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 |