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 | 43.00 |
| NoOfWins | 30.00 |
| NoOfLosses | 13.00 |
| SharpRatio | 0.84 |
| SortinoRatio | 1.10 |
| GrossProfit | $26884.22 |
| FirstDate | 2015-10-29 |
| LastDate | 2023-02-28 |
| FirstEquity | $10000.00 |
| FinalEquity | $36884.22 |
| OpenEquity | $31522.02 |
| LongEquity | $26884.22 |
| ShortEquity | $0.00 |
| PercentWins | 69.77% |
| AveWin | 7.41% |
| AveLoss | -4.19% |
| AveWinLoss | 1.77 |
| Expectancy | 3.90% |
| AveDrawUp | 45.47% |
| AveDrawDown | -14.82% |
| MaxDrawDown | -24.96% |
| Kelly | 52.67% |
| Thorpe | 62.17 |
| APR | 19.48% |
| CalmarRatio | 1.31 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| UBT | 2015-10-29 | 2015-10-30 | $35.14 | $35.60 | Long | 243.0 | 1.29% | 1468.47 | 10110.21 |
| TBF | 2015-10-30 | 2015-11-30 | $23.61 | $23.77 | Long | 366.0 | 0.69% | 1503.85 | 10169.95 |
| UBT | 2015-11-30 | 2016-04-29 | $35.09 | $40.08 | Long | 247.0 | 14.23% | 1682.69 | 11403.04 |
| XLB | 2016-04-29 | 2016-05-31 | $40.84 | $40.70 | Long | 238.0 | -0.34% | 1685.27 | 11370.02 |
| XLU | 2016-05-31 | 2016-06-30 | $39.21 | $42.20 | Long | 247.0 | 7.62% | 1759.40 | 12108.39 |
| UBT | 2016-06-30 | 2016-07-29 | $46.20 | $48.21 | Long | 224.0 | 4.34% | 1822.75 | 12557.80 |
| XLB | 2016-07-29 | 2016-08-31 | $42.43 | $42.32 | Long | 253.0 | -0.27% | 1849.36 | 12529.14 |
| XLE | 2016-08-31 | 2016-10-31 | $50.62 | $51.00 | Long | 211.0 | 0.77% | 1834.32 | 12611.39 |
| XLK | 2016-10-31 | 2016-11-30 | $43.81 | $43.88 | Long | 246.0 | 0.17% | 1848.14 | 12629.57 |
| XLF | 2016-11-30 | 2017-04-28 | $19.78 | $20.85 | Long | 545.0 | 5.39% | 1964.46 | 13210.31 |
| XLK | 2017-04-28 | 2017-06-30 | $50.66 | $51.18 | Long | 222.0 | 1.03% | 1968.44 | 13326.38 |
| XLV | 2017-06-30 | 2017-07-31 | $71.89 | $72.48 | Long | 158.0 | 0.82% | 1978.69 | 13419.55 |
| XLK | 2017-07-31 | 2017-08-31 | $53.46 | $55.02 | Long | 214.0 | 2.92% | 2019.69 | 13753.80 |
| UBT | 2017-08-31 | 2017-09-29 | $40.32 | $38.39 | Long | 291.0 | -4.79% | 1930.08 | 13191.16 |
| XLK | 2017-09-29 | 2017-11-30 | $55.47 | $59.92 | Long | 203.0 | 8.02% | 2050.79 | 14094.33 |
| XLF | 2017-11-30 | 2017-12-29 | $24.58 | $25.04 | Long | 490.0 | 1.88% | 2091.17 | 14321.35 |
| XLK | 2017-12-29 | 2018-01-31 | $60.25 | $64.49 | Long | 203.0 | 7.04% | 2222.51 | 15181.96 |
| XLY | 2018-01-31 | 2018-02-28 | $102.04 | $98.50 | Long | 127.0 | -3.47% | 2144.70 | 14732.38 |
| XLK | 2018-02-28 | 2018-03-29 | $64.22 | $61.82 | Long | 196.0 | -3.73% | 2146.97 | 14262.38 |
| XLY | 2018-03-29 | 2018-04-30 | $96.15 | $98.44 | Long | 126.0 | 2.38% | 2158.40 | 14550.64 |
| XLE | 2018-04-30 | 2018-06-29 | $57.37 | $59.43 | Long | 216.0 | 3.60% | 2200.69 | 14996.34 |
| XLY | 2018-06-29 | 2018-07-31 | $104.03 | $105.90 | Long | 123.0 | 1.80% | 2245.55 | 15226.96 |
| XLK | 2018-07-31 | 2018-08-31 | $67.26 | $71.70 | Long | 193.0 | 6.60% | 2392.38 | 16083.61 |
| XLY | 2018-08-31 | 2018-09-28 | $111.31 | $111.90 | Long | 123.0 | 0.53% | 2348.46 | 16156.44 |
| XLV | 2018-09-28 | 2018-10-31 | $87.95 | $81.99 | Long | 157.0 | -6.78% | 2207.65 | 15220.42 |
| TBF | 2018-10-31 | 2018-12-31 | $23.28 | $21.68 | Long | 559.0 | -6.86% | 2078.21 | 14328.40 |
| UBT | 2018-12-31 | 2019-06-28 | $37.46 | $44.82 | Long | 327.0 | 19.65% | 2465.65 | 16735.29 |
| XLK | 2019-06-28 | 2019-07-31 | $75.10 | $77.73 | Long | 190.0 | 3.50% | 2501.94 | 17234.47 |
| UBT | 2019-07-31 | 2019-11-29 | $44.92 | $50.00 | Long | 328.0 | 11.32% | 2815.91 | 18901.63 |
| XLK | 2019-11-29 | 2020-01-31 | $85.11 | $92.33 | Long | 189.0 | 8.48% | 2976.55 | 20266.29 |
| UBT | 2020-01-31 | 2020-06-30 | $54.03 | $66.26 | Long | 320.0 | 22.63% | 3572.36 | 24178.49 |
| XLK | 2020-06-30 | 2020-09-30 | $102.01 | $114.18 | Long | 202.0 | 11.93% | 3865.81 | 26636.84 |
| XLY | 2020-09-30 | 2020-10-30 | $144.12 | $140.19 | Long | 158.0 | -2.73% | 3776.91 | 26015.59 |
| XLB | 2020-10-30 | 2020-11-30 | $60.10 | $67.53 | Long | 370.0 | 12.36% | 4201.39 | 28764.62 |
| XLI | 2020-11-30 | 2020-12-31 | $84.70 | $85.56 | Long | 290.0 | 1.01% | 4220.91 | 29012.52 |
| XLF | 2020-12-31 | 2021-01-29 | $28.24 | $27.73 | Long | 878.0 | -1.80% | 4156.22 | 28566.81 |
| XLE | 2021-01-29 | 2021-07-30 | $35.69 | $45.75 | Long | 684.0 | 28.20% | 5171.20 | 35450.84 |
| XLRE | 2021-07-30 | 2021-09-30 | $43.88 | $42.29 | Long | 690.0 | -3.62% | 5019.78 | 34354.43 |
| UBT | 2021-09-30 | 2021-10-29 | $51.65 | $53.97 | Long | 568.0 | 4.50% | 5217.28 | 35673.22 |
| XLE | 2021-10-29 | 2021-11-30 | $53.90 | $51.20 | Long | 565.0 | -5.01% | 4975.42 | 34146.98 |
| UBT | 2021-11-30 | 2022-01-31 | $56.86 | $50.20 | Long | 513.0 | -11.73% | 4456.68 | 30726.41 |
| TBF | 2022-01-31 | 2023-01-31 | $16.40 | $20.92 | Long | 1602.0 | 27.56% | 5513.49 | 37965.31 |
| XLB | 2023-01-31 | 2023-02-28 | $84.29 | $81.48 | Long | 385.0 | -3.33% | 5362.20 | 36884.22 |