Accelerating Dual Momentum Classic
rotation
accelerating
multi-asset
systematic
monthly
momentum
equity
Classic Accelerating Dual Momentum scored with average of 1, 3, 6 months return
Jan 1, 2007 — present
·
$10,000 initial
·
updated Jun 13
·
Live
Performance Summary
Total P&L
+$46.0K
Annualised Return
+9.27%
Sharpe Ratio
0.62
Max Drawdown
−31.88%
Jan '22 – Oct '22
Simple Return
+460.50%
Win Rate
60.6%
Profit Factor
2.40
Volatility (Ann.)
16.42%
Period
1 Jan 2007 – Present
Initial Capital
$10K
Final Value
$56.0K
Total Return
+460.50%
Drift Tolerance
—
Rebalance Frequency
Monthly
Equity PerformanceAll Time – Present
vs INDEX:SP:GSPCAlpha +5.8%Beta 0.43Outperformed 60.68% of months
Strategy
Monthly Returns% · green = positive · red = negative
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | +1.67% | -1.95% | +1.15% | +4.39% | +3.37% | -1.45% | -3.11% | +2.42% | +2.78% | +1.34% | -3.84% | -2.12% | +4.3% |
| 2008 | +2.09% | -0.46% | +2.14% | -2.06% | -2.69% | -7.10% | -3.76% | +2.73% | +1.47% | -1.86% | +14.31% | +13.63% | +17.5% |
| 2009 | -13.05% | -1.53% | +4.04% | -6.94% | +11.94% | +1.74% | +8.40% | +6.40% | +4.91% | -2.51% | +0.96% | +2.44% | +15.2% |
| 2010 | -3.63% | +3.11% | +6.08% | +1.55% | -7.93% | +3.22% | -0.95% | -9.25% | +1.95% | +1.85% | -3.45% | +11.42% | +2.1% |
| 2011 | +0.69% | +2.28% | -0.30% | +1.60% | -3.49% | -1.26% | -1.69% | +6.72% | +13.17% | -3.82% | +5.79% | +3.87% | +24.8% |
| 2012 | +1.38% | +4.33% | +3.21% | -0.67% | -5.99% | -6.43% | +1.85% | +2.50% | +2.53% | -1.82% | +0.52% | +4.83% | +5.6% |
| 2013 | +4.25% | +1.32% | +2.23% | +3.57% | -4.00% | -2.48% | +5.16% | -2.99% | +5.89% | +2.99% | +0.30% | +3.11% | +20.4% |
| 2014 | -2.77% | +6.39% | -1.02% | -0.09% | +2.31% | +2.06% | -1.34% | +3.94% | -1.38% | +2.35% | +2.74% | -0.25% | +13.3% |
| 2015 | -2.96% | +5.60% | -1.57% | +2.42% | +1.70% | -1.64% | +0.86% | -4.66% | -2.75% | -0.41% | -1.33% | -1.72% | -6.7% |
| 2016 | -4.96% | +3.28% | -0.09% | -0.09% | +0.33% | -4.62% | +2.83% | +0.12% | +0.01% | -4.39% | +3.19% | +2.01% | -2.8% |
| 2017 | +1.78% | +3.90% | +0.12% | +0.99% | +2.12% | +0.60% | +3.40% | +0.72% | +2.92% | +1.68% | +0.92% | +0.08% | +20.9% |
| 2018 | +4.17% | -3.98% | -2.72% | -1.17% | -0.97% | -0.73% | +3.68% | +3.17% | +0.59% | -6.87% | +2.69% | +5.85% | +3.0% |
| 2019 | +0.38% | +2.48% | +1.80% | +4.07% | -6.35% | -0.04% | +0.29% | -1.67% | +1.94% | +2.20% | +1.20% | +2.44% | +8.7% |
| 2020 | -4.75% | -9.71% | +11.71% | +1.22% | +8.46% | +1.77% | +5.89% | +6.98% | -3.74% | -4.74% | +12.93% | +7.06% | +34.8% |
| 2021 | -0.38% | +3.10% | +2.33% | +3.78% | +0.44% | -3.27% | +0.87% | +2.96% | -4.64% | +6.98% | -0.80% | +4.60% | +16.5% |
| 2022 | -5.25% | -0.71% | -5.43% | -8.75% | 0.00% | -1.27% | +2.43% | -1.53% | -6.28% | -5.95% | +7.13% | 0.00% | -23.6% |
| 2023 | +8.24% | -3.14% | +0.49% | +2.23% | -4.35% | +5.80% | +3.27% | -1.62% | -4.74% | -3.95% | +9.91% | +5.82% | +17.8% |
| 2024 | -2.94% | +3.65% | +3.25% | -4.01% | +5.03% | +3.51% | +1.20% | +2.32% | +2.09% | -7.51% | +4.39% | -2.40% | +8.0% |
| 2025 | +2.68% | -1.27% | -5.57% | +3.85% | +6.21% | +4.45% | -0.37% | +4.36% | +1.52% | +1.21% | +0.19% | +0.08% | +18.2% |
| 2026 | +3.67% | +4.83% | -8.52% | -0.18% | +3.03% | -4.50% | — | — | — | — | — | — | -2.4% |
Holdings
ETF:NYSE_ARCA:SPY$55,631
99.3%-$1,276 (-2.2%)
1 position · $55,631
Insights
Insights generation not implemented yet