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 24.00
NoOfWins 18.00
NoOfLosses 6.00
SharpRatio 0.66
SortinoRatio 0.80
GrossProfit $23363.41
FirstDate 2010-12-30
LastDate 2023-05-31
FirstEquity $10000.00
FinalEquity $33363.41
OpenEquity $30047.44
LongEquity $23363.41
ShortEquity $0.00
PercentWins 75.00%%
AveWin 10.37%
AveLoss -6.06%
AveWinLoss 1.71
Expectancy 6.26%
AveDrawUp 30.47%
AveDrawDown -11.82%
MaxDrawDown -28.04%
Kelly 60.38%
Thorpe 70.89
Rachev 0.88
APR 10.19%
CalmarRatio 0.86

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
VINEX 2010-12-30 2011-02-28 $10.09 $10.38 Long 894.0 2.91% 1064.92 10261.98
VFINX 2011-02-28 2011-04-29 $97.84 $100.75 Long 94.0 2.97% 1028.31 10535.53
VINEX 2011-04-29 2011-06-30 $10.94 $10.37 Long 869.0 -5.19% 1032.43 10042.13
VFINX 2011-06-30 2012-10-31 $97.93 $107.58 Long 92.0 9.86% 1072.01 10930.08
VINEX 2012-10-31 2013-03-28 $9.24 $10.26 Long 1067.0 11.07% 1278.80 12021.05
VFINX 2013-03-28 2013-04-30 $120.70 $123.00 Long 89.0 1.91% 1201.65 12226.08
VINEX 2013-04-30 2013-05-31 $10.64 $10.59 Long 1036.0 -0.49% 1221.47 12171.80
VFINX 2013-05-31 2013-08-30 $125.87 $126.67 Long 87.0 0.63% 1199.32 12241.33
VINEX 2013-08-30 2014-04-30 $10.86 $13.01 Long 1017.0 19.81% 1414.26 14429.00
VFINX 2014-04-30 2015-03-31 $147.89 $165.27 Long 88.0 11.75% 1565.65 15958.36
VINEX 2015-03-31 2015-10-30 $13.07 $13.14 Long 1101.0 0.51% 1581.70 16031.67
VFINX 2015-10-30 2016-09-30 $168.02 $178.63 Long 86.0 6.32% 1661.46 16944.26
VINEX 2016-09-30 2016-10-31 $13.56 $13.13 Long 1127.0 -3.17% 1730.11 16460.35
VFINX 2016-10-31 2017-03-31 $175.36 $196.59 Long 84.0 12.11% 1785.42 18243.63
VINEX 2017-03-31 2017-11-30 $14.34 $17.49 Long 1148.0 21.99% 2226.83 21862.43
VFINX 2017-11-30 2018-03-29 $223.13 $223.80 Long 88.0 0.30% 2145.25 21921.07
VINEX 2018-03-29 2018-05-31 $17.78 $17.68 Long 1112.0 -0.61% 2249.98 21801.04
VFINX 2018-05-31 2019-12-31 $230.01 $282.86 Long 85.0 22.98% 2572.38 26292.94
VINEX 2019-12-31 2020-01-31 $16.59 $15.92 Long 1430.0 -4.02% 2722.60 25339.88
VFINX 2020-01-31 2020-03-12 $282.72 $217.99 Long 80.0 -22.89% 20162.03 20162.03
VFINX 2020-03-30 2020-09-30 $231.00 $298.32 Long 78.0 29.15% 2482.34 25413.43
VINEX 2020-09-30 2021-03-31 $16.07 $19.59 Long 1427.0 21.94% 3105.87 30444.19
VFINX 2021-03-31 2022-11-30 $355.04 $373.08 Long 77.0 5.08% 3115.55 31832.69
VINEX 2022-11-30 2023-05-31 $15.39 $16.21 Long 1866.0 5.33% 3315.97 33363.41

Signals

Strategy Ratio Size Ticker Date State Type Profit TimeFrame
Hanly 0.95 0.90 VFINX 2023-05-31 Hold Long 4.06% EOM