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 9.00
NoOfWins 7.00
NoOfLosses 2.00
SharpRatio 0.62
SortinoRatio 0.74
GrossProfit $28560.07
FirstDate 2003-12-31
LastDate 2020-05-28
FirstEquity $10000.00
FinalEquity $38560.07
OpenEquity $30964.93
LongEquity $28560.07
ShortEquity $0.00
PercentWins 77.78%
AveWin $4159.53
AveLoss $-278.33
AveWinLoss 14.94
Expectancy 18.53%
AveDrawUp 22.49%
AveDrawDown -10.04%
MaxDrawDown -28.46%
Kelly 76.29%
Thrope 74.64
APR 8.57%
CalmarRatio 0.85

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
VFINX 2003-12-31 2004-07-30 $72.84 $72.80 Long 111.0 -0.05% 9996.09 9996.09
VFINX 2004-10-29 2008-05-29 $74.98 $98.88 Long 107.0 31.88% 12553.80 12553.80
VFINX 2008-11-26 2009-05-28 $63.57 $65.90 Long 159.0 3.67% 12924.70 12924.70
VFINX 2009-05-29 2010-05-28 $66.80 $80.78 Long 156.0 20.93% 15105.97 15105.97
VFINX 2010-07-30 2010-08-31 $81.90 $78.19 Long 149.0 -4.53% 14553.23 14553.23
VFINX 2010-09-30 2011-07-29 $85.16 $97.85 Long 138.0 14.90% 16304.36 16304.36
VFINX 2011-11-29 2015-08-31 $91.20 $162.11 Long 144.0 77.74% 26514.86 26514.86
VFINX 2015-10-30 2018-10-31 $171.39 $236.73 Long 125.0 38.13% 34683.28 34683.28
VFINX 2018-11-29 2020-05-28 $239.54 $272.67 Long 117.0 13.83% 38560.07 38560.07

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick