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 | 144.00 |
| NoOfWins | 72.00 |
| NoOfLosses | 72.00 |
| SharpRatio | 0.63 |
| SortinoRatio | 0.78 |
| GrossProfit | $61386.95 |
| FirstDate | 2010-02-25 |
| LastDate | 2022-09-16 |
| FirstEquity | $10000.00 |
| FinalEquity | $71386.95 |
| OpenEquity | $54609.39 |
| LongEquity | $61386.95 |
| ShortEquity | $0.00 |
| PercentWins | 50.00% |
| AveWin | 16.15% |
| AveLoss | -5.34% |
| AveWinLoss | 3.02 |
| Expectancy | 5.40% |
| AveDrawUp | 57.08% |
| AveDrawDown | -16.08% |
| MaxDrawDown | -52.95% |
| Kelly | 33.46% |
| Thrope | 40.49 |
| APR | 16.95% |
| CalmarRatio | 1.05 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SHV | 2010-02-25 | 2010-04-30 | $103.34 | $103.31 | Long | 24.0 | -0.03% | 2187.34 | 10816.72 |
| SPXL | 2010-02-25 | 2010-05-06 | $3.89 | $4.14 | Long | 656.0 | 6.58% | 4903.84 | 10553.14 |
| SPXL | 2010-05-27 | 2010-05-28 | $3.84 | $3.71 | Long | 699.0 | -3.29% | 2232.32 | 10464.80 |
| TLT | 2010-04-30 | 2010-06-30 | $66.54 | $73.99 | Long | 41.0 | 11.20% | 2531.03 | 10697.57 |
| SHV | 2010-05-28 | 2010-06-30 | $103.33 | $103.36 | Long | 25.0 | 0.03% | 2531.03 | 10697.57 |
| IAU | 2010-02-25 | 2010-06-30 | $21.67 | $24.34 | Long | 117.0 | 12.33% | 2531.03 | 10697.57 |
| UBT | 2010-06-30 | 2010-07-30 | $20.47 | $20.08 | Long | 399.0 | -1.88% | 2537.34 | 10544.37 |
| TLT | 2010-07-30 | 2010-08-31 | $73.29 | $79.44 | Long | 36.0 | 8.40% | 2580.42 | 10919.70 |
| SHV | 2010-07-30 | 2010-08-31 | $103.34 | $103.36 | Long | 26.0 | 0.03% | 2580.42 | 10919.70 |
| IAU | 2010-07-30 | 2010-08-31 | $23.12 | $24.44 | Long | 116.0 | 5.71% | 2580.42 | 10919.70 |
| UBT | 2010-08-31 | 2010-09-10 | $23.56 | $21.02 | Long | 354.0 | -10.76% | 10022.16 | 10022.16 |
| UBT | 2010-09-29 | 2010-09-30 | $22.35 | $22.31 | Long | 343.0 | -0.17% | 2444.46 | 10008.90 |
| TLT | 2010-09-30 | 2010-10-29 | $77.44 | $73.98 | Long | 32.0 | -4.47% | 2139.20 | 10492.17 |
| TQQQ | 2010-09-30 | 2011-03-15 | $0.57 | $0.80 | Long | 4493.0 | 40.79% | 5731.90 | 11860.44 |
| SPXL | 2010-10-29 | 2011-03-16 | $4.62 | $5.60 | Long | 579.0 | 21.22% | 8971.72 | 11673.43 |
| TQQQ | 2011-03-30 | 2011-06-06 | $0.88 | $0.81 | Long | 3393.0 | -8.48% | 8448.57 | 11433.42 |
| SPXL | 2011-03-30 | 2011-06-06 | $6.58 | $5.99 | Long | 454.0 | -9.02% | 8448.57 | 11433.42 |
| IAU | 2010-09-30 | 2011-07-29 | $25.60 | $31.74 | Long | 99.0 | 23.98% | 2755.43 | 11707.13 |
| SPXL | 2011-06-29 | 2011-07-29 | $6.28 | $6.01 | Long | 461.0 | -4.39% | 2755.43 | 11707.13 |
| TQQQ | 2011-06-29 | 2011-07-29 | $0.82 | $0.89 | Long | 3521.0 | 8.39% | 2755.43 | 11707.13 |
| TMF | 2011-07-29 | 2011-10-10 | $9.30 | $15.09 | Long | 963.0 | 62.28% | 17282.65 | 17282.65 |
| TMF | 2011-10-28 | 2012-01-20 | $13.04 | $15.00 | Long | 1014.0 | 15.10% | 19278.76 | 19278.76 |
| UBT | 2012-01-30 | 2012-01-31 | $30.23 | $30.96 | Long | 487.0 | 2.42% | 4678.82 | 19634.57 |
| IAU | 2012-01-31 | 2012-02-29 | $33.96 | $32.96 | Long | 147.0 | -2.94% | 4330.45 | 20367.17 |
| TLT | 2012-01-31 | 2012-03-30 | $93.53 | $87.25 | Long | 53.0 | -6.72% | 3455.46 | 21566.75 |
| TQQQ | 2012-01-31 | 2012-04-24 | $0.90 | $1.09 | Long | 5585.0 | 21.30% | 9528.01 | 20165.49 |
| IAU | 2012-03-30 | 2012-04-30 | $32.54 | $32.46 | Long | 169.0 | -0.25% | 4637.38 | 20434.10 |
| TQQQ | 2012-04-27 | 2012-05-04 | $1.22 | $1.08 | Long | 4324.0 | -11.00% | 9313.69 | 19675.06 |
| SPXL | 2012-02-29 | 2012-05-14 | $6.18 | $5.80 | Long | 840.0 | -6.15% | 14187.55 | 19490.69 |
| TLT | 2012-04-30 | 2012-09-28 | $91.47 | $97.90 | Long | 56.0 | 7.03% | 3855.02 | 22724.57 |
| TQQQ | 2012-05-30 | 2012-10-19 | $0.96 | $1.10 | Long | 5233.0 | 14.52% | 9610.10 | 21615.10 |
| TQQQ | 2012-10-26 | 2012-10-31 | $1.08 | $1.06 | Long | 5010.0 | -1.94% | 4146.53 | 21204.45 |
| SPXL | 2012-05-30 | 2012-11-08 | $5.45 | $6.16 | Long | 921.0 | 12.97% | 9819.19 | 20931.62 |
| TLT | 2012-10-31 | 2012-11-30 | $97.43 | $98.77 | Long | 55.0 | 1.38% | 4627.95 | 20807.87 |
| TQQQ | 2012-11-30 | 2012-12-31 | $1.10 | $1.08 | Long | 4835.0 | -1.93% | 4654.24 | 20702.95 |
| SHV | 2012-12-31 | 2013-01-31 | $103.53 | $103.50 | Long | 50.0 | -0.03% | 4340.93 | 21525.21 |
| IAU | 2012-09-28 | 2013-02-20 | $34.54 | $30.42 | Long | 167.0 | -11.93% | 9421.07 | 21438.46 |
| IAU | 2013-02-27 | 2013-02-28 | $31.06 | $30.74 | Long | 176.0 | -1.03% | 3983.00 | 21359.23 |
| SHV | 2013-02-28 | 2013-04-30 | $103.50 | $103.52 | Long | 52.0 | 0.03% | 3461.69 | 23402.05 |
| TLT | 2013-04-30 | 2013-05-31 | $98.41 | $91.75 | Long | 60.0 | -6.76% | 2859.55 | 24213.20 |
| SPXL | 2012-11-29 | 2013-06-24 | $6.72 | $9.18 | Long | 792.0 | 36.73% | 16276.45 | 22383.80 |
| TQQQ | 2013-01-31 | 2013-06-24 | $1.16 | $1.30 | Long | 4738.0 | 11.97% | 16276.45 | 22383.80 |
| SHV | 2013-05-31 | 2014-01-31 | $103.51 | $103.52 | Long | 59.0 | 0.00% | 3697.79 | 28706.37 |
| SPXL | 2013-06-27 | 2014-02-03 | $9.89 | $12.47 | Long | 577.0 | 26.15% | 10895.45 | 27613.14 |
| TQQQ | 2013-06-27 | 2014-04-07 | $1.38 | $2.37 | Long | 4148.0 | 71.99% | 13114.55 | 27966.33 |
| TLT | 2014-01-31 | 2014-05-30 | $88.69 | $94.39 | Long | 82.0 | 6.43% | 7136.92 | 30357.37 |
| SPXL | 2014-02-27 | 2014-05-30 | $15.10 | $16.80 | Long | 503.0 | 11.21% | 7136.92 | 30357.37 |
| TQQQ | 2014-04-29 | 2014-05-30 | $2.48 | $2.84 | Long | 2925.0 | 14.51% | 7136.92 | 30357.37 |
| UBT | 2014-05-30 | 2014-06-30 | $29.88 | $29.71 | Long | 777.0 | -0.57% | 7196.36 | 30225.37 |
| TQQQ | 2014-06-30 | 2014-07-31 | $3.11 | $3.20 | Long | 2478.0 | 3.05% | 7099.75 | 30164.87 |
| TLT | 2014-06-30 | 2014-07-31 | $94.16 | $94.78 | Long | 81.0 | 0.67% | 7099.75 | 30164.87 |
| SPXL | 2014-06-30 | 2014-07-31 | $17.86 | $17.06 | Long | 431.0 | -4.50% | 7099.75 | 30164.87 |
| UBT | 2014-07-31 | 2014-08-29 | $30.15 | $32.78 | Long | 765.0 | 8.72% | 7638.70 | 32175.01 |
| TLT | 2014-08-29 | 2014-09-30 | $99.26 | $97.17 | Long | 82.0 | -2.11% | 7394.29 | 31403.91 |
| SPXL | 2014-08-29 | 2014-09-30 | $19.10 | $18.24 | Long | 429.0 | -4.54% | 7394.29 | 31403.91 |
| TQQQ | 2014-08-29 | 2014-09-30 | $3.70 | $3.60 | Long | 2217.0 | -2.78% | 7394.29 | 31403.91 |
| UBT | 2014-09-30 | 2014-10-31 | $31.51 | $33.32 | Long | 762.0 | 5.76% | 7778.78 | 32786.42 |
| TQQQ | 2014-10-31 | 2014-12-16 | $3.83 | $3.65 | Long | 2180.0 | -4.67% | 15745.12 | 32515.97 |
| TQQQ | 2014-12-30 | 2015-01-06 | $4.18 | $3.69 | Long | 2055.0 | -11.89% | 14723.06 | 32122.96 |
| SPXL | 2014-10-31 | 2015-01-30 | $19.35 | $18.69 | Long | 432.0 | -3.39% | 6252.94 | 32288.68 |
| IAU | 2015-01-30 | 2015-02-27 | $24.86 | $23.42 | Long | 331.0 | -5.79% | 5583.68 | 33065.74 |
| TLT | 2014-10-31 | 2015-05-29 | $99.90 | $104.35 | Long | 83.0 | 4.45% | 5842.48 | 33033.24 |
| SPXL | 2015-02-27 | 2015-06-30 | $21.93 | $20.66 | Long | 384.0 | -5.78% | 5802.31 | 31588.31 |
| IAU | 2015-05-29 | 2015-07-31 | $23.02 | $21.16 | Long | 365.0 | -8.08% | 7606.07 | 32304.74 |
| TQQQ | 2015-01-29 | 2015-07-31 | $3.86 | $5.01 | Long | 2155.0 | 29.92% | 7606.07 | 32304.74 |
| SHV | 2015-06-30 | 2015-07-31 | $103.56 | $103.54 | Long | 77.0 | -0.02% | 7606.07 | 32304.74 |
| TMF | 2015-07-31 | 2015-09-15 | $18.34 | $16.95 | Long | 1347.0 | -7.58% | 30432.66 | 30432.66 |
| TMF | 2015-09-29 | 2015-11-06 | $18.95 | $16.89 | Long | 1228.0 | -10.87% | 27901.56 | 27901.56 |
| TMF | 2015-11-27 | 2016-04-29 | $17.71 | $21.70 | Long | 1204.0 | 22.53% | 7708.00 | 32706.01 |
| SPXL | 2016-04-29 | 2016-06-27 | $19.79 | $17.91 | Long | 421.0 | -9.46% | 15249.80 | 32798.74 |
| TLT | 2016-04-29 | 2016-06-30 | $112.59 | $121.37 | Long | 74.0 | 7.80% | 7785.28 | 33084.25 |
| SPXL | 2016-06-29 | 2016-06-30 | $19.87 | $20.66 | Long | 419.0 | 3.96% | 7785.28 | 33084.25 |
| IAU | 2016-04-29 | 2016-06-30 | $24.96 | $25.52 | Long | 334.0 | 2.24% | 7785.28 | 33084.25 |
| TMF | 2016-06-30 | 2016-07-29 | $26.80 | $28.43 | Long | 944.0 | 6.07% | 8147.04 | 34620.82 |
| IAU | 2016-07-29 | 2016-08-31 | $26.04 | $25.20 | Long | 339.0 | -3.23% | 7980.87 | 34600.03 |
| TLT | 2016-08-31 | 2016-09-30 | $122.66 | $120.81 | Long | 71.0 | -1.51% | 7650.08 | 34939.01 |
| IAU | 2016-09-30 | 2016-10-31 | $25.38 | $24.64 | Long | 351.0 | -2.92% | 7775.40 | 33739.78 |
| SPXL | 2016-07-29 | 2016-11-03 | $22.97 | $20.42 | Long | 384.0 | -11.12% | 15615.83 | 32636.54 |
| SHV | 2016-10-31 | 2017-02-28 | $103.94 | $104.06 | Long | 82.0 | 0.11% | 5706.91 | 38657.32 |
| IAU | 2017-02-28 | 2017-03-31 | $24.08 | $24.02 | Long | 409.0 | -0.25% | 5540.19 | 39317.90 |
| SHV | 2017-03-31 | 2017-04-28 | $104.07 | $104.07 | Long | 96.0 | -0.00% | 5176.78 | 40668.42 |
| IAU | 2017-04-28 | 2017-06-30 | $24.42 | $23.88 | Long | 424.0 | -2.21% | 4772.72 | 41354.76 |
| TLT | 2017-06-30 | 2017-07-31 | $112.01 | $111.28 | Long | 94.0 | -0.66% | 4087.98 | 43791.33 |
| SPXL | 2016-11-29 | 2017-08-31 | $24.07 | $34.01 | Long | 357.0 | 41.30% | 10637.27 | 45099.34 |
| TQQQ | 2016-07-29 | 2017-08-31 | $4.91 | $9.60 | Long | 1798.0 | 95.70% | 10637.27 | 45099.34 |
| IAU | 2017-07-31 | 2017-08-31 | $24.44 | $25.44 | Long | 456.0 | 4.09% | 10637.27 | 45099.34 |
| UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 848.0 | -4.79% | 10298.49 | 43446.90 |
| TLT | 2017-09-29 | 2017-12-29 | $112.40 | $115.23 | Long | 98.0 | 2.52% | 9281.47 | 48366.03 |
| TQQQ | 2017-09-29 | 2018-02-05 | $9.50 | $11.93 | Long | 1165.0 | 25.56% | 35916.04 | 48560.44 |
| SPXL | 2017-09-29 | 2018-02-05 | $35.92 | $41.34 | Long | 308.0 | 15.11% | 35916.04 | 48560.44 |
| SPXL | 2018-02-27 | 2018-03-22 | $45.68 | $40.71 | Long | 269.0 | -10.88% | 33351.91 | 45897.91 |
| TQQQ | 2018-02-27 | 2018-03-22 | $14.11 | $12.71 | Long | 874.0 | -9.95% | 33351.91 | 45897.91 |
| SPXL | 2018-03-28 | 2018-04-30 | $38.71 | $40.25 | Long | 302.0 | 3.99% | 10250.35 | 46831.08 |
| IAU | 2017-12-29 | 2018-05-31 | $25.02 | $24.92 | Long | 492.0 | -0.40% | 10079.58 | 48781.36 |
| SHV | 2018-04-30 | 2018-08-31 | $105.07 | $105.72 | Long | 113.0 | 0.62% | 7851.78 | 55851.45 |
| TLT | 2018-08-31 | 2018-09-28 | $111.60 | $108.41 | Long | 127.0 | -2.86% | 7539.98 | 55340.83 |
| TQQQ | 2018-03-28 | 2018-10-10 | $11.34 | $13.92 | Long | 1031.0 | 22.69% | 21888.00 | 49454.46 |
| SPXL | 2018-05-31 | 2018-10-11 | $42.87 | $43.33 | Long | 290.0 | 1.08% | 34454.07 | 48541.73 |
| SPXL | 2018-10-30 | 2018-10-31 | $40.84 | $42.10 | Long | 303.0 | 3.09% | 11698.00 | 49775.91 |
| SHV | 2018-09-28 | 2018-10-31 | $105.86 | $106.05 | Long | 133.0 | 0.17% | 11698.00 | 49775.91 |
| TQQQ | 2018-10-30 | 2018-10-31 | $12.20 | $13.03 | Long | 1014.0 | 6.75% | 11698.00 | 49775.91 |
| TMF | 2018-10-31 | 2019-06-28 | $15.07 | $24.08 | Long | 2527.0 | 59.80% | 17089.17 | 72547.34 |
| IAU | 2019-06-28 | 2019-07-31 | $27.00 | $27.04 | Long | 685.0 | 0.15% | 17481.33 | 74383.23 |
| TQQQ | 2019-06-28 | 2019-07-31 | $15.44 | $16.39 | Long | 1198.0 | 6.20% | 17481.33 | 74383.23 |
| SPXL | 2019-06-28 | 2019-07-31 | $50.88 | $52.70 | Long | 363.0 | 3.58% | 17481.33 | 74383.23 |
| UBT | 2019-07-31 | 2019-11-07 | $45.27 | $47.11 | Long | 1257.0 | 4.07% | 76697.41 | 76697.41 |
| UBT | 2019-11-27 | 2019-11-29 | $50.64 | $50.39 | Long | 1158.0 | -0.49% | 18010.89 | 76409.96 |
| IAU | 2019-11-29 | 2020-01-31 | $27.96 | $30.34 | Long | 696.0 | 8.51% | 19623.76 | 83500.81 |
| TQQQ | 2019-11-29 | 2020-01-31 | $19.43 | $23.41 | Long | 1002.0 | 20.50% | 19623.76 | 83500.81 |
| SPXL | 2019-11-29 | 2020-01-31 | $60.66 | $65.16 | Long | 321.0 | 7.42% | 19623.76 | 83500.81 |
| TMF | 2020-01-31 | 2020-03-10 | $31.05 | $42.01 | Long | 2057.0 | 35.29% | 106044.48 | 106044.48 |
| TMF | 2020-03-30 | 2020-05-28 | $41.88 | $38.62 | Long | 1936.0 | -7.78% | 23455.21 | 99733.42 |
| TMF | 2020-05-28 | 2020-06-05 | $38.62 | $34.34 | Long | 1975.0 | -11.09% | 91277.28 | 91277.28 |
| TMF | 2020-06-29 | 2020-06-30 | $40.06 | $39.57 | Long | 1742.0 | -1.24% | 21306.83 | 90412.77 |
| TLT | 2020-06-30 | 2020-08-31 | $157.69 | $156.37 | Long | 146.0 | -0.83% | 16710.85 | 107669.84 |
| TQQQ | 2020-06-30 | 2020-09-03 | $24.41 | $36.93 | Long | 944.0 | 51.29% | 51575.05 | 102941.26 |
| SPXL | 2020-08-31 | 2020-09-08 | $59.75 | $51.47 | Long | 459.0 | -13.87% | 75197.98 | 100161.94 |
| SPXL | 2020-09-29 | 2020-10-28 | $51.25 | $48.11 | Long | 496.0 | -6.12% | 72010.53 | 96269.37 |
| TQQQ | 2020-09-29 | 2020-10-28 | $32.09 | $30.03 | Long | 792.0 | -6.42% | 72010.53 | 96269.37 |
| IAU | 2020-06-30 | 2020-11-30 | $33.98 | $33.90 | Long | 678.0 | -0.24% | 18288.31 | 108746.58 |
| SHV | 2020-11-30 | 2020-12-31 | $109.83 | $109.85 | Long | 252.0 | 0.02% | 16164.90 | 116960.98 |
| IAU | 2020-12-31 | 2021-01-29 | $36.26 | $35.10 | Long | 822.0 | -3.20% | 15909.37 | 114497.31 |
| TQQQ | 2020-10-29 | 2021-02-25 | $31.56 | $43.95 | Long | 777.0 | 39.27% | 20304.36 | 116779.89 |
| TQQQ | 2021-02-25 | 2021-03-04 | $43.95 | $40.08 | Long | 677.0 | -8.79% | 47441.89 | 112420.23 |
| TQQQ | 2021-03-30 | 2021-05-12 | $43.67 | $44.12 | Long | 689.0 | 1.04% | 47755.38 | 121374.91 |
| SHV | 2021-01-29 | 2021-05-28 | $109.84 | $109.83 | Long | 265.0 | -0.01% | 12483.51 | 126576.19 |
| IAU | 2021-05-28 | 2021-06-30 | $36.26 | $33.71 | Long | 890.0 | -7.03% | 8444.09 | 133843.67 |
| SHV | 2021-06-30 | 2021-07-30 | $109.81 | $109.81 | Long | 310.0 | 0.00% | 6697.52 | 140685.56 |
| TQQQ | 2021-05-27 | 2021-09-28 | $50.80 | $63.41 | Long | 632.0 | 24.83% | 46775.77 | 135855.14 |
| TQQQ | 2021-09-29 | 2021-09-30 | $62.99 | $62.28 | Long | 551.0 | -1.13% | 31477.00 | 133859.35 |
| TLT | 2021-07-30 | 2021-09-30 | $146.07 | $141.34 | Long | 245.0 | -3.24% | 31477.00 | 133859.35 |
| SPXL | 2020-10-29 | 2021-09-30 | $49.51 | $106.76 | Long | 495.0 | 115.61% | 31477.00 | 133859.35 |
| UBT | 2021-09-30 | 2021-10-29 | $52.05 | $54.39 | Long | 1967.0 | 4.50% | 32751.21 | 138462.13 |
| TLT | 2021-10-29 | 2021-11-30 | $144.83 | $148.84 | Long | 243.0 | 2.77% | 32998.28 | 140397.22 |
| TQQQ | 2021-10-29 | 2021-11-30 | $77.58 | $81.74 | Long | 455.0 | 5.37% | 32998.28 | 140397.22 |
| SPXL | 2021-10-29 | 2021-11-30 | $129.96 | $126.51 | Long | 271.0 | -2.66% | 32998.28 | 140397.22 |
| UBT | 2021-11-30 | 2022-01-04 | $57.31 | $51.45 | Long | 1874.0 | -10.23% | 129412.21 | 129412.21 |
| TMF | 2022-01-28 | 2022-02-10 | $25.06 | $21.65 | Long | 3950.0 | -13.63% | 115914.26 | 115914.26 |
| TMF | 2022-02-25 | 2022-03-14 | $21.89 | $19.43 | Long | 4050.0 | -11.25% | 105936.83 | 105936.83 |
| TMF | 2022-03-30 | 2022-04-07 | $19.28 | $17.08 | Long | 4203.0 | -11.40% | 96701.98 | 96701.98 |
| UBT | 2022-04-28 | 2022-05-06 | $36.29 | $32.11 | Long | 2038.0 | -11.52% | 88183.14 | 88183.14 |
| UBT | 2022-05-27 | 2022-06-13 | $34.81 | $30.18 | Long | 1937.0 | -13.30% | 79214.83 | 79214.83 |
| TMF | 2022-06-29 | 2022-08-19 | $12.12 | $11.74 | Long | 5001.0 | -3.12% | 77321.43 | 77321.43 |
| UBT | 2022-08-30 | 2022-09-16 | $31.49 | $28.33 | Long | 1878.0 | -10.03% | 71386.95 | 71386.95 |