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 | 142.00 |
| NoOfWins | 73.00 |
| NoOfLosses | 69.00 |
| SharpRatio | 0.67 |
| SortinoRatio | 0.78 |
| GrossProfit | $80880.30 |
| FirstDate | 2010-12-30 |
| LastDate | 2023-08-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $90880.30 |
| OpenEquity | $65642.60 |
| LongEquity | $80880.30 |
| ShortEquity | $0.00 |
| PercentWins | 51.41% |
| AveWin | 14.62% |
| AveLoss | -4.86% |
| AveWinLoss | 3.01 |
| Expectancy | 5.16% |
| AveDrawUp | 55.22% |
| AveDrawDown | -17.08% |
| MaxDrawDown | -31.85% |
| Kelly | 35.26% |
| Thorpe | 41.47 |
| Rachev | 0.87 |
| APR | 19.03% |
| CalmarRatio | 1.11 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| TQQQ | 2010-12-30 | 2011-03-15 | $0.76 | $0.78 | Long | 3163.0 | 3.10% | 5282.20 | 10203.03 |
| SPXL | 2010-12-30 | 2011-03-16 | $5.53 | $5.53 | Long | 435.0 | 0.08% | 7689.44 | 10063.67 |
| TQQQ | 2011-03-30 | 2011-06-06 | $0.86 | $0.79 | Long | 2815.0 | -8.48% | 7263.89 | 9886.94 |
| SPXL | 2011-03-30 | 2011-06-06 | $6.51 | $5.92 | Long | 373.0 | -9.02% | 7263.89 | 9886.94 |
| IAU | 2010-12-30 | 2011-07-29 | $27.44 | $31.74 | Long | 87.0 | 15.67% | 2817.11 | 10120.14 |
| TQQQ | 2011-06-29 | 2011-07-29 | $0.81 | $0.88 | Long | 2929.0 | 8.39% | 2817.11 | 10120.14 |
| SPXL | 2011-06-29 | 2011-07-29 | $6.21 | $5.94 | Long | 381.0 | -4.39% | 2817.11 | 10120.14 |
| TMF | 2011-07-29 | 2011-10-10 | $9.07 | $14.72 | Long | 805.0 | 62.28% | 14668.79 | 14668.79 |
| TMF | 2011-10-28 | 2012-01-20 | $12.72 | $14.64 | Long | 833.0 | 15.10% | 16269.16 | 16269.16 |
| TMF | 2012-01-30 | 2012-01-31 | $15.57 | $16.09 | Long | 754.0 | 3.36% | 4682.53 | 16663.56 |
| IAU | 2012-01-31 | 2012-02-29 | $33.96 | $32.96 | Long | 118.0 | -2.94% | 4420.00 | 17250.82 |
| TLT | 2012-01-31 | 2012-03-30 | $90.03 | $83.98 | Long | 44.0 | -6.72% | 3754.91 | 18211.75 |
| TQQQ | 2012-01-31 | 2012-04-24 | $0.88 | $1.07 | Long | 4560.0 | 21.30% | 8621.80 | 17090.42 |
| IAU | 2012-03-30 | 2012-04-30 | $32.54 | $32.46 | Long | 134.0 | -0.25% | 4633.68 | 17304.62 |
| TQQQ | 2012-04-27 | 2012-05-04 | $1.19 | $1.06 | Long | 3521.0 | -11.00% | 8371.53 | 16698.28 |
| SPXL | 2012-02-29 | 2012-05-14 | $6.11 | $5.74 | Long | 679.0 | -6.15% | 12267.83 | 16552.00 |
| TLT | 2012-04-30 | 2012-09-28 | $88.04 | $94.23 | Long | 47.0 | 7.03% | 4047.17 | 19146.10 |
| TQQQ | 2012-05-30 | 2012-10-19 | $0.94 | $1.08 | Long | 4273.0 | 14.52% | 8660.05 | 18257.62 |
| SPXL | 2012-05-30 | 2012-11-08 | $5.39 | $6.09 | Long | 747.0 | 12.97% | 8896.56 | 17793.90 |
| TLT | 2012-10-31 | 2012-11-30 | $93.78 | $95.07 | Long | 46.0 | 1.38% | 4738.71 | 17694.85 |
| TQQQ | 2012-11-30 | 2012-12-31 | $1.08 | $1.06 | Long | 3956.0 | -1.93% | 4684.34 | 17611.46 |
| SHV | 2012-12-31 | 2013-01-31 | $98.44 | $98.42 | Long | 43.0 | -0.03% | 4516.85 | 18271.82 |
| IAU | 2012-09-28 | 2013-02-20 | $34.54 | $30.42 | Long | 133.0 | -11.93% | 8562.71 | 18204.25 |
| IAU | 2013-02-27 | 2013-02-28 | $31.06 | $30.74 | Long | 141.0 | -1.03% | 4187.61 | 18140.77 |
| SHV | 2013-02-28 | 2013-04-30 | $98.41 | $98.44 | Long | 44.0 | 0.03% | 3782.58 | 19779.78 |
| TLT | 2013-04-30 | 2013-05-31 | $94.72 | $88.32 | Long | 50.0 | -6.76% | 3375.54 | 20430.46 |
| SPXL | 2012-11-29 | 2013-06-24 | $6.64 | $9.08 | Long | 643.0 | 36.73% | 14139.96 | 18962.89 |
| TQQQ | 2013-01-31 | 2013-06-24 | $1.14 | $1.27 | Long | 3869.0 | 11.97% | 14139.96 | 18962.89 |
| SHV | 2013-05-31 | 2014-01-31 | $98.43 | $98.43 | Long | 49.0 | 0.00% | 9839.07 | 29738.76 |
| SPXL | 2013-06-27 | 2014-02-03 | $9.78 | $12.34 | Long | 466.0 | 26.15% | 9868.08 | 17354.19 |
| TQQQ | 2013-06-27 | 2014-04-07 | $1.35 | $2.32 | Long | 3381.0 | 71.99% | 13106.58 | 17643.61 |
| SPXL | 2014-02-27 | 2014-05-30 | $14.94 | $16.61 | Long | 309.0 | 11.21% | 11332.57 | 24952.37 |
| TQQQ | 2014-04-29 | 2014-05-30 | $2.43 | $2.79 | Long | 1768.0 | 14.51% | 11332.57 | 24952.37 |
| TLT | 2014-01-31 | 2014-05-30 | $85.37 | $90.86 | Long | 67.0 | 6.43% | 11332.57 | 24952.37 |
| TMF | 2014-05-30 | 2014-06-30 | $14.28 | $14.13 | Long | 954.0 | -1.00% | 6979.33 | 24816.40 |
| TQQQ | 2014-06-30 | 2014-07-31 | $3.05 | $3.15 | Long | 1958.0 | 3.05% | 6874.79 | 24769.32 |
| SPXL | 2014-06-30 | 2014-07-31 | $17.66 | $16.87 | Long | 338.0 | -4.50% | 6874.79 | 24769.32 |
| TLT | 2014-06-30 | 2014-07-31 | $90.63 | $91.24 | Long | 65.0 | 0.67% | 6874.79 | 24769.32 |
| TMF | 2014-07-31 | 2014-08-29 | $14.36 | $16.43 | Long | 1246.0 | 14.42% | 7694.87 | 27350.24 |
| SPXL | 2014-08-29 | 2014-09-30 | $18.89 | $18.03 | Long | 348.0 | -4.54% | 7433.30 | 26732.20 |
| TLT | 2014-08-29 | 2014-09-30 | $95.54 | $93.53 | Long | 68.0 | -2.11% | 7433.30 | 26732.20 |
| TQQQ | 2014-08-29 | 2014-09-30 | $3.63 | $3.53 | Long | 1813.0 | -2.78% | 7433.30 | 26732.20 |
| TMF | 2014-09-30 | 2014-10-31 | $15.34 | $16.58 | Long | 1258.0 | 8.06% | 7933.53 | 28288.15 |
| TQQQ | 2014-10-31 | 2014-12-16 | $3.76 | $3.59 | Long | 1810.0 | -4.67% | 14426.14 | 28065.74 |
| TQQQ | 2014-12-30 | 2015-01-06 | $4.11 | $3.62 | Long | 1703.0 | -11.89% | 13594.72 | 27746.03 |
| SPXL | 2014-10-31 | 2015-01-30 | $19.14 | $18.49 | Long | 356.0 | -3.39% | 6686.56 | 27879.62 |
| IAU | 2015-01-30 | 2015-02-27 | $24.86 | $23.42 | Long | 270.0 | -5.79% | 6156.31 | 28514.30 |
| TLT | 2014-10-31 | 2015-05-29 | $96.16 | $100.44 | Long | 70.0 | 4.45% | 6327.37 | 28489.09 |
| SPXL | 2015-02-27 | 2015-06-30 | $21.69 | $20.43 | Long | 316.0 | -5.78% | 6285.36 | 27311.99 |
| SHV | 2015-06-30 | 2015-07-31 | $98.47 | $98.46 | Long | 66.0 | -0.02% | 7764.10 | 27894.94 |
| IAU | 2015-05-29 | 2015-07-31 | $23.02 | $21.16 | Long | 298.0 | -8.08% | 7764.10 | 27894.94 |
| TQQQ | 2015-01-29 | 2015-07-31 | $3.79 | $4.92 | Long | 1789.0 | 29.92% | 7764.10 | 27894.94 |
| TBF | 2015-07-31 | 2015-09-30 | $23.49 | $23.03 | Long | 857.0 | -1.96% | 7663.18 | 27500.54 |
| UBT | 2015-09-30 | 2015-10-30 | $35.42 | $34.92 | Long | 560.0 | -1.43% | 7563.63 | 27217.84 |
| TBF | 2015-10-30 | 2015-11-30 | $23.10 | $23.26 | Long | 851.0 | 0.69% | 7597.32 | 27353.72 |
| UBT | 2015-11-30 | 2015-12-31 | $34.42 | $33.76 | Long | 574.0 | -1.91% | 7488.95 | 26977.36 |
| TMF | 2015-12-31 | 2016-04-29 | $17.07 | $21.18 | Long | 1142.0 | 24.13% | 8868.72 | 31679.47 |
| SPXL | 2016-04-29 | 2016-06-27 | $19.57 | $17.72 | Long | 389.0 | -9.46% | 15760.49 | 31761.88 |
| IAU | 2016-04-29 | 2016-06-30 | $24.96 | $25.52 | Long | 305.0 | 2.24% | 8901.51 | 32022.74 |
| SPXL | 2016-06-29 | 2016-06-30 | $19.65 | $20.43 | Long | 387.0 | 3.96% | 8901.51 | 32022.74 |
| TLT | 2016-04-29 | 2016-06-30 | $108.37 | $116.82 | Long | 70.0 | 7.80% | 8901.51 | 32022.74 |
| TMF | 2016-06-30 | 2016-07-29 | $26.16 | $27.74 | Long | 884.0 | 6.07% | 9292.23 | 33427.04 |
| IAU | 2016-07-29 | 2016-08-31 | $26.04 | $25.20 | Long | 309.0 | -3.23% | 9050.38 | 33408.15 |
| TLT | 2016-08-31 | 2016-09-30 | $118.07 | $116.29 | Long | 68.0 | -1.51% | 8861.70 | 33715.87 |
| IAU | 2016-09-30 | 2016-10-31 | $25.38 | $24.64 | Long | 319.0 | -2.92% | 8913.92 | 32623.26 |
| SPXL | 2016-07-29 | 2016-11-03 | $22.72 | $20.19 | Long | 354.0 | -11.12% | 16062.18 | 31617.41 |
| SHV | 2016-10-31 | 2017-02-28 | $98.83 | $98.94 | Long | 79.0 | 0.11% | 7113.34 | 37106.13 |
| IAU | 2017-02-28 | 2017-03-31 | $24.08 | $24.02 | Long | 371.0 | -0.25% | 7019.65 | 37708.51 |
| SHV | 2017-03-31 | 2017-04-28 | $98.96 | $98.95 | Long | 91.0 | -0.00% | 6647.26 | 38939.74 |
| IAU | 2017-04-28 | 2017-06-30 | $24.42 | $23.88 | Long | 384.0 | -2.21% | 6329.19 | 39566.70 |
| TLT | 2017-06-30 | 2017-07-31 | $107.82 | $107.11 | Long | 88.0 | -0.66% | 5709.92 | 41788.71 |
| TQQQ | 2016-07-29 | 2017-08-31 | $4.82 | $9.43 | Long | 1670.0 | 95.70% | 11942.44 | 42976.51 |
| SPXL | 2016-11-29 | 2017-08-31 | $23.80 | $33.64 | Long | 329.0 | 41.30% | 11942.44 | 42976.51 |
| IAU | 2017-07-31 | 2017-08-31 | $24.44 | $25.44 | Long | 411.0 | 4.09% | 11942.44 | 42976.51 |
| TMF | 2017-08-31 | 2017-09-29 | $20.72 | $19.21 | Long | 1498.0 | -7.29% | 11370.65 | 40715.47 |
| TLT | 2017-09-29 | 2017-12-29 | $108.19 | $110.92 | Long | 90.0 | 2.52% | 10519.60 | 45072.72 |
| SPXL | 2017-09-29 | 2018-02-05 | $35.52 | $40.89 | Long | 276.0 | 15.11% | 34114.55 | 45242.65 |
| TQQQ | 2017-09-29 | 2018-02-05 | $9.33 | $11.71 | Long | 1051.0 | 25.56% | 34114.55 | 45242.65 |
| SPXL | 2018-02-27 | 2018-03-22 | $45.18 | $40.26 | Long | 240.0 | -10.88% | 31855.69 | 42897.19 |
| TQQQ | 2018-02-27 | 2018-03-22 | $13.85 | $12.47 | Long | 783.0 | -9.95% | 31855.69 | 42897.19 |
| SPXL | 2018-03-29 | 2018-04-30 | $39.87 | $39.81 | Long | 258.0 | -0.17% | 11330.63 | 42723.44 |
| IAU | 2017-12-29 | 2018-05-31 | $25.02 | $24.92 | Long | 433.0 | -0.40% | 11479.96 | 44347.22 |
| SHV | 2018-04-30 | 2018-08-31 | $99.91 | $100.52 | Long | 102.0 | 0.62% | 9701.46 | 50314.59 |
| TLT | 2018-08-31 | 2018-09-28 | $107.43 | $104.35 | Long | 112.0 | -2.86% | 9410.06 | 49886.38 |
| TQQQ | 2018-03-29 | 2018-10-10 | $11.75 | $13.66 | Long | 878.0 | 16.25% | 21404.12 | 44926.98 |
| SPXL | 2018-05-31 | 2018-10-11 | $42.39 | $42.85 | Long | 251.0 | 1.08% | 32160.42 | 44145.70 |
| SPXL | 2018-10-30 | 2018-10-31 | $40.39 | $41.63 | Long | 263.0 | 3.09% | 12552.97 | 45205.22 |
| SHV | 2018-09-28 | 2018-10-31 | $100.66 | $100.84 | Long | 119.0 | 0.17% | 12552.97 | 45205.22 |
| TQQQ | 2018-10-30 | 2018-10-31 | $11.98 | $12.79 | Long | 887.0 | 6.75% | 12552.97 | 45205.22 |
| TBF | 2018-10-31 | 2018-12-31 | $22.77 | $21.21 | Long | 1434.0 | -6.86% | 11934.55 | 42966.90 |
| TMF | 2018-12-31 | 2019-06-28 | $18.17 | $23.50 | Long | 1708.0 | 29.35% | 14484.26 | 52073.52 |
| SPXL | 2019-06-28 | 2019-07-31 | $50.32 | $52.12 | Long | 249.0 | 3.58% | 14818.33 | 53318.06 |
| IAU | 2019-06-28 | 2019-07-31 | $27.00 | $27.04 | Long | 464.0 | 0.15% | 14818.33 | 53318.06 |
| TQQQ | 2019-06-28 | 2019-07-31 | $15.15 | $16.09 | Long | 827.0 | 6.20% | 14818.33 | 53318.06 |
| TMF | 2019-07-31 | 2019-09-12 | $23.58 | $27.08 | Long | 1633.0 | 14.85% | 59035.99 | 59035.99 |
| TMF | 2019-09-27 | 2019-10-21 | $28.81 | $26.27 | Long | 1480.0 | -8.83% | 55271.41 | 55271.41 |
| TMF | 2019-10-30 | 2019-11-29 | $26.71 | $27.21 | Long | 1494.0 | 1.88% | 15622.21 | 56020.15 |
| IAU | 2019-11-29 | 2020-01-31 | $27.96 | $30.34 | Long | 482.0 | 8.51% | 16922.34 | 60927.63 |
| TQQQ | 2019-11-29 | 2020-01-31 | $19.07 | $22.98 | Long | 707.0 | 20.50% | 16922.34 | 60927.63 |
| SPXL | 2019-11-29 | 2020-01-31 | $59.99 | $64.44 | Long | 224.0 | 7.42% | 16922.34 | 60927.63 |
| TMF | 2020-01-31 | 2020-03-10 | $30.31 | $41.00 | Long | 1452.0 | 35.29% | 76458.10 | 76458.10 |
| TMF | 2020-03-30 | 2020-05-28 | $40.87 | $37.69 | Long | 1351.0 | -7.78% | 20030.49 | 72159.97 |
| TMF | 2020-05-28 | 2020-06-05 | $37.69 | $33.51 | Long | 1383.0 | -11.09% | 66380.94 | 66380.94 |
| TMF | 2020-06-29 | 2020-06-30 | $39.10 | $38.61 | Long | 1226.0 | -1.24% | 18327.36 | 65787.14 |
| TLT | 2020-06-30 | 2020-08-31 | $151.78 | $150.51 | Long | 104.0 | -0.83% | 15307.42 | 77648.78 |
| TQQQ | 2020-06-30 | 2020-09-03 | $23.96 | $36.25 | Long | 661.0 | 51.29% | 39270.76 | 74405.21 |
| SPXL | 2020-08-31 | 2020-09-08 | $59.09 | $50.90 | Long | 316.0 | -13.87% | 55354.83 | 72512.95 |
| TQQQ | 2020-09-29 | 2020-10-28 | $31.50 | $29.48 | Long | 552.0 | -6.42% | 53174.50 | 69847.98 |
| SPXL | 2020-09-29 | 2020-10-28 | $50.68 | $47.58 | Long | 343.0 | -6.12% | 53174.50 | 69847.98 |
| IAU | 2020-06-30 | 2020-11-30 | $33.98 | $33.90 | Long | 466.0 | -0.24% | 16588.58 | 78392.45 |
| SHV | 2020-11-30 | 2020-12-31 | $104.43 | $104.45 | Long | 180.0 | 0.02% | 15156.81 | 84019.07 |
| IAU | 2020-12-31 | 2021-01-29 | $36.26 | $35.10 | Long | 558.0 | -3.20% | 15003.02 | 82336.99 |
| TQQQ | 2020-10-29 | 2021-02-25 | $30.98 | $43.14 | Long | 542.0 | 39.27% | 18195.50 | 83901.81 |
| TQQQ | 2021-02-25 | 2021-03-04 | $43.14 | $39.35 | Long | 468.0 | -8.79% | 36610.25 | 80931.76 |
| TQQQ | 2021-03-30 | 2021-05-12 | $42.87 | $43.31 | Long | 476.0 | 1.04% | 36822.84 | 87066.10 |
| SHV | 2021-01-29 | 2021-05-28 | $104.44 | $104.43 | Long | 189.0 | -0.01% | 13052.77 | 90416.12 |
| IAU | 2021-05-28 | 2021-06-30 | $36.26 | $33.71 | Long | 600.0 | -7.03% | 10412.12 | 95331.65 |
| SHV | 2021-06-30 | 2021-07-30 | $104.41 | $104.41 | Long | 219.0 | 0.00% | 9235.62 | 99974.02 |
| TQQQ | 2021-05-28 | 2021-09-28 | $50.35 | $62.25 | Long | 432.0 | 23.63% | 36127.04 | 96706.86 |
| SPXL | 2020-10-29 | 2021-09-30 | $48.97 | $105.58 | Long | 343.0 | 115.61% | 26480.53 | 95343.76 |
| TLT | 2021-07-30 | 2021-09-30 | $140.60 | $136.05 | Long | 171.0 | -3.24% | 26480.53 | 95343.76 |
| TQQQ | 2021-09-29 | 2021-09-30 | $61.84 | $61.14 | Long | 377.0 | -1.13% | 26480.53 | 95343.76 |
| TMF | 2021-09-30 | 2021-10-29 | $25.48 | $27.28 | Long | 2703.0 | 7.08% | 28001.72 | 100217.64 |
| TQQQ | 2021-10-29 | 2021-11-30 | $76.15 | $80.24 | Long | 316.0 | 5.37% | 28182.11 | 101539.66 |
| TLT | 2021-10-29 | 2021-11-30 | $139.40 | $143.27 | Long | 173.0 | 2.77% | 28182.11 | 101539.66 |
| SPXL | 2021-10-29 | 2021-11-30 | $128.53 | $125.11 | Long | 187.0 | -2.66% | 28182.11 | 101539.66 |
| TMF | 2021-11-30 | 2022-01-03 | $29.30 | $25.23 | Long | 2504.0 | -13.89% | 91347.83 | 91347.83 |
| TMF | 2022-01-28 | 2022-01-31 | $24.46 | $24.06 | Long | 2698.0 | -1.63% | 25057.56 | 90275.41 |
| TBF | 2022-01-31 | 2022-12-07 | $16.04 | $20.01 | Long | 4066.0 | 24.73% | 106403.29 | 106403.29 |
| TBF | 2022-12-29 | 2023-01-31 | $21.73 | $20.46 | Long | 3537.0 | -5.84% | 28364.35 | 101914.67 |
| TLT | 2023-01-31 | 2023-02-28 | $103.90 | $98.85 | Long | 236.0 | -4.85% | 27625.40 | 99476.07 |
| SHV | 2023-01-31 | 2023-02-28 | $105.67 | $105.98 | Long | 232.0 | 0.29% | 27625.40 | 99476.07 |
| IAU | 2023-01-31 | 2023-02-28 | $36.59 | $34.62 | Long | 670.0 | -5.38% | 27625.40 | 99476.07 |
| TBF | 2023-02-28 | 2023-03-31 | $21.62 | $20.67 | Long | 3323.0 | -4.41% | 26733.57 | 96306.28 |
| TMF | 2023-03-31 | 2023-05-09 | $8.75 | $7.93 | Long | 7952.0 | -9.35% | 89803.42 | 89803.42 |
| TMF | 2023-05-30 | 2023-05-31 | $7.62 | $7.80 | Long | 8519.0 | 2.46% | 25373.16 | 91398.17 |
| TBF | 2023-05-31 | 2023-06-30 | $21.40 | $21.50 | Long | 3085.0 | 0.44% | 25598.67 | 91689.34 |
| TLT | 2023-06-30 | 2023-07-31 | $101.08 | $98.51 | Long | 218.0 | -2.54% | 24153.36 | 95430.39 |
| TQQQ | 2023-06-30 | 2023-08-11 | $40.85 | $38.95 | Long | 540.0 | -4.66% | 45184.72 | 90133.73 |
| SPXL | 2023-06-30 | 2023-08-31 | $89.78 | $91.71 | Long | 245.0 | 2.14% | 25237.71 | 90880.30 |
| TQQQ | 2023-08-30 | 2023-08-31 | $41.91 | $42.28 | Long | 521.0 | 0.90% | 25237.71 | 90880.30 |
| SHV | 2023-07-31 | 2023-08-31 | $108.12 | $108.63 | Long | 212.0 | 0.48% | 25237.71 | 90880.30 |