Strategy - CalendarTrend


Calendar Trend Signal

Description

The VFINX mutual fund tracks the S&P500 closely. Here it is used a good signal asset for general investing.

The signal is generated using a simple calendar and 9 month trend. The calendar favors the months from November to May. The graph above represents buying VFINX when in RiskOn mode.

This is only evaluated at the end of each month.

When in RiskOff mode extra caution should be taken in the markets.

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 7.00
NoOfWins 5.00
NoOfLosses 2.00
SharpRatio 0.69
SortinoRatio 0.86
GrossProfit $23643.26
FirstDate 2003-12-31
LastDate 2018-10-31
FirstEquity $10000.00
FinalEquity $33643.26
OpenEquity $27064.70
LongEquity $23643.26
ShortEquity $0.00
PercentWins 71.43%
AveWin $4840.28
AveLoss $-279.08
AveWinLoss 17.34
Expectancy 21.23%
AveDrawUp 22.36%
AveDrawDown -9.01%
MaxDrawDown -22.17%
Kelly 69.78%
Thrope 92.94
APR 8.52%
CalmarRatio 0.95

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
VFINX 2003-12-31 2004-07-30 $73.53 $73.49 Long 110.0 -0.05% 9996.09 9996.09
VFINX 2004-10-29 2008-05-30 $75.69 $99.97 Long 106.0 32.07% 12569.53 12569.53
VFINX 2008-11-28 2010-05-28 $64.79 $81.55 Long 157.0 25.86% 15200.46 15200.46
VFINX 2010-07-30 2010-08-31 $82.67 $78.93 Long 148.0 -4.53% 14646.21 14646.21
VFINX 2010-09-30 2011-07-29 $85.97 $98.78 Long 137.0 14.90% 16401.16 16401.16
VFINX 2011-11-30 2015-08-31 $96.07 $163.65 Long 138.0 70.34% 25727.11 25727.11
VFINX 2015-10-30 2018-10-31 $173.01 $238.98 Long 120.0 38.13% 33643.26 33643.26

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick