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 39.00
NoOfWins 28.00
NoOfLosses 11.00
SharpRatio 0.89
SortinoRatio 1.14
GrossProfit $24496.37
FirstDate 2015-10-29
LastDate 2022-02-28
FirstEquity $10000.00
FinalEquity $34496.37
OpenEquity $0.00
LongEquity $24496.37
ShortEquity $0.00
PercentWins 71.79%
AveWin 7.70%
AveLoss -4.85%
AveWinLoss 1.59
Expectancy 4.16%
AveDrawUp 46.39%
AveDrawDown -12.18%
MaxDrawDown -28.75%
Kelly 54.02%
Thrope 63.77
APR 21.59%
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% 1661.98 11198.86
XLB 2016-04-29 2016-05-31 $41.29 $41.14 Long 231.0 -0.34% 1649.32 11166.46
XLU 2016-05-31 2016-06-30 $39.82 $42.86 Long 239.0 7.62% 1741.40 11892.06
UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 218.0 4.34% 1824.39 12332.86
XLB 2016-07-29 2016-08-31 $42.89 $42.78 Long 245.0 -0.27% 1817.90 12304.80
XLE 2016-08-31 2016-10-31 $51.66 $52.06 Long 203.0 0.77% 1817.55 12385.57
XLK 2016-10-31 2016-11-30 $44.03 $44.11 Long 240.0 0.17% 1801.25 12403.39
XLF 2016-11-30 2017-04-28 $20.00 $21.08 Long 530.0 5.39% 1925.66 12974.48
XLK 2017-04-28 2017-06-30 $50.92 $51.44 Long 217.0 1.03% 1929.50 13088.51
XLV 2017-06-30 2017-07-31 $72.46 $73.06 Long 154.0 0.82% 1949.33 13180.05
XLK 2017-07-31 2017-08-31 $53.74 $55.31 Long 209.0 2.92% 1966.62 13508.17
UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 284.0 -4.79% 1914.83 12954.76
XLK 2017-09-29 2017-11-30 $55.76 $60.23 Long 198.0 8.02% 2009.69 13840.19
XLF 2017-11-30 2017-12-29 $24.85 $25.32 Long 476.0 1.88% 2073.20 14063.19
XLK 2017-12-29 2018-01-31 $60.56 $64.82 Long 198.0 7.04% 2179.78 14906.90
XLY 2018-01-31 2018-02-28 $102.64 $99.08 Long 124.0 -3.47% 2136.05 14465.39
XLK 2018-02-28 2018-03-29 $64.55 $62.14 Long 191.0 -3.73% 2109.10 14005.03
XLY 2018-03-29 2018-04-30 $96.71 $99.02 Long 123.0 2.38% 2108.52 14288.07
XLE 2018-04-30 2018-06-29 $58.56 $60.66 Long 208.0 3.60% 2169.75 14726.11
XLY 2018-06-29 2018-07-31 $104.64 $106.52 Long 120.0 1.80% 2175.01 14952.43
XLK 2018-07-31 2018-08-31 $67.61 $72.07 Long 189.0 6.60% 2360.41 15795.61
XLY 2018-08-31 2018-09-28 $111.96 $112.56 Long 120.0 0.53% 2303.19 15867.07
XLV 2018-09-28 2018-10-31 $88.65 $82.64 Long 153.0 -6.78% 2195.52 14947.61
UBT 2018-10-31 2019-06-28 $32.61 $45.17 Long 391.0 38.51% 2949.28 19858.52
XLK 2019-06-28 2019-07-31 $75.49 $78.13 Long 224.0 3.50% 2976.58 20450.04
UBT 2019-07-31 2019-11-29 $45.27 $50.39 Long 386.0 11.32% 3265.26 22427.38
XLK 2019-11-29 2020-01-31 $85.55 $92.80 Long 224.0 8.48% 3524.01 24053.03
UBT 2020-01-31 2020-06-30 $54.45 $66.78 Long 377.0 22.63% 4192.90 28698.18
XLK 2020-06-30 2020-09-30 $102.53 $114.76 Long 239.0 11.93% 4658.97 31621.71
XLY 2020-09-30 2020-10-30 $144.96 $141.01 Long 186.0 -2.73% 4517.52 30886.10
XLB 2020-10-30 2020-11-30 $60.76 $68.27 Long 434.0 12.36% 5006.75 34145.65
XLI 2020-11-30 2020-12-31 $85.45 $86.31 Long 341.0 1.01% 5001.80 34439.73
XLF 2020-12-31 2021-01-29 $28.55 $28.04 Long 1031.0 -1.80% 4953.00 33910.49
XLE 2021-01-29 2021-07-30 $36.42 $46.70 Long 795.0 28.20% 6138.16 42076.78
XLRE 2021-07-30 2021-09-30 $44.70 $43.08 Long 804.0 -3.62% 5954.01 40775.46
UBT 2021-09-30 2021-10-29 $52.05 $54.39 Long 669.0 4.50% 6139.88 42340.92
XLE 2021-10-29 2021-11-30 $55.02 $52.26 Long 658.0 -5.01% 5911.53 40526.77
UBT 2021-11-30 2022-02-15 $57.31 $45.39 Long 604.0 -20.80% 33327.09 33327.09
UBT 2022-02-25 2022-02-28 $46.74 $48.66 Long 609.0 4.11% 34496.37 34496.37

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
Sector 0.90 0.00 Out EOM
momentum  XLE  XLF  XLI  XLB  XLY  XLRE  XLV  XLK  XLU  XLP  UBT