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 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

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Hanly 0.90 0.85 VINEX 2022-11-30 Hold Long 0.00% EOM