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 10.00
NoOfWins 8.00
NoOfLosses 2.00
SharpRatio 0.66
SortinoRatio 0.79
GrossProfit $41271.47
FirstDate 2003-12-31
LastDate 2022-05-27
FirstEquity $10000.00
FinalEquity $51271.47
OpenEquity $0.00
LongEquity $41271.47
ShortEquity $0.00
PercentWins 80.00%
AveWin 30.19%
AveLoss -2.29%
AveWinLoss 13.19
Expectancy 23.69%
AveDrawUp 25.94%
AveDrawDown -10.88%
MaxDrawDown -28.43%
Kelly 78.48%
Thrope 78.04
APR 9.29%
CalmarRatio 0.85

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
VFINX 2003-12-31 2004-07-30 $72.27 $72.23 Long 112.0 -0.05% 9996.08 9996.08
VFINX 2004-10-29 2008-05-29 $74.39 $98.11 Long 108.0 31.88% 12557.51 12557.51
VFINX 2008-11-26 2009-05-28 $63.07 $65.39 Long 161.0 3.67% 12930.13 12930.13
VFINX 2009-05-29 2010-05-28 $66.28 $80.15 Long 158.0 20.93% 15122.09 15122.09
VFINX 2010-07-30 2010-08-31 $81.25 $77.57 Long 150.0 -4.53% 14570.00 14570.00
VFINX 2010-09-30 2011-07-29 $84.49 $97.08 Long 139.0 14.90% 16320.02 16320.02
VFINX 2011-11-29 2015-08-31 $90.49 $160.84 Long 146.0 77.74% 26591.36 26591.36
VFINX 2015-10-30 2018-10-31 $170.05 $234.88 Long 126.0 38.13% 34760.73 34760.73
VFINX 2018-11-29 2020-05-28 $237.67 $270.54 Long 118.0 13.83% 38640.07 38640.07
VFINX 2020-05-29 2022-05-27 $271.88 $381.72 Long 115.0 40.40% 51271.47 51271.47

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
CalendarTrend 0.90 0.00 Out EOM