Description
The Hanly strategy is based on the work of swhanly and Gary Antonacci
This uses the following risk-on assets: VFINX, VINEX, with VUSTX being the risk off haven It will buy one risk-on asset at a time.
Trading happens on the Close of the signal day, the last trading day of the month
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 69.00 |
| NoOfWins | 47.00 |
| NoOfLosses | 22.00 |
| SharpRatio | 1.30 |
| SortinoRatio | 1.71 |
| GrossProfit | $388494.59 |
| FirstDate | 1998-01-30 |
| LastDate | 2021-03-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $398494.59 |
| OpenEquity | $340365.82 |
| LongEquity | $388494.59 |
| ShortEquity | $0.00 |
| PercentWins | 68.12% |
| AveWin | $10029.19 |
| AveLoss | $-3767.16 |
| AveWinLoss | 2.66 |
| Expectancy | 4.63% |
| AveDrawUp | 36.98% |
| AveDrawDown | -10.96% |
| MaxDrawDown | -28.87% |
| Kelly | 56.14% |
| Thrope | 168.52 |
| APR | 17.24% |
| CalmarRatio | 1.57 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| VFINX | 1998-01-30 | 1998-04-30 | $59.65 | $67.88 | Long | 143.0 | 13.80% | 1623.31 | 11176.93 |
| VINEX | 1998-04-30 | 1998-08-31 | $2.68 | $2.50 | Long | 3567.0 | -6.53% | 1533.17 | 10553.25 |
| VUSTX | 1998-08-31 | 1998-10-30 | $3.15 | $3.19 | Long | 2867.0 | 1.54% | 1565.68 | 10692.46 |
| VFINX | 1998-10-30 | 1999-03-31 | $67.61 | $79.65 | Long | 135.0 | 17.82% | 1788.91 | 12318.90 |
| VINEX | 1999-03-31 | 2000-05-31 | $3.01 | $5.28 | Long | 3504.0 | 75.84% | 2946.29 | 20305.36 |
| VUSTX | 2000-05-31 | 2000-08-31 | $3.14 | $3.33 | Long | 5528.0 | 5.97% | 3162.85 | 21341.74 |
| VFINX | 2000-08-31 | 2000-09-29 | $95.68 | $90.62 | Long | 190.0 | -5.29% | 2956.51 | 20380.18 |
| VUSTX | 2000-09-29 | 2001-12-31 | $3.30 | $3.69 | Long | 5281.0 | 11.79% | 3325.76 | 22434.67 |
| VFINX | 2001-12-31 | 2002-01-31 | $73.50 | $72.41 | Long | 260.0 | -1.47% | 3213.72 | 22153.15 |
| VUSTX | 2002-01-31 | 2002-03-28 | $3.73 | $3.63 | Long | 5074.0 | -2.68% | 3140.37 | 21645.33 |
| VINEX | 2002-03-28 | 2002-06-28 | $3.99 | $3.97 | Long | 4641.0 | -0.50% | 3125.51 | 21552.53 |
| VUSTX | 2002-06-28 | 2003-03-31 | $3.85 | $4.34 | Long | 4787.0 | 12.72% | 3511.11 | 23897.24 |
| VFINX | 2003-03-31 | 2003-04-30 | $55.40 | $59.97 | Long | 368.0 | 8.25% | 3710.55 | 25579.80 |
| VINEX | 2003-04-30 | 2004-07-30 | $3.43 | $5.57 | Long | 6371.0 | 62.37% | 5689.95 | 39218.76 |
| VUSTX | 2004-07-30 | 2004-08-31 | $4.45 | $4.60 | Long | 7537.0 | 3.39% | 5851.79 | 40354.11 |
| VINEX | 2004-08-31 | 2006-07-31 | $5.62 | $9.16 | Long | 6137.0 | 62.86% | 8997.39 | 62041.43 |
| VUSTX | 2006-07-31 | 2006-08-31 | $4.83 | $4.96 | Long | 10986.0 | 2.74% | 9294.13 | 63493.25 |
| VFINX | 2006-08-31 | 2006-11-30 | $90.18 | $97.30 | Long | 601.0 | 7.89% | 9833.59 | 67769.56 |
| VINEX | 2006-11-30 | 2007-08-31 | $10.34 | $11.64 | Long | 5604.0 | 12.57% | 10887.89 | 75053.66 |
| VUSTX | 2007-08-31 | 2007-09-28 | $5.23 | $5.24 | Long | 12269.0 | 0.21% | 10963.10 | 75189.70 |
| VFINX | 2007-09-28 | 2007-10-31 | $107.58 | $109.28 | Long | 597.0 | 1.58% | 11049.92 | 76203.73 |
| VINEX | 2007-10-31 | 2007-11-30 | $12.58 | $11.57 | Long | 5179.0 | -8.06% | 10289.66 | 70954.50 |
| VUSTX | 2007-11-30 | 2008-05-30 | $5.56 | $5.53 | Long | 10914.0 | -0.51% | 10262.55 | 70643.77 |
| VFINX | 2008-05-30 | 2008-06-30 | $99.97 | $91.53 | Long | 604.0 | -8.44% | 9507.66 | 65548.70 |
| VUSTX | 2008-06-30 | 2009-04-30 | $5.63 | $6.14 | Long | 9955.0 | 9.15% | 10252.47 | 70674.08 |
| VINEX | 2009-04-30 | 2009-11-30 | $6.26 | $8.74 | Long | 9651.0 | 39.61% | 13772.67 | 94610.09 |
| VFINX | 2009-11-30 | 2010-01-29 | $81.24 | $79.84 | Long | 995.0 | -1.73% | 13519.85 | 93212.90 |
| VINEX | 2010-01-29 | 2010-02-26 | $8.70 | $8.62 | Long | 9159.0 | -0.89% | 13489.93 | 92505.56 |
| VFINX | 2010-02-26 | 2010-05-28 | $82.31 | $81.55 | Long | 960.0 | -0.92% | 13311.59 | 91775.36 |
| VUSTX | 2010-05-28 | 2010-07-30 | $6.44 | $6.73 | Long | 12175.0 | 4.49% | 13820.96 | 95296.06 |
| VINEX | 2010-07-30 | 2011-02-28 | $9.04 | $11.09 | Long | 9017.0 | 22.75% | 16507.99 | 113830.52 |
| VFINX | 2011-02-28 | 2011-04-29 | $100.75 | $103.74 | Long | 966.0 | 2.97% | 16926.92 | 116725.17 |
| VINEX | 2011-04-29 | 2011-06-30 | $11.69 | $11.08 | Long | 8536.0 | -5.19% | 16250.99 | 111545.91 |
| VFINX | 2011-06-30 | 2011-07-29 | $100.84 | $98.78 | Long | 945.0 | -2.05% | 15894.10 | 109595.36 |
| VUSTX | 2011-07-29 | 2011-10-31 | $6.91 | $8.00 | Long | 13560.0 | 15.73% | 18124.71 | 124338.09 |
| VFINX | 2011-10-31 | 2011-11-30 | $96.30 | $96.07 | Long | 1103.0 | -0.23% | 18000.05 | 124089.91 |
| VUSTX | 2011-11-30 | 2011-12-30 | $8.14 | $8.40 | Long | 13029.0 | 3.13% | 18527.13 | 127414.53 |
| VFINX | 2011-12-30 | 2012-05-31 | $97.05 | $101.99 | Long | 1122.0 | 5.09% | 19285.40 | 132957.41 |
| VUSTX | 2012-05-31 | 2012-06-29 | $8.91 | $8.78 | Long | 12763.0 | -1.44% | 19084.89 | 131315.47 |
| VFINX | 2012-06-29 | 2012-10-31 | $106.18 | $110.78 | Long | 1057.0 | 4.33% | 19752.91 | 136178.91 |
| VINEX | 2012-10-31 | 2013-03-28 | $9.87 | $10.97 | Long | 11792.0 | 11.07% | 21670.90 | 149063.51 |
| VFINX | 2013-03-28 | 2013-04-30 | $124.29 | $126.66 | Long | 1025.0 | 1.91% | 21969.56 | 151494.90 |
| VINEX | 2013-04-30 | 2013-05-31 | $11.37 | $11.32 | Long | 11390.0 | -0.49% | 21899.79 | 150857.24 |
| VFINX | 2013-05-31 | 2013-08-30 | $129.61 | $130.43 | Long | 995.0 | 0.63% | 22003.37 | 151676.07 |
| VINEX | 2013-08-30 | 2014-04-30 | $11.60 | $13.90 | Long | 11176.0 | 19.81% | 25839.75 | 177367.11 |
| VFINX | 2014-04-30 | 2015-03-31 | $152.29 | $170.18 | Long | 995.0 | 11.75% | 28303.90 | 195173.03 |
| VINEX | 2015-03-31 | 2015-08-31 | $13.97 | $13.85 | Long | 11945.0 | -0.85% | 28096.57 | 193756.48 |
| VUSTX | 2015-08-31 | 2015-10-30 | $9.28 | $9.41 | Long | 17860.0 | 1.42% | 28462.68 | 196114.16 |
| VFINX | 2015-10-30 | 2016-01-29 | $173.01 | $162.25 | Long | 969.0 | -6.22% | 26931.00 | 185682.55 |
| VUSTX | 2016-01-29 | 2016-03-31 | $9.79 | $10.07 | Long | 16221.0 | 2.91% | 27695.56 | 190307.32 |
| VFINX | 2016-03-31 | 2016-09-30 | $172.99 | $183.94 | Long | 940.0 | 6.33% | 29093.70 | 200600.83 |
| VINEX | 2016-09-30 | 2016-10-31 | $14.49 | $14.03 | Long | 11835.0 | -3.17% | 28323.59 | 195170.26 |
| VFINX | 2016-10-31 | 2017-03-31 | $180.57 | $202.43 | Long | 924.0 | 12.11% | 31231.02 | 215369.16 |
| VINEX | 2017-03-31 | 2017-11-30 | $15.32 | $18.69 | Long | 12019.0 | 21.99% | 37124.45 | 255857.06 |
| VFINX | 2017-11-30 | 2018-03-29 | $229.76 | $230.45 | Long | 952.0 | 0.30% | 37194.38 | 256510.27 |
| VINEX | 2018-03-29 | 2018-04-30 | $19.00 | $19.05 | Long | 11540.0 | 0.23% | 37271.33 | 257022.21 |
| VUSTX | 2018-04-30 | 2018-05-31 | $9.65 | $9.82 | Long | 22771.0 | 1.79% | 37850.02 | 260959.18 |
| VFINX | 2018-05-31 | 2018-10-31 | $236.85 | $238.98 | Long | 942.0 | 0.90% | 38137.39 | 262971.84 |
| VUSTX | 2018-10-31 | 2019-01-31 | $9.34 | $10.08 | Long | 24084.0 | 7.92% | 40778.82 | 280789.13 |
| VFINX | 2019-01-31 | 2019-02-28 | $239.53 | $247.20 | Long | 1002.0 | 3.20% | 41836.98 | 288470.69 |
| VUSTX | 2019-02-28 | 2019-03-29 | $9.94 | $10.49 | Long | 24803.0 | 5.47% | 43931.31 | 301963.75 |
| VFINX | 2019-03-29 | 2019-05-31 | $251.98 | $245.48 | Long | 1024.0 | -2.58% | 42820.40 | 295304.78 |
| VUSTX | 2019-05-31 | 2019-06-28 | $10.98 | $11.09 | Long | 23005.0 | 1.01% | 43248.39 | 297849.71 |
| VFINX | 2019-06-28 | 2019-12-31 | $262.75 | $291.26 | Long | 969.0 | 10.85% | 47210.36 | 325481.43 |
| VINEX | 2019-12-31 | 2020-01-31 | $17.73 | $17.01 | Long | 15698.0 | -4.02% | 45601.16 | 314300.89 |
| VFINX | 2020-01-31 | 2020-02-28 | $291.12 | $267.12 | Long | 923.0 | -8.24% | 42370.21 | 292156.45 |
| VUSTX | 2020-02-28 | 2020-05-29 | $13.08 | $13.84 | Long | 19091.0 | 5.79% | 44648.71 | 306615.30 |
| VFINX | 2020-05-29 | 2020-09-30 | $276.63 | $307.19 | Long | 947.0 | 11.05% | 48670.95 | 335556.01 |
| VINEX | 2020-09-30 | 2021-03-31 | $17.17 | $20.94 | Long | 16706.0 | 21.94% | 58128.77 | 398494.59 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| Hanly | 0.90 | 0.85 | VFINX | 2021-03-31 | Hold | Long | 13.28% | EOM |