Strategy - Sector


Description

This concentrates on S&P 500 sectors using accelerating dual momentum.

This strategy uses the following risk-on assets: XLE, XLF, XLI, XLB, XLY, XLRE, XLV, XLK, XLU, XLP. with UBT being the risk off haven.

It will buy only two risk on assets at a time.

Trading happens on the Close of the signal day

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 63.00
NoOfWins 42.00
NoOfLosses 21.00
SharpRatio 0.80
SortinoRatio 1.02
GrossProfit $22737.65
FirstDate 2015-10-29
LastDate 2023-08-31
FirstEquity $10000.00
FinalEquity $32737.65
OpenEquity $26510.40
LongEquity $22737.65
ShortEquity $0.00
PercentWins 66.67%
AveWin 7.99%
AveLoss -4.07%
AveWinLoss 1.96
Expectancy 3.97%
AveDrawUp 40.80%
AveDrawDown -13.20%
MaxDrawDown -26.23%
Kelly 49.69%
Thorpe 66.90
Rachev 0.86
APR 16.33%
CalmarRatio 1.24

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
UBT 2015-10-29 2015-10-30 $34.47 $34.92 Long 234.0 1.29% 1928.33 10104.11
TBF 2015-10-30 2015-11-30 $23.10 $23.26 Long 354.0 0.69% 1934.54 10160.63
UBT 2015-11-30 2016-04-29 $34.42 $39.32 Long 239.0 14.23% 2200.04 11331.11
XLB 2016-04-29 2016-05-31 $40.44 $40.31 Long 113.0 -0.34% 2158.09 11384.35
XLRE 2016-05-31 2016-06-30 $24.71 $26.22 Long 186.0 6.10% 2318.66 12017.79
XLU 2016-04-29 2016-06-30 $38.01 $41.52 Long 120.0 9.25% 2318.66 12017.79
UBT 2016-06-30 2016-07-29 $45.32 $47.29 Long 214.0 4.34% 2403.84 12438.98
XLRE 2016-07-29 2016-08-31 $27.07 $26.06 Long 186.0 -3.74% 2356.88 12237.17
XLB 2016-07-29 2016-08-31 $42.02 $41.91 Long 119.0 -0.27% 2356.88 12237.17
XLF 2016-08-31 2016-09-30 $17.31 $16.81 Long 286.0 -2.88% 2197.55 12276.67
XLE 2016-08-31 2016-10-31 $49.80 $50.18 Long 99.0 0.77% 2282.77 12095.17
XLK 2016-09-30 2016-11-30 $43.96 $43.70 Long 113.0 -0.59% 2049.64 12788.67
XLE 2016-11-30 2016-12-30 $54.43 $55.37 Long 95.0 1.73% 2021.56 13087.35
XLI 2016-12-30 2017-02-28 $55.09 $58.31 Long 96.0 5.85% 2104.73 13717.28
XLF 2016-10-31 2017-04-28 $17.19 $20.66 Long 284.0 20.17% 2423.58 13723.22
XLY 2017-04-28 2017-05-31 $84.08 $85.00 Long 66.0 1.10% 2395.75 14011.57
XLU 2017-05-31 2017-06-30 $43.70 $42.52 Long 129.0 -2.71% 2390.82 13690.63
XLK 2017-02-28 2017-08-31 $48.37 $54.79 Long 114.0 13.27% 2718.31 14269.03
XLV 2017-06-30 2017-08-31 $71.30 $73.14 Long 77.0 2.59% 2718.31 14269.03
UBT 2017-08-31 2017-09-29 $39.56 $37.66 Long 292.0 -4.79% 2651.92 13715.18
XLF 2017-09-29 2017-10-31 $22.89 $23.54 Long 242.0 2.86% 2607.76 14233.54
XLB 2017-10-31 2017-11-30 $52.20 $52.70 Long 110.0 0.95% 2606.79 14371.23
XLK 2017-09-29 2018-01-31 $55.24 $64.21 Long 100.0 16.25% 2827.20 15322.30
XLF 2017-11-30 2018-02-28 $24.36 $25.67 Long 238.0 5.39% 2925.66 14923.06
XLK 2018-02-28 2018-04-30 $63.95 $61.60 Long 94.0 -3.67% 2789.33 14698.42
XLY 2018-01-31 2018-05-31 $101.66 $100.02 Long 61.0 -1.61% 2838.63 14994.72
XLK 2018-05-31 2018-06-29 $65.78 $65.61 Long 92.0 -0.26% 2863.69 15014.61
XLE 2018-04-30 2018-07-31 $56.45 $59.39 Long 105.0 5.21% 2965.60 15218.35
XLY 2018-06-29 2018-07-31 $103.64 $105.50 Long 58.0 1.80% 2965.60 15218.35
XLK 2018-07-31 2018-08-31 $66.98 $71.40 Long 92.0 6.60% 3102.57 15888.66
XLY 2018-08-31 2018-09-28 $110.89 $111.48 Long 58.0 0.53% 3072.34 16110.57
XLV 2018-07-31 2018-10-31 $81.21 $81.32 Long 75.0 0.13% 2896.81 15147.10
XLK 2018-09-28 2018-10-31 $71.38 $65.67 Long 91.0 -8.00% 2896.81 15147.10
TBF 2018-10-31 2018-12-31 $22.77 $21.21 Long 538.0 -6.86% 2730.92 14307.34
UBT 2018-12-31 2019-06-28 $36.75 $43.97 Long 315.0 19.65% 3279.17 16581.85
XLK 2019-06-28 2019-07-31 $74.79 $77.40 Long 89.0 3.50% 3239.97 16899.45
XLY 2019-06-28 2019-07-31 $114.60 $116.06 Long 58.0 1.28% 3239.97 16899.45
UBT 2019-07-31 2019-11-29 $44.06 $49.05 Long 310.0 11.32% 3525.89 18445.19
XLF 2019-11-29 2019-12-31 $27.74 $28.46 Long 269.0 2.61% 3504.87 18961.98
XLV 2019-12-31 2020-01-31 $95.96 $93.40 Long 80.0 -2.67% 3643.48 19067.61
XLK 2019-11-29 2020-01-31 $84.75 $91.94 Long 88.0 8.48% 3643.48 19067.61
UBT 2020-01-31 2020-06-30 $53.00 $65.00 Long 291.0 22.63% 4429.85 22557.67
XLK 2020-06-30 2020-09-30 $101.58 $113.70 Long 89.0 11.93% 4417.09 25029.97
XLY 2020-06-30 2020-11-30 $124.48 $153.62 Long 73.0 23.40% 4792.65 26933.20
XLB 2020-09-30 2020-12-31 $59.95 $68.54 Long 169.0 14.32% 5321.79 27323.42
XLI 2020-11-30 2021-01-29 $84.02 $81.24 Long 129.0 -3.30% 5022.70 26657.35
XLF 2020-12-31 2021-06-30 $27.98 $35.12 Long 395.0 25.50% 5172.92 33968.48
XLE 2021-01-29 2021-07-30 $35.11 $45.01 Long 307.0 28.20% 5498.61 33349.54
XLF 2021-07-30 2021-08-31 $34.96 $36.76 Long 386.0 5.15% 5826.51 34446.61
XLK 2021-08-31 2021-09-30 $155.74 $146.65 Long 89.0 -5.84% 6217.88 32715.28
XLRE 2021-06-30 2021-09-30 $41.21 $41.55 Long 333.0 0.84% 6217.88 32715.28
UBT 2021-09-30 2021-10-29 $50.66 $52.94 Long 523.0 4.50% 6577.88 33906.52
XLY 2021-10-29 2021-11-30 $197.76 $201.00 Long 69.0 1.64% 6388.66 33444.01
XLE 2021-10-29 2021-11-30 $53.04 $50.38 Long 258.0 -5.01% 6388.66 33444.01
UBT 2021-11-30 2022-01-31 $55.78 $49.24 Long 485.0 -11.73% 5762.76 30271.58
TBF 2022-01-31 2023-01-31 $16.04 $20.46 Long 1528.0 27.56% 7107.45 37025.24
XLB 2023-01-31 2023-02-28 $83.47 $80.69 Long 179.0 -3.33% 6752.36 35488.31
XLE 2023-01-31 2023-02-28 $87.58 $81.51 Long 171.0 -6.94% 6752.36 35488.31
TBF 2023-02-28 2023-03-31 $21.62 $20.67 Long 1329.0 -4.41% 6506.70 34220.58
UBT 2023-03-31 2023-05-31 $26.55 $24.82 Long 1044.0 -6.50% 6179.26 32418.05
TBF 2023-05-31 2023-06-30 $21.40 $21.50 Long 1226.0 0.44% 6470.07 32533.76
XLK 2023-06-30 2023-08-31 $173.49 $175.29 Long 75.0 1.04% 6227.26 32737.65
XLY 2023-06-30 2023-08-31 $169.50 $170.40 Long 77.0 0.53% 6227.26 32737.65

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
Sector 0.81 TBF 2023-08-31 Hold Long 3.94% EOM
momentum  XLE  XLF  XLI  XLB  XLY  XLRE  XLV  XLK  XLU  XLP  UBT  TBF