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

MetricMeasure
AccountNamedefault
NoOfTrades43.00
NoOfWins30.00
NoOfLosses13.00
SharpRatio0.84
SortinoRatio1.10
GrossProfit$26884.22
FirstDate2015-10-29
LastDate2023-02-28
FirstEquity$10000.00
FinalEquity$36884.22
OpenEquity$31522.02
LongEquity$26884.22
ShortEquity$0.00
PercentWins69.77%
AveWin7.41%
AveLoss-4.19%
AveWinLoss1.77
Expectancy3.90%
AveDrawUp45.47%
AveDrawDown-14.82%
MaxDrawDown-24.96%
Kelly52.67%
Thorpe62.17
APR19.48%
CalmarRatio1.31

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
UBT2015-10-292015-10-30$35.14$35.60Long243.01.29%1468.4710110.21
TBF2015-10-302015-11-30$23.61$23.77Long366.00.69%1503.8510169.95
UBT2015-11-302016-04-29$35.09$40.08Long247.014.23%1682.6911403.04
XLB2016-04-292016-05-31$40.84$40.70Long238.0-0.34%1685.2711370.02
XLU2016-05-312016-06-30$39.21$42.20Long247.07.62%1759.4012108.39
UBT2016-06-302016-07-29$46.20$48.21Long224.04.34%1822.7512557.80
XLB2016-07-292016-08-31$42.43$42.32Long253.0-0.27%1849.3612529.14
XLE2016-08-312016-10-31$50.62$51.00Long211.00.77%1834.3212611.39
XLK2016-10-312016-11-30$43.81$43.88Long246.00.17%1848.1412629.57
XLF2016-11-302017-04-28$19.78$20.85Long545.05.39%1964.4613210.31
XLK2017-04-282017-06-30$50.66$51.18Long222.01.03%1968.4413326.38
XLV2017-06-302017-07-31$71.89$72.48Long158.00.82%1978.6913419.55
XLK2017-07-312017-08-31$53.46$55.02Long214.02.92%2019.6913753.80
UBT2017-08-312017-09-29$40.32$38.39Long291.0-4.79%1930.0813191.16
XLK2017-09-292017-11-30$55.47$59.92Long203.08.02%2050.7914094.33
XLF2017-11-302017-12-29$24.58$25.04Long490.01.88%2091.1714321.35
XLK2017-12-292018-01-31$60.25$64.49Long203.07.04%2222.5115181.96
XLY2018-01-312018-02-28$102.04$98.50Long127.0-3.47%2144.7014732.38
XLK2018-02-282018-03-29$64.22$61.82Long196.0-3.73%2146.9714262.38
XLY2018-03-292018-04-30$96.15$98.44Long126.02.38%2158.4014550.64
XLE2018-04-302018-06-29$57.37$59.43Long216.03.60%2200.6914996.34
XLY2018-06-292018-07-31$104.03$105.90Long123.01.80%2245.5515226.96
XLK2018-07-312018-08-31$67.26$71.70Long193.06.60%2392.3816083.61
XLY2018-08-312018-09-28$111.31$111.90Long123.00.53%2348.4616156.44
XLV2018-09-282018-10-31$87.95$81.99Long157.0-6.78%2207.6515220.42
TBF2018-10-312018-12-31$23.28$21.68Long559.0-6.86%2078.2114328.40
UBT2018-12-312019-06-28$37.46$44.82Long327.019.65%2465.6516735.29
XLK2019-06-282019-07-31$75.10$77.73Long190.03.50%2501.9417234.47
UBT2019-07-312019-11-29$44.92$50.00Long328.011.32%2815.9118901.63
XLK2019-11-292020-01-31$85.11$92.33Long189.08.48%2976.5520266.29
UBT2020-01-312020-06-30$54.03$66.26Long320.022.63%3572.3624178.49
XLK2020-06-302020-09-30$102.01$114.18Long202.011.93%3865.8126636.84
XLY2020-09-302020-10-30$144.12$140.19Long158.0-2.73%3776.9126015.59
XLB2020-10-302020-11-30$60.10$67.53Long370.012.36%4201.3928764.62
XLI2020-11-302020-12-31$84.70$85.56Long290.01.01%4220.9129012.52
XLF2020-12-312021-01-29$28.24$27.73Long878.0-1.80%4156.2228566.81
XLE2021-01-292021-07-30$35.69$45.75Long684.028.20%5171.2035450.84
XLRE2021-07-302021-09-30$43.88$42.29Long690.0-3.62%5019.7834354.43
UBT2021-09-302021-10-29$51.65$53.97Long568.04.50%5217.2835673.22
XLE2021-10-292021-11-30$53.90$51.20Long565.0-5.01%4975.4234146.98
UBT2021-11-302022-01-31$56.86$50.20Long513.0-11.73%4456.6830726.41
TBF2022-01-312023-01-31$16.40$20.92Long1602.027.56%5513.4937965.31
XLB2023-01-312023-02-28$84.29$81.48Long385.0-3.33%5362.2036884.22

Signals

StrategyRatioSizeTickerDateStateTypeProfitTick
Sector0.900.85TBF2023-02-28HoldLong0.00%EOM
momentum  XLE  XLF  XLI  XLB  XLY  XLRE  XLV  XLK  XLU  XLP  UBT  TBF