SPXL | 2017-09-29 | 2018-02-05 | $35.71 | $41.10 | Long | 350.0 | 15.11% | 40582.08 | 54896.98 |
TQQQ | 2018-02-27 | 2018-03-22 | $13.95 | $12.56 | Long | 999.0 | -9.95% | 37678.66 | 51882.16 |
SPXL | 2018-02-27 | 2018-03-22 | $45.41 | $40.47 | Long | 307.0 | -10.88% | 37678.66 | 51882.16 |
SPXL | 2018-03-28 | 2018-04-30 | $38.48 | $40.02 | Long | 343.0 | 3.99% | 11512.45 | 52936.17 |
IAU | 2017-12-29 | 2018-05-31 | $25.02 | $24.92 | Long | 557.0 | -0.40% | 11371.83 | 55140.46 |
SHV | 2018-04-30 | 2018-08-31 | $103.64 | $104.28 | Long | 130.0 | 0.62% | 8941.37 | 63125.43 |
TLT | 2018-08-31 | 2018-09-28 | $110.25 | $107.10 | Long | 145.0 | -2.86% | 8598.01 | 62548.76 |
TQQQ | 2018-03-28 | 2018-10-10 | $11.21 | $13.76 | Long | 1179.0 | 22.69% | 24816.17 | 55899.91 |
SPXL | 2018-05-31 | 2018-10-11 | $42.62 | $43.08 | Long | 329.0 | 1.08% | 38989.10 | 54870.47 |
SHV | 2018-09-28 | 2018-10-31 | $104.42 | $104.61 | Long | 152.0 | 0.17% | 13222.95 | 56265.20 |
SPXL | 2018-10-30 | 2018-10-31 | $40.60 | $41.85 | Long | 344.0 | 3.09% | 13222.95 | 56265.20 |
TQQQ | 2018-10-30 | 2018-10-31 | $12.06 | $12.88 | Long | 1160.0 | 6.75% | 13222.95 | 56265.20 |
TBF | 2018-10-31 | 2018-12-31 | $23.28 | $21.68 | Long | 1849.0 | -6.86% | 12542.26 | 53314.64 |
TMF | 2018-12-31 | 2019-06-28 | $18.44 | $23.85 | Long | 2211.0 | 29.35% | 15373.37 | 65279.53 |
IAU | 2019-06-28 | 2019-07-31 | $27.00 | $27.04 | Long | 616.0 | 0.15% | 15747.92 | 66931.75 |
TQQQ | 2019-06-28 | 2019-07-31 | $15.26 | $16.20 | Long | 1090.0 | 6.20% | 15747.92 | 66931.75 |
SPXL | 2019-06-28 | 2019-07-31 | $50.58 | $52.40 | Long | 329.0 | 3.58% | 15747.92 | 66931.75 |
TMF | 2019-07-31 | 2019-09-12 | $23.93 | $27.48 | Long | 2139.0 | 14.85% | 74533.51 | 74533.51 |
TMF | 2019-09-27 | 2019-10-21 | $29.24 | $26.66 | Long | 1949.0 | -8.83% | 69501.78 | 69501.78 |
TMF | 2019-10-30 | 2019-11-29 | $27.11 | $27.62 | Long | 1961.0 | 1.88% | 16602.83 | 70499.26 |
SPXL | 2019-11-29 | 2020-01-31 | $60.31 | $64.78 | Long | 298.0 | 7.42% | 18107.93 | 77044.42 |
IAU | 2019-11-29 | 2020-01-31 | $27.96 | $30.34 | Long | 642.0 | 8.51% | 18107.93 | 77044.42 |
TQQQ | 2019-11-29 | 2020-01-31 | $19.20 | $23.14 | Long | 936.0 | 20.50% | 18107.93 | 77044.42 |
TMF | 2020-01-31 | 2020-03-10 | $30.76 | $41.62 | Long | 1916.0 | 35.29% | 97844.46 | 97844.46 |
TMF | 2020-03-30 | 2020-05-28 | $41.49 | $38.26 | Long | 1804.0 | -7.78% | 21626.25 | 92019.24 |
TMF | 2020-05-28 | 2020-06-05 | $38.26 | $34.02 | Long | 1840.0 | -11.09% | 84215.53 | 84215.53 |
TMF | 2020-06-29 | 2020-06-30 | $39.68 | $39.19 | Long | 1623.0 | -1.24% | 19701.49 | 83417.69 |
TLT | 2020-06-30 | 2020-08-31 | $155.78 | $154.48 | Long | 136.0 | -0.83% | 15404.55 | 99339.44 |
TQQQ | 2020-06-30 | 2020-09-03 | $24.13 | $36.51 | Long | 881.0 | 51.29% | 47566.16 | 94976.78 |
SPXL | 2020-08-31 | 2020-09-08 | $59.40 | $51.17 | Long | 426.0 | -13.87% | 69362.99 | 92412.31 |
SPXL | 2020-09-29 | 2020-10-28 | $50.95 | $47.83 | Long | 460.0 | -6.12% | 66423.65 | 88821.93 |
TQQQ | 2020-09-29 | 2020-10-28 | $31.72 | $29.68 | Long | 739.0 | -6.42% | 66423.65 | 88821.93 |
IAU | 2020-06-30 | 2020-11-30 | $33.98 | $33.90 | Long | 626.0 | -0.24% | 16868.33 | 100325.11 |
SHV | 2020-11-30 | 2020-12-31 | $108.34 | $108.36 | Long | 236.0 | 0.02% | 14955.61 | 107899.71 |
IAU | 2020-12-31 | 2021-01-29 | $36.26 | $35.10 | Long | 758.0 | -3.20% | 14691.19 | 105628.20 |
TQQQ | 2020-10-29 | 2021-02-25 | $31.19 | $43.44 | Long | 725.0 | 39.27% | 18731.32 | 107732.01 |
TQQQ | 2021-02-25 | 2021-03-04 | $43.44 | $39.62 | Long | 632.0 | -8.79% | 43772.39 | 103710.68 |
TQQQ | 2021-03-30 | 2021-05-12 | $43.17 | $43.62 | Long | 643.0 | 1.04% | 44061.58 | 111965.92 |
SHV | 2021-01-29 | 2021-05-28 | $108.35 | $108.34 | Long | 248.0 | -0.01% | 11534.13 | 116761.11 |
IAU | 2021-05-28 | 2021-06-30 | $36.26 | $33.71 | Long | 821.0 | -7.03% | 7797.76 | 123465.03 |
SHV | 2021-06-30 | 2021-07-30 | $108.32 | $108.32 | Long | 290.0 | 0.00% | 6164.11 | 129775.24 |
TQQQ | 2021-05-27 | 2021-09-28 | $50.21 | $62.68 | Long | 590.0 | 24.83% | 43146.75 | 125318.73 |
TLT | 2021-07-30 | 2021-09-30 | $144.31 | $139.63 | Long | 229.0 | -3.24% | 29020.27 | 123478.87 |
SPXL | 2020-10-29 | 2021-09-30 | $49.23 | $106.14 | Long | 459.0 | 115.61% | 29020.27 | 123478.87 |
TQQQ | 2021-09-29 | 2021-09-30 | $62.27 | $61.57 | Long | 514.0 | -1.13% | 29020.27 | 123478.87 |
TMF | 2021-09-30 | 2021-10-29 | $25.86 | $27.69 | Long | 3653.0 | 7.08% | 30910.80 | 130164.29 |
TQQQ | 2021-10-29 | 2021-11-30 | $76.68 | $80.80 | Long | 432.0 | 5.37% | 31031.64 | 131980.34 |
TLT | 2021-10-29 | 2021-11-30 | $143.07 | $147.04 | Long | 231.0 | 2.77% | 31031.64 | 131980.34 |
SPXL | 2021-10-29 | 2021-11-30 | $129.20 | $125.77 | Long | 256.0 | -2.66% | 31031.64 | 131980.34 |
TMF | 2021-11-30 | 2022-01-03 | $29.73 | $25.60 | Long | 3395.0 | -13.89% | 117955.17 | 117955.17 |
TMF | 2022-01-28 | 2022-01-31 | $24.83 | $24.42 | Long | 3634.0 | -1.63% | 27381.91 | 116489.09 |
TBF | 2022-01-31 | 2022-12-07 | $16.40 | $20.45 | Long | 5434.0 | 24.73% | 138524.62 | 138524.62 |
TBF | 2022-12-29 | 2023-01-31 | $22.21 | $20.92 | Long | 4770.0 | -5.84% | 31250.57 | 132336.06 |
IAU | 2023-01-31 | 2023-02-28 | $36.59 | $34.62 | Long | 922.0 | -5.38% | 30326.74 | 128982.25 |
TLT | 2023-01-31 | 2023-02-28 | $106.63 | $101.46 | Long | 316.0 | -4.85% | 30326.74 | 128982.25 |
SHV | 2023-01-31 | 2023-02-28 | $109.62 | $109.94 | Long | 307.0 | 0.29% | 30326.74 | 128982.25 |