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 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

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Hanly 0.90 0.85 VFINX 2021-03-31 Hold Long -2.63% EOM