Strategy - Hanly


Hanly's Accelerating Dual Momentum

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