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 | 51.00 |
| NoOfWins | 30.00 |
| NoOfLosses | 21.00 |
| SharpRatio | 0.69 |
| SortinoRatio | 0.85 |
| GrossProfit | $103024.52 |
| FirstDate | 1998-01-29 |
| LastDate | 2021-03-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $113024.52 |
| OpenEquity | $96297.84 |
| LongEquity | $103024.52 |
| ShortEquity | $0.00 |
| PercentWins | 58.82% |
| AveWin | 20.70% |
| AveLoss | -9.65% |
| AveWinLoss | 2.14 |
| Expectancy | 8.20% |
| AveDrawUp | 40.58% |
| AveDrawDown | -17.52% |
| MaxDrawDown | -47.59% |
| Kelly | 39.63% |
| Thrope | 72.72 |
| APR | 11.03% |
| CalmarRatio | 0.63 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| VFINX | 1998-01-29 | 1998-04-30 | $58.93 | $66.71 | Long | 145.0 | 13.21% | 1613.86 | 11129.05 |
| VINEX | 1998-04-30 | 1998-09-30 | $2.55 | $2.26 | Long | 3731.0 | -11.47% | 1498.42 | 10037.29 |
| VFINX | 1998-09-30 | 1999-03-31 | $61.43 | $78.29 | Long | 139.0 | 27.44% | 1795.70 | 12380.33 |
| VINEX | 1999-03-31 | 2000-05-31 | $2.86 | $5.03 | Long | 3699.0 | 75.84% | 3040.79 | 20408.23 |
| VFINX | 2000-05-31 | 2000-06-30 | $87.71 | $89.90 | Long | 198.0 | 2.49% | 3026.69 | 20840.15 |
| VINEX | 2000-06-30 | 2000-07-31 | $5.33 | $5.19 | Long | 3340.0 | -2.65% | 3010.43 | 20367.32 |
| VFINX | 2000-07-31 | 2001-02-28 | $88.56 | $77.25 | Long | 196.0 | -12.77% | 2635.08 | 18151.21 |
| VINEX | 2001-02-28 | 2001-03-30 | $4.56 | $4.18 | Long | 3404.0 | -8.31% | 2465.99 | 16861.40 |
| VFINX | 2001-03-30 | 2001-04-30 | $72.34 | $77.96 | Long | 199.0 | 7.77% | 2609.57 | 17980.01 |
| VINEX | 2001-04-30 | 2001-05-31 | $4.42 | $4.33 | Long | 3475.0 | -2.21% | 2575.46 | 17641.05 |
| VFINX | 2001-05-31 | 2001-09-20 | $78.47 | $61.72 | Long | 192.0 | -21.34% | 14426.04 | 14426.04 |
| VFINX | 2001-09-27 | 2002-03-28 | $63.88 | $72.41 | Long | 193.0 | 13.34% | 2331.12 | 16071.30 |
| VINEX | 2002-03-28 | 2002-09-24 | $3.80 | $3.01 | Long | 3619.0 | -20.66% | 13232.31 | 13232.31 |
| VINEX | 2002-09-27 | 2002-10-31 | $3.06 | $3.09 | Long | 3699.0 | 1.00% | 1943.34 | 13345.00 |
| VFINX | 2002-10-31 | 2003-04-30 | $56.44 | $58.94 | Long | 202.0 | 4.42% | 2010.70 | 13849.34 |
| VINEX | 2003-04-30 | 2006-07-31 | $3.27 | $8.72 | Long | 3622.0 | 166.73% | 4926.97 | 33588.07 |
| VFINX | 2006-07-31 | 2006-11-30 | $86.59 | $95.63 | Long | 331.0 | 10.44% | 5304.98 | 36579.79 |
| VINEX | 2006-11-30 | 2007-08-31 | $9.84 | $11.08 | Long | 3177.0 | 12.57% | 5954.02 | 40511.87 |
| VFINX | 2007-08-31 | 2007-10-31 | $101.94 | $107.41 | Long | 339.0 | 5.36% | 6152.15 | 42364.72 |
| VINEX | 2007-10-31 | 2007-11-30 | $11.98 | $11.01 | Long | 3023.0 | -8.06% | 5795.84 | 39447.19 |
| VFINX | 2007-11-30 | 2008-02-29 | $102.91 | $92.92 | Long | 327.0 | -9.71% | 5254.18 | 36180.36 |
| VINEX | 2008-02-29 | 2008-04-30 | $10.00 | $10.09 | Long | 3093.0 | 0.87% | 5310.52 | 36450.06 |
| VFINX | 2008-04-30 | 2008-10-06 | $97.01 | $74.74 | Long | 321.0 | -22.96% | 29300.63 | 29300.63 |
| VFINX | 2008-10-30 | 2008-11-20 | $67.56 | $53.42 | Long | 370.0 | -20.93% | 24067.37 | 24067.37 |
| VFINX | 2008-11-26 | 2009-02-27 | $63.07 | $52.66 | Long | 326.0 | -16.50% | 2998.05 | 20673.82 |
| VINEX | 2009-02-27 | 2009-11-30 | $4.84 | $8.32 | Long | 3649.0 | 71.82% | 4862.19 | 33368.64 |
| VFINX | 2009-11-30 | 2010-01-29 | $79.85 | $78.47 | Long | 357.0 | -1.73% | 4772.74 | 32875.94 |
| VINEX | 2010-01-29 | 2010-02-26 | $8.29 | $8.21 | Long | 3392.0 | -0.89% | 4798.26 | 32626.50 |
| VFINX | 2010-02-26 | 2010-06-30 | $80.90 | $75.94 | Long | 344.0 | -6.12% | 4486.14 | 30922.16 |
| VINEX | 2010-06-30 | 2011-02-28 | $7.86 | $10.56 | Long | 3365.0 | 34.43% | 5862.24 | 40024.05 |
| VFINX | 2011-02-28 | 2011-04-29 | $99.02 | $101.96 | Long | 345.0 | 2.97% | 5961.35 | 41040.12 |
| VINEX | 2011-04-29 | 2011-06-30 | $11.13 | $10.55 | Long | 3151.0 | -5.19% | 5719.99 | 39219.62 |
| VFINX | 2011-06-30 | 2012-10-31 | $99.11 | $108.88 | Long | 338.0 | 9.86% | 6166.19 | 42521.18 |
| VINEX | 2012-10-31 | 2013-03-28 | $9.40 | $10.44 | Long | 3867.0 | 11.07% | 6844.62 | 46544.50 |
| VFINX | 2013-03-28 | 2013-04-30 | $122.15 | $124.48 | Long | 325.0 | 1.91% | 6869.51 | 47302.21 |
| VINEX | 2013-04-30 | 2013-05-31 | $10.83 | $10.77 | Long | 3734.0 | -0.49% | 6850.37 | 47103.16 |
| VFINX | 2013-05-31 | 2013-08-30 | $127.38 | $128.19 | Long | 316.0 | 0.63% | 6867.28 | 47358.75 |
| VINEX | 2013-08-30 | 2014-04-30 | $11.05 | $13.24 | Long | 3665.0 | 19.81% | 8083.24 | 55381.00 |
| VFINX | 2014-04-30 | 2015-03-31 | $149.68 | $167.26 | Long | 316.0 | 11.75% | 8848.27 | 60938.94 |
| VINEX | 2015-03-31 | 2015-10-30 | $13.30 | $13.37 | Long | 3916.0 | 0.51% | 8999.81 | 61204.26 |
| VFINX | 2015-10-30 | 2016-09-30 | $170.05 | $180.79 | Long | 307.0 | 6.32% | 9361.25 | 64501.25 |
| VINEX | 2016-09-30 | 2016-10-31 | $13.80 | $13.36 | Long | 3996.0 | -3.17% | 9158.61 | 62755.30 |
| VFINX | 2016-10-31 | 2017-03-31 | $177.47 | $198.96 | Long | 302.0 | 12.11% | 10044.80 | 69243.86 |
| VINEX | 2017-03-31 | 2017-11-30 | $14.59 | $17.80 | Long | 4058.0 | 21.99% | 12030.46 | 82260.42 |
| VFINX | 2017-11-30 | 2018-03-29 | $225.82 | $226.49 | Long | 311.0 | 0.30% | 11966.67 | 82470.16 |
| VINEX | 2018-03-29 | 2018-05-31 | $18.10 | $17.99 | Long | 3896.0 | -0.61% | 11974.46 | 82042.26 |
| VFINX | 2018-05-31 | 2019-12-31 | $232.78 | $286.27 | Long | 301.0 | 22.98% | 14234.13 | 98140.49 |
| VINEX | 2019-12-31 | 2020-01-31 | $16.88 | $16.20 | Long | 4971.0 | -4.02% | 13796.77 | 94769.25 |
| VFINX | 2020-01-31 | 2020-03-12 | $286.12 | $220.62 | Long | 283.0 | -22.89% | 76231.93 | 76231.93 |
| VFINX | 2020-03-30 | 2020-09-30 | $233.78 | $301.92 | Long | 278.0 | 29.15% | 13807.90 | 95173.95 |
| VINEX | 2020-09-30 | 2021-03-31 | $16.35 | $19.94 | Long | 4976.0 | 21.94% | 16726.68 | 113024.52 |