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 c81abfe7-d391-42d4-9019-6cb6bb235565
NoOfTrades 10.00
NoOfWins 9.00
NoOfLosses 1.00
SharpRatio 0.67
SortinoRatio 0.80
GrossProfit $44273.96
FirstDate 2004-10-29
LastDate 2023-10-31
FirstEquity $10000.00
FinalEquity $54273.96
OpenEquity $43893.92
LongEquity $44273.96
ShortEquity $0.00
PercentWins 90.00%
AveWin 27.66%
AveLoss -4.53%
AveWinLoss 6.11
Expectancy 24.44%
MedianDrawUp 23.14%
MednDrawDown -10.26%
MaxDrawDown -28.50%
Kelly 88.36%
Thorpe 4.97
Rachev 1.14
PAPR 8.23%
APR 9.31%
CalmarRatio 0.81

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
VFINX 2004-10-29 2008-05-29 $72.75 $95.94 Long 111 31.88% 12574.47 12574.47
VFINX 2008-11-26 2009-05-28 $61.68 $63.94 Long 165 3.67% 12947.93 12947.93
VFINX 2009-05-29 2010-05-28 $64.81 $78.38 Long 161 20.93% 15132.21 15132.21
VFINX 2010-07-30 2010-08-31 $79.46 $75.86 Long 154 -4.53% 14577.90 14577.90
VFINX 2010-09-30 2011-07-29 $82.63 $94.94 Long 142 14.90% 16326.23 16326.23
VFINX 2011-11-29 2015-08-31 $88.49 $157.29 Long 149 77.74% 26577.26 26577.26
VFINX 2015-10-30 2018-10-31 $166.29 $229.70 Long 129 38.13% 34756.54 34756.54
VFINX 2018-11-29 2020-05-28 $232.42 $264.57 Long 121 13.83% 38646.71 38646.71
VFINX 2020-05-29 2022-05-27 $265.88 $373.30 Long 117 40.40% 51214.14 51214.14
VFINX 2022-11-29 2023-10-31 $358.06 $384.67 Long 115 7.43% 54273.96 54273.96

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
CalendarTrend 0.81 VFINX 2023-11-29 Hold Long 10.68% EndOfMonth