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 |