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 | 39.00 |
| NoOfWins | 28.00 |
| NoOfLosses | 11.00 |
| SharpRatio | 0.89 |
| SortinoRatio | 1.14 |
| GrossProfit | $24546.39 |
| FirstDate | 2015-10-29 |
| LastDate | 2022-02-28 |
| FirstEquity | $10000.00 |
| FinalEquity | $34546.39 |
| OpenEquity | $0.00 |
| LongEquity | $24546.39 |
| ShortEquity | $0.00 |
| PercentWins | 71.79% |
| AveWin | $1377.57 |
| AveLoss | $-1275.05 |
| AveWinLoss | 1.08 |
| Expectancy | 3.59% |
| AveDrawUp | 46.44% |
| AveDrawDown | -12.18% |
| MaxDrawDown | -28.76% |
| Kelly | 45.69% |
| Thrope | 63.77 |
| APR | 21.61% |
| CalmarRatio | 1.77 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| UBT | 2015-10-29 | 2016-04-29 | $35.42 | $40.39 | Long | 241.0 | 14.05% | 1627.19 | 11198.86 |
| XLB | 2016-04-29 | 2016-05-31 | $41.80 | $41.66 | Long | 229.0 | -0.34% | 1631.45 | 11166.35 |
| XLU | 2016-05-31 | 2016-06-30 | $40.40 | $43.48 | Long | 236.0 | 7.62% | 1742.63 | 11893.30 |
| UBT | 2016-06-30 | 2016-07-29 | $46.56 | $48.58 | Long | 218.0 | 4.34% | 1825.45 | 12334.09 |
| XLB | 2016-07-29 | 2016-08-31 | $43.42 | $43.31 | Long | 242.0 | -0.27% | 1802.91 | 12306.03 |
| XLE | 2016-08-31 | 2016-10-31 | $52.78 | $53.19 | Long | 199.0 | 0.77% | 1810.45 | 12386.92 |
| XLK | 2016-10-31 | 2016-11-30 | $44.25 | $44.33 | Long | 239.0 | 0.17% | 1813.23 | 12404.77 |
| XLF | 2016-11-30 | 2017-04-28 | $20.21 | $21.30 | Long | 524.0 | 5.39% | 1922.52 | 12975.28 |
| XLK | 2017-04-28 | 2017-06-30 | $51.17 | $51.70 | Long | 216.0 | 1.03% | 1912.61 | 13089.35 |
| XLV | 2017-06-30 | 2017-07-31 | $73.05 | $73.65 | Long | 153.0 | 0.82% | 1948.30 | 13181.04 |
| XLK | 2017-07-31 | 2017-08-31 | $54.00 | $55.58 | Long | 208.0 | 2.92% | 1967.67 | 13509.22 |
| UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 284.0 | -4.79% | 1916.85 | 12955.80 |
| XLK | 2017-09-29 | 2017-11-30 | $56.04 | $60.53 | Long | 197.0 | 8.02% | 2012.74 | 13841.16 |
| XLF | 2017-11-30 | 2017-12-29 | $25.11 | $25.59 | Long | 471.0 | 1.88% | 2075.18 | 14064.12 |
| XLK | 2017-12-29 | 2018-01-31 | $60.86 | $65.14 | Long | 197.0 | 7.04% | 2228.75 | 14907.76 |
| XLY | 2018-01-31 | 2018-02-28 | $103.08 | $99.51 | Long | 123.0 | -3.47% | 2141.95 | 14467.91 |
| XLK | 2018-02-28 | 2018-03-29 | $64.87 | $62.45 | Long | 190.0 | -3.73% | 2060.37 | 14007.68 |
| XLY | 2018-03-29 | 2018-04-30 | $97.13 | $99.44 | Long | 123.0 | 2.38% | 2087.66 | 14291.94 |
| XLE | 2018-04-30 | 2018-06-29 | $59.82 | $61.98 | Long | 204.0 | 3.60% | 2225.37 | 14730.88 |
| XLY | 2018-06-29 | 2018-07-31 | $105.09 | $106.98 | Long | 119.0 | 1.80% | 2183.06 | 14956.28 |
| XLK | 2018-07-31 | 2018-08-31 | $67.94 | $72.43 | Long | 188.0 | 6.60% | 2305.95 | 15799.18 |
| XLY | 2018-08-31 | 2018-09-28 | $112.44 | $113.04 | Long | 120.0 | 0.53% | 2375.47 | 15870.95 |
| XLV | 2018-09-28 | 2018-10-31 | $89.37 | $83.32 | Long | 151.0 | -6.78% | 2171.42 | 14956.13 |
| UBT | 2018-10-31 | 2019-06-28 | $32.61 | $45.17 | Long | 392.0 | 38.51% | 2886.01 | 19879.59 |
| XLK | 2019-06-28 | 2019-07-31 | $75.86 | $78.52 | Long | 224.0 | 3.50% | 3000.61 | 20474.06 |
| UBT | 2019-07-31 | 2019-11-29 | $45.27 | $50.39 | Long | 386.0 | 11.32% | 3279.67 | 22451.40 |
| XLK | 2019-11-29 | 2020-01-31 | $85.97 | $93.27 | Long | 223.0 | 8.48% | 3494.39 | 24077.87 |
| UBT | 2020-01-31 | 2020-06-30 | $54.45 | $66.78 | Long | 378.0 | 22.63% | 4210.87 | 28735.34 |
| XLK | 2020-06-30 | 2020-09-30 | $103.04 | $115.34 | Long | 238.0 | 11.93% | 4727.55 | 31661.16 |
| XLY | 2020-09-30 | 2020-10-30 | $145.59 | $141.62 | Long | 185.0 | -2.73% | 4538.01 | 30926.34 |
| XLB | 2020-10-30 | 2020-11-30 | $61.51 | $69.11 | Long | 429.0 | 12.36% | 4957.98 | 34188.34 |
| XLI | 2020-11-30 | 2020-12-31 | $86.23 | $87.10 | Long | 339.0 | 1.01% | 5026.66 | 34483.34 |
| XLF | 2020-12-31 | 2021-01-29 | $28.85 | $28.33 | Long | 1021.0 | -1.80% | 4926.73 | 33953.76 |
| XLE | 2021-01-29 | 2021-07-30 | $37.21 | $47.71 | Long | 780.0 | 28.20% | 6132.11 | 42139.67 |
| XLRE | 2021-07-30 | 2021-09-30 | $45.46 | $43.82 | Long | 792.0 | -3.62% | 5962.35 | 40835.85 |
| UBT | 2021-09-30 | 2021-10-29 | $52.05 | $54.39 | Long | 670.0 | 4.50% | 6148.55 | 42403.65 |
| XLE | 2021-10-29 | 2021-11-30 | $56.21 | $53.39 | Long | 645.0 | -5.01% | 5914.24 | 40586.79 |
| UBT | 2021-11-30 | 2022-02-15 | $57.31 | $45.39 | Long | 605.0 | -20.80% | 33375.19 | 33375.19 |
| UBT | 2022-02-25 | 2022-02-28 | $46.74 | $48.66 | Long | 610.0 | 4.11% | 34546.39 | 34546.39 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| Sector | 0.90 | 0.00 | Out | EOM |