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

MetricMeasure
AccountNamedefault
NoOfTrades9.00
NoOfWins8.00
NoOfLosses1.00
SharpRatio0.68
SortinoRatio0.81
GrossProfit$41253.32
FirstDate2004-10-29
LastDate2022-05-27
FirstEquity$10000.00
FinalEquity$51253.32
OpenEquity$41393.69
LongEquity$41253.32
ShortEquity$0.00
PercentWins88.89%
AveWin30.19%
AveLoss-4.53%
AveWinLoss6.66
Expectancy26.33%
AveDrawUp26.72%
AveDrawDown-11.13%
MaxDrawDown-28.45%
Kelly87.22%
Thorpe79.23
Rachev0.87
APR9.74%
CalmarRatio0.88

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
VFINX2004-10-292008-05-29$73.78$97.30Long109.031.88%12563.7012563.70
VFINX2008-11-262009-05-28$62.55$64.84Long162.03.67%12935.5212935.52
VFINX2009-05-292010-05-28$65.73$79.48Long159.020.93%15123.0615123.06
VFINX2010-07-302010-08-31$80.58$76.93Long152.0-4.53%14568.2414568.24
VFINX2010-09-302011-07-29$83.79$96.28Long140.014.90%16316.2316316.23
VFINX2011-11-292015-08-31$89.74$159.51Long147.077.74%26572.1326572.13
VFINX2015-10-302018-10-31$168.64$232.93Long127.038.13%34738.0234738.02
VFINX2018-11-292020-05-28$235.69$268.30Long119.013.83%38617.7938617.79
VFINX2020-05-292022-05-27$269.63$378.55Long116.040.40%51253.3251253.32

Signals

StrategyRatioSizeTickerDateStateTypeProfitTimeFrame