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 72.00
NoOfWins 48.00
NoOfLosses 24.00
SharpRatio 1.23
SortinoRatio 1.61
GrossProfit $379253.97
FirstDate 1998-01-29
LastDate 2022-04-29
FirstEquity $10000.00
FinalEquity $389253.97
OpenEquity $332803.56
LongEquity $379253.97
ShortEquity $0.00
PercentWins 66.67%
AveWin $10810.17
AveLoss $-5818.08
AveWinLoss 1.86
Expectancy 4.03%
AveDrawUp 37.44%
AveDrawDown -11.13%
MaxDrawDown -28.87%
Kelly 48.73%
Thrope 158.93
APR 16.30%
CalmarRatio 1.46

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
VFINX 1998-01-29 1998-04-30 $59.39 $67.24 Long 143.0 13.21% 1614.72 11122.25
VINEX 1998-04-30 1998-08-31 $2.55 $2.38 Long 3728.0 -6.53% 1524.01 10501.58
VUSTX 1998-08-31 1998-10-30 $3.12 $3.17 Long 2879.0 1.54% 1599.20 10640.13
VFINX 1998-10-30 1999-03-31 $66.97 $78.90 Long 135.0 17.82% 1778.25 12251.28
VINEX 1999-03-31 2000-05-31 $2.86 $5.03 Long 3660.0 75.84% 2930.14 20194.54
VUSTX 2000-05-31 2000-08-31 $3.11 $3.30 Long 5547.0 5.97% 3122.59 21225.26
VFINX 2000-08-31 2000-09-29 $94.78 $89.77 Long 191.0 -5.29% 2939.59 20267.74
VUSTX 2000-09-29 2001-12-31 $3.27 $3.66 Long 5299.0 11.79% 3236.19 22310.96
VFINX 2001-12-31 2002-01-31 $72.80 $71.73 Long 262.0 -1.47% 3195.44 22029.95
VUSTX 2002-01-31 2002-03-28 $3.70 $3.60 Long 5091.0 -2.68% 3122.43 21524.94
VINEX 2002-03-28 2002-06-28 $3.80 $3.78 Long 4847.0 -0.50% 3107.86 21432.66
VUSTX 2002-06-28 2003-03-31 $3.82 $4.30 Long 4803.0 12.72% 3460.22 23764.35
VFINX 2003-03-31 2003-04-30 $54.88 $59.41 Long 370.0 8.25% 3691.30 25440.15
VINEX 2003-04-30 2004-07-30 $3.27 $5.31 Long 6654.0 62.37% 5657.67 39004.03
VUSTX 2004-07-30 2004-08-31 $4.41 $4.56 Long 7563.0 3.39% 5824.07 40133.20
VINEX 2004-08-31 2006-07-31 $5.35 $8.72 Long 6409.0 62.86% 8947.98 61699.10
VUSTX 2006-07-31 2006-08-31 $4.79 $4.92 Long 11023.0 2.74% 9185.58 63142.91
VFINX 2006-08-31 2006-11-30 $89.33 $96.38 Long 604.0 7.89% 9782.42 67400.13
VINEX 2006-11-30 2007-08-31 $9.84 $11.08 Long 5853.0 12.57% 10824.64 74644.22
VUSTX 2007-08-31 2007-09-28 $5.16 $5.17 Long 12364.0 0.21% 10943.89 74779.52
VFINX 2007-09-28 2007-10-31 $106.57 $108.25 Long 599.0 1.58% 10992.87 75787.38
VINEX 2007-10-31 2007-11-30 $11.98 $11.01 Long 5409.0 -8.06% 10232.35 70567.10
VUSTX 2007-11-30 2008-05-30 $5.49 $5.46 Long 10998.0 -0.51% 10246.72 70258.05
VFINX 2008-05-30 2008-06-30 $99.03 $90.67 Long 606.0 -8.44% 9455.98 65194.19
VUSTX 2008-06-30 2009-04-30 $5.56 $6.06 Long 10032.0 9.15% 10195.13 70291.88
VINEX 2009-04-30 2009-11-30 $5.96 $8.32 Long 10081.0 39.61% 13700.22 94099.20
VFINX 2009-11-30 2010-01-29 $80.48 $79.09 Long 999.0 -1.73% 13445.67 92709.59
VINEX 2010-01-29 2010-02-26 $8.29 $8.21 Long 9567.0 -0.89% 13407.52 92006.07
VFINX 2010-02-26 2010-05-28 $81.53 $80.78 Long 964.0 -0.92% 13241.01 91279.72
VUSTX 2010-05-28 2010-07-30 $6.36 $6.65 Long 12269.0 4.49% 13750.76 94781.33
VINEX 2010-07-30 2011-02-28 $8.60 $10.56 Long 9418.0 22.75% 16508.14 113214.66
VFINX 2011-02-28 2011-04-29 $99.80 $102.77 Long 969.0 2.97% 16844.03 116091.00
VINEX 2011-04-29 2011-06-30 $11.13 $10.55 Long 8915.0 -5.19% 16142.20 110940.35
VFINX 2011-06-30 2011-07-29 $99.89 $97.85 Long 949.0 -2.05% 15811.03 108999.96
VUSTX 2011-07-29 2011-10-31 $6.82 $7.89 Long 13664.0 15.73% 17970.77 123662.06
VFINX 2011-10-31 2011-11-30 $95.39 $95.17 Long 1108.0 -0.23% 17896.71 123415.10
VUSTX 2011-11-30 2011-12-30 $8.04 $8.29 Long 13130.0 3.13% 18377.94 126721.83
VFINX 2011-12-30 2012-05-31 $96.13 $101.03 Long 1127.0 5.09% 19176.79 132237.04
VUSTX 2012-05-31 2012-06-29 $8.79 $8.66 Long 12862.0 -1.44% 19008.29 130603.94
VFINX 2012-06-29 2012-10-31 $105.18 $109.74 Long 1061.0 4.33% 19643.52 135439.87
VINEX 2012-10-31 2013-03-28 $9.40 $10.44 Long 12317.0 11.07% 21567.96 148254.78
VFINX 2013-03-28 2013-04-30 $123.12 $125.47 Long 1029.0 1.91% 21848.98 150672.70
VINEX 2013-04-30 2013-05-31 $10.83 $10.77 Long 11897.0 -0.49% 21780.47 150038.50
VFINX 2013-05-31 2013-08-30 $128.39 $129.20 Long 999.0 0.63% 21876.78 150852.89
VINEX 2013-08-30 2014-04-30 $11.05 $13.24 Long 11674.0 19.81% 25700.38 176405.90
VFINX 2014-04-30 2015-03-31 $150.86 $168.58 Long 999.0 11.75% 28159.38 194115.24
VINEX 2015-03-31 2015-08-31 $13.30 $13.19 Long 12476.0 -0.85% 27943.01 192706.45
VUSTX 2015-08-31 2015-10-30 $9.15 $9.28 Long 17998.0 1.42% 28291.27 195051.38
VFINX 2015-10-30 2016-01-29 $171.39 $160.72 Long 973.0 -6.22% 26786.01 184675.23
VUSTX 2016-01-29 2016-03-31 $9.66 $9.94 Long 16346.0 2.91% 27507.19 189274.88
VFINX 2016-03-31 2016-09-30 $171.36 $182.21 Long 944.0 6.33% 28934.20 199514.96
VINEX 2016-09-30 2016-10-31 $13.80 $13.36 Long 12362.0 -3.17% 28299.79 194113.72
VFINX 2016-10-31 2017-03-31 $178.87 $200.53 Long 927.0 12.11% 31061.46 214187.59
VINEX 2017-03-31 2017-11-30 $14.59 $17.80 Long 12553.0 21.99% 37094.96 254452.97
VFINX 2017-11-30 2018-03-29 $227.60 $228.28 Long 955.0 0.30% 37004.53 255102.08
VINEX 2018-03-29 2018-04-30 $18.10 $18.14 Long 12052.0 0.23% 37068.00 255611.16
VUSTX 2018-04-30 2018-05-31 $9.52 $9.70 Long 22945.0 1.79% 37812.05 259526.50
VFINX 2018-05-31 2018-10-31 $234.62 $236.73 Long 945.0 0.90% 37928.07 261526.58
VUSTX 2018-10-31 2019-01-31 $9.21 $9.94 Long 24268.0 7.92% 40544.01 279245.91
VFINX 2019-01-31 2019-02-28 $237.28 $244.87 Long 1006.0 3.20% 41602.69 286885.59
VUSTX 2019-02-28 2019-03-29 $9.81 $10.35 Long 24993.0 5.47% 43700.89 300304.73
VFINX 2019-03-29 2019-05-31 $249.61 $243.17 Long 1028.0 -2.58% 42594.39 293682.63
VUSTX 2019-05-31 2019-06-28 $10.83 $10.94 Long 23180.0 1.01% 42965.83 296213.47
VFINX 2019-06-28 2019-12-31 $260.28 $288.52 Long 973.0 10.85% 46947.39 323698.28
VINEX 2019-12-31 2020-01-31 $16.88 $16.20 Long 16396.0 -4.02% 45541.34 312578.83
VFINX 2020-01-31 2020-02-28 $288.38 $264.61 Long 926.0 -8.24% 42143.44 290571.37
VUSTX 2020-02-28 2020-05-29 $12.91 $13.66 Long 19238.0 5.79% 44352.96 304951.61
VFINX 2020-05-29 2020-09-30 $274.03 $304.30 Long 951.0 11.05% 48404.07 333741.19
VINEX 2020-09-30 2021-03-31 $16.35 $19.94 Long 17450.0 21.94% 57727.21 396340.16
VFINX 2021-03-31 2022-01-31 $362.15 $415.78 Long 935.0 14.81% 64748.83 446478.27
VUSTX 2022-01-31 2022-03-31 $12.23 $11.40 Long 31225.0 -6.77% 61000.57 420652.57
VFINX 2022-03-31 2022-04-29 $418.20 $381.69 Long 860.0 -8.73% 56450.41 389253.97

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Hanly 0.90 0.85 VUSTX 2022-04-29 Hold Long -0.48% EOM