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 | 52.00 |
| NoOfWins | 31.00 |
| NoOfLosses | 21.00 |
| SharpRatio | 0.65 |
| SortinoRatio | 0.81 |
| GrossProfit | $107789.49 |
| FirstDate | 1998-01-29 |
| LastDate | 2022-11-30 |
| FirstEquity | $10000.00 |
| FinalEquity | $117789.49 |
| OpenEquity | $100694.69 |
| LongEquity | $107789.49 |
| ShortEquity | $0.00 |
| PercentWins | 59.62% |
| AveWin | 20.20% |
| AveLoss | -9.65% |
| AveWinLoss | 2.09 |
| Expectancy | 8.14% |
| AveDrawUp | 41.40% |
| AveDrawDown | -17.24% |
| MaxDrawDown | -47.59% |
| Kelly | 40.32% |
| Thorpe | 67.69 |
| APR | 10.44% |
| CalmarRatio | 0.61 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| VFINX | 1998-01-29 | 1998-04-30 | $58.66 | $66.41 | Long | 145.0 | 13.21% | 1615.12 | 11123.96 |
| VINEX | 1998-04-30 | 1998-09-30 | $2.51 | $2.22 | Long | 3794.0 | -11.47% | 1471.40 | 10032.94 |
| VFINX | 1998-09-30 | 1999-03-31 | $61.15 | $77.93 | Long | 140.0 | 27.44% | 1797.48 | 12382.19 |
| VINEX | 1999-03-31 | 2000-05-31 | $2.81 | $4.94 | Long | 3764.0 | 75.84% | 3033.69 | 20410.14 |
| VFINX | 2000-05-31 | 2000-06-30 | $87.32 | $89.49 | Long | 199.0 | 2.49% | 3027.09 | 20842.29 |
| VINEX | 2000-06-30 | 2000-07-31 | $5.24 | $5.10 | Long | 3399.0 | -2.65% | 3002.63 | 20369.41 |
| VFINX | 2000-07-31 | 2001-02-28 | $88.16 | $76.90 | Long | 197.0 | -12.77% | 2634.97 | 18152.04 |
| VINEX | 2001-02-28 | 2001-03-30 | $4.48 | $4.11 | Long | 3464.0 | -8.31% | 2459.64 | 16862.15 |
| VFINX | 2001-03-30 | 2001-04-30 | $72.01 | $77.61 | Long | 200.0 | 7.77% | 2611.04 | 17981.31 |
| VINEX | 2001-04-30 | 2001-05-31 | $4.35 | $4.25 | Long | 3536.0 | -2.21% | 2566.59 | 17642.36 |
| VFINX | 2001-05-31 | 2001-09-20 | $78.11 | $61.44 | Long | 193.0 | -21.34% | 14425.18 | 14425.18 |
| VFINX | 2001-09-27 | 2002-03-28 | $63.59 | $72.08 | Long | 193.0 | 13.34% | 2332.41 | 16063.02 |
| VINEX | 2002-03-28 | 2002-09-24 | $3.73 | $2.96 | Long | 3680.0 | -20.66% | 13226.00 | 13226.00 |
| VINEX | 2002-09-27 | 2002-10-31 | $3.01 | $3.04 | Long | 3762.0 | 1.00% | 1988.39 | 13338.63 |
| VFINX | 2002-10-31 | 2003-04-30 | $56.19 | $58.67 | Long | 202.0 | 4.42% | 2007.26 | 13840.70 |
| VINEX | 2003-04-30 | 2006-07-31 | $3.21 | $8.57 | Long | 3684.0 | 166.73% | 4952.68 | 33570.75 |
| VFINX | 2006-07-31 | 2006-11-30 | $86.20 | $95.20 | Long | 332.0 | 10.44% | 5310.29 | 36557.98 |
| VINEX | 2006-11-30 | 2007-08-31 | $9.67 | $10.89 | Long | 3230.0 | 12.57% | 5881.66 | 40486.66 |
| VFINX | 2007-08-31 | 2007-10-31 | $101.48 | $106.92 | Long | 341.0 | 5.36% | 6142.39 | 42342.03 |
| VINEX | 2007-10-31 | 2007-11-30 | $11.77 | $10.82 | Long | 3075.0 | -8.06% | 5721.03 | 39425.54 |
| VFINX | 2007-11-30 | 2008-02-29 | $102.45 | $92.50 | Long | 329.0 | -9.71% | 5250.25 | 36153.55 |
| VINEX | 2008-02-29 | 2008-04-30 | $9.83 | $9.91 | Long | 3145.0 | 0.87% | 5327.35 | 36423.06 |
| VFINX | 2008-04-30 | 2008-10-06 | $96.57 | $74.40 | Long | 322.0 | -22.96% | 29283.69 | 29283.69 |
| VFINX | 2008-10-30 | 2008-11-20 | $67.26 | $53.18 | Long | 372.0 | -20.93% | 24045.87 | 24045.87 |
| VFINX | 2008-11-26 | 2009-02-27 | $62.79 | $52.42 | Long | 327.0 | -16.50% | 2996.21 | 20657.25 |
| VINEX | 2009-02-27 | 2009-11-30 | $4.76 | $8.18 | Long | 3710.0 | 71.82% | 4884.09 | 33341.49 |
| VFINX | 2009-11-30 | 2010-01-29 | $79.49 | $78.12 | Long | 358.0 | -1.73% | 4767.45 | 32849.64 |
| VINEX | 2010-01-29 | 2010-02-26 | $8.14 | $8.07 | Long | 3449.0 | -0.89% | 4736.56 | 32600.39 |
| VFINX | 2010-02-26 | 2010-06-30 | $80.53 | $75.60 | Long | 346.0 | -6.12% | 4481.82 | 30893.87 |
| VINEX | 2010-06-30 | 2011-02-28 | $7.72 | $10.38 | Long | 3421.0 | 34.43% | 5881.15 | 39987.50 |
| VFINX | 2011-02-28 | 2011-04-29 | $98.57 | $101.51 | Long | 346.0 | 2.97% | 5948.83 | 41001.92 |
| VINEX | 2011-04-29 | 2011-06-30 | $10.94 | $10.37 | Long | 3204.0 | -5.19% | 5735.50 | 39182.76 |
| VFINX | 2011-06-30 | 2012-10-31 | $98.66 | $108.39 | Long | 339.0 | 9.86% | 6160.41 | 42479.15 |
| VINEX | 2012-10-31 | 2013-03-28 | $9.24 | $10.26 | Long | 3931.0 | 11.07% | 6855.98 | 46498.46 |
| VFINX | 2013-03-28 | 2013-04-30 | $121.60 | $123.92 | Long | 326.0 | 1.91% | 6860.55 | 47255.07 |
| VINEX | 2013-04-30 | 2013-05-31 | $10.64 | $10.59 | Long | 3796.0 | -0.49% | 6858.11 | 47056.21 |
| VFINX | 2013-05-31 | 2013-08-30 | $126.81 | $127.61 | Long | 317.0 | 0.63% | 6867.49 | 47311.45 |
| VINEX | 2013-08-30 | 2014-04-30 | $10.86 | $13.01 | Long | 3725.0 | 19.81% | 8090.79 | 55324.29 |
| VFINX | 2014-04-30 | 2015-03-31 | $149.00 | $166.51 | Long | 317.0 | 11.75% | 8833.48 | 60874.68 |
| VINEX | 2015-03-31 | 2015-10-30 | $13.07 | $13.14 | Long | 3981.0 | 0.51% | 9001.41 | 61139.75 |
| VFINX | 2015-10-30 | 2016-09-30 | $169.28 | $179.97 | Long | 308.0 | 6.32% | 9349.38 | 64432.57 |
| VINEX | 2016-09-30 | 2016-10-31 | $13.56 | $13.13 | Long | 4062.0 | -3.17% | 9156.72 | 62688.43 |
| VFINX | 2016-10-31 | 2017-03-31 | $176.67 | $198.06 | Long | 303.0 | 12.11% | 10031.39 | 69169.12 |
| VINEX | 2017-03-31 | 2017-11-30 | $14.34 | $17.49 | Long | 4125.0 | 21.99% | 12034.08 | 82172.19 |
| VFINX | 2017-11-30 | 2018-03-29 | $224.80 | $225.47 | Long | 312.0 | 0.30% | 11957.00 | 82381.65 |
| VINEX | 2018-03-29 | 2018-05-31 | $17.78 | $17.68 | Long | 3960.0 | -0.61% | 11970.63 | 81954.24 |
| VFINX | 2018-05-31 | 2019-12-31 | $231.73 | $284.98 | Long | 302.0 | 22.98% | 14214.93 | 98033.12 |
| VINEX | 2019-12-31 | 2020-01-31 | $16.59 | $15.92 | Long | 5053.0 | -4.02% | 13773.20 | 94665.43 |
| VFINX | 2020-01-31 | 2020-03-12 | $284.83 | $219.62 | Long | 284.0 | -22.89% | 76146.48 | 76146.48 |
| VFINX | 2020-03-30 | 2020-09-30 | $232.73 | $300.56 | Long | 279.0 | 29.15% | 13791.70 | 95070.92 |
| VINEX | 2020-09-30 | 2021-03-31 | $16.07 | $19.59 | Long | 5058.0 | 21.94% | 16681.10 | 112902.45 |
| VFINX | 2021-03-31 | 2022-11-30 | $357.70 | $375.87 | Long | 269.0 | 5.08% | 17094.80 | 117789.49 |