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 $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
momentum  XLE  XLF  XLI  XLB  XLY  XLRE  XLV  XLK  XLU  XLP  UBT