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 34.00
    NoOfWins 26.00
    NoOfLosses 8.00
    SharpRatio 1.12
    SortinoRatio 1.43
    GrossProfit $31642.85
    FirstDate 2015-10-30
    LastDate 2021-07-30
    FirstEquity $10000.00
    FinalEquity $41642.85
    OpenEquity $35573.46
    LongEquity $31642.85
    ShortEquity $0.00
    PercentWins 76.47%
    AveWin $1357.55
    AveLoss $-456.68
    AveWinLoss 2.97
    Expectancy 5.82%
    AveDrawUp 42.95%
    AveDrawDown -10.72%
    MaxDrawDown -24.97%
    Kelly 68.56%
    Thrope 80.41
    APR 28.16%
    CalmarRatio 2.63

    Trades

    Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
    UBT 2015-10-30 2016-04-29 $35.87 $40.39 Long 238.0 12.59% 1629.39 11075.15
    XLB 2016-04-29 2016-05-31 $42.36 $42.21 Long 223.0 -0.34% 1626.63 11043.06
    XLU 2016-05-31 2016-06-30 $41.30 $44.45 Long 228.0 7.62% 1750.00 11760.98
    UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 215.0 4.34% 1810.32 12195.71
    XLB 2016-07-29 2016-08-31 $44.01 $43.89 Long 236.0 -0.27% 1786.52 12167.98
    XLE 2016-08-31 2016-10-31 $54.64 $55.06 Long 190.0 0.77% 1790.64 12247.94
    XLK 2016-10-31 2016-11-30 $44.50 $44.57 Long 235.0 0.17% 1778.93 12265.58
    XLF 2016-11-30 2017-04-28 $20.48 $21.58 Long 512.0 5.39% 1870.58 12830.44
    XLK 2017-04-28 2017-06-30 $51.45 $51.99 Long 213.0 1.03% 1943.84 12943.56
    XLV 2017-06-30 2017-07-31 $73.82 $74.43 Long 149.0 0.82% 1901.49 13033.79
    XLK 2017-07-31 2017-08-31 $54.30 $55.89 Long 205.0 2.92% 1939.40 13359.03
    UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 281.0 -4.79% 1880.16 12811.46
    XLK 2017-09-29 2017-11-30 $56.35 $60.87 Long 194.0 8.02% 2007.78 13688.19
    XLF 2017-11-30 2017-12-29 $25.45 $25.93 Long 459.0 1.88% 2036.33 13908.36
    XLK 2017-12-29 2018-01-31 $61.20 $65.50 Long 194.0 7.04% 2213.44 14743.77
    XLY 2018-01-31 2018-02-28 $103.56 $99.96 Long 121.0 -3.47% 2110.27 14309.08
    XLK 2018-02-28 2018-03-29 $65.23 $62.80 Long 187.0 -3.73% 2046.39 13853.60
    XLY 2018-03-29 2018-04-30 $97.58 $99.90 Long 121.0 2.38% 2057.61 14134.53
    XLE 2018-04-30 2018-06-29 $61.93 $64.16 Long 195.0 3.60% 2216.88 14568.88
    XLY 2018-06-29 2018-07-31 $105.57 $107.48 Long 117.0 1.80% 2152.22 14791.51
    XLK 2018-07-31 2018-08-31 $68.32 $72.83 Long 185.0 6.60% 2296.09 15625.58
    XLY 2018-08-31 2018-09-28 $112.96 $113.56 Long 118.0 0.53% 2329.15 15696.48
    XLV 2018-09-28 2018-10-31 $90.32 $84.20 Long 148.0 -6.78% 2168.71 14790.34
    UBT 2018-10-31 2019-06-28 $32.61 $45.17 Long 387.0 38.51% 2868.06 19651.01
    XLK 2019-06-28 2019-07-31 $76.29 $78.95 Long 220.0 3.50% 2945.73 20238.11
    UBT 2019-07-31 2019-11-29 $45.27 $50.39 Long 382.0 11.32% 3262.40 22194.96
    XLK 2019-11-29 2020-01-31 $86.45 $93.78 Long 219.0 8.48% 3489.93 23801.13
    UBT 2020-01-31 2020-06-30 $54.45 $66.78 Long 373.0 22.63% 4150.60 28397.00
    XLK 2020-06-30 2020-09-30 $103.62 $115.98 Long 234.0 11.93% 4670.68 31289.65
    XLY 2020-09-30 2020-10-30 $146.26 $142.27 Long 182.0 -2.73% 4444.90 30563.41
    XLB 2020-10-30 2020-11-30 $62.34 $70.04 Long 419.0 12.36% 4953.16 33792.05
    XLI 2020-11-30 2020-12-31 $87.13 $88.01 Long 331.0 1.01% 4965.42 34083.10
    XLF 2020-12-31 2021-01-29 $29.23 $28.71 Long 996.0 -1.80% 4896.69 33559.62
    XLE 2021-01-29 2021-07-30 $38.53 $49.39 Long 744.0 28.20% 6069.39 41642.85

    Signals

    Strategy Ratio Size Ticker Date State Type Profit Tick
    Sector 0.90 0.85 XLRE 2021-07-30 Hold Long 1.94% EOM
    momentum  XLE  XLF  XLI  XLB  XLY  XLRE  XLV  XLK  XLU  XLP  UBT