Strategy - DMIndicatorCPI


Dual Momentum Signal

Description

The CPI data is used as a signal for Dual Momentum investing. The graph above represents buying SPY 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 33e8fbaf-f3a0-4a5b-869c-f0954a4ac431
NoOfTrades 39.00
NoOfWins 30.00
NoOfLosses 9.00
SharpRatio 0.49
SortinoRatio 0.68
GrossProfit $7839.13
FirstDate 2004-08-31
LastDate 2024-03-27
FirstEquity $10000.00
FinalEquity $17839.13
OpenEquity $0.00
LongEquity $7839.13
ShortEquity $0.00
PercentWins 76.92%
AveWin 3.72%
AveLoss -3.98%
AveWinLoss 0.93
Expectancy 1.94%
MedianDrawUp 7.47%
MednDrawDown -4.03%
MaxDrawDown -20.17%
Kelly 52.19%
Thorpe 7.97
Rachev 1.28
PAPR 1.57%
APR 3.00%
CalmarRatio 0.62

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2004-08-31 2004-09-29 $76.04 $76.86 Long 106 1.07% 10086.57 10086.57
SPY 2005-01-31 2005-02-25 $81.83 $84.09 Long 99 2.77% 10310.75 10310.75
SPY 2005-05-31 2005-06-29 $83.07 $83.64 Long 100 0.70% 10368.56 10368.56
SPY 2006-03-31 2006-04-27 $91.85 $92.70 Long 91 0.92% 10445.81 10445.81
SPY 2006-05-31 2006-06-29 $90.21 $90.44 Long 93 0.26% 10467.34 10467.34
SPY 2006-08-31 2006-09-28 $92.84 $95.42 Long 91 2.78% 10702.54 10702.54
SPY 2006-10-31 2006-11-29 $98.35 $100.26 Long 88 1.94% 10870.87 10870.87
SPY 2007-01-31 2007-02-27 $103.18 $100.13 Long 85 -2.96% 10611.59 10611.59
SPY 2007-08-31 2007-09-27 $106.81 $111.31 Long 80 4.22% 10971.93 10971.93
SPY 2008-10-31 2008-11-26 $71.88 $66.04 Long 123 -8.12% 10254.27 10254.27
SPY 2009-03-31 2009-04-29 $59.95 $65.88 Long 138 9.90% 11073.00 11073.00
SPY 2009-08-31 2009-09-29 $77.67 $80.74 Long 115 3.95% 11425.63 11425.63
SPY 2010-08-31 2010-09-29 $81.36 $88.91 Long 113 9.28% 12278.84 12278.84
SPY 2011-10-31 2011-11-29 $99.41 $95.10 Long 100 -4.34% 11847.13 11847.13
SPY 2012-01-31 2012-02-28 $104.68 $109.66 Long 91 4.75% 12299.78 12299.78
SPY 2012-05-31 2012-06-28 $105.26 $106.86 Long 94 1.52% 12450.40 12450.40
SPY 2012-08-31 2012-09-27 $113.60 $117.02 Long 88 3.01% 12751.58 12751.58
SPY 2013-01-31 2013-02-27 $121.98 $123.78 Long 84 1.48% 12902.84 12902.84
SPY 2013-05-31 2013-06-27 $133.78 $132.53 Long 78 -0.93% 12805.79 12805.79
SPY 2013-10-31 2013-11-27 $145.35 $149.75 Long 71 3.03% 13118.68 13118.68
SPY 2014-10-31 2014-11-26 $169.98 $175.02 Long 62 2.97% 13431.19 13431.19
SPY 2015-03-31 2015-04-29 $175.73 $179.25 Long 61 2.01% 13646.17 13646.17
SPY 2015-08-31 2015-09-29 $168.98 $161.74 Long 65 -4.29% 13175.49 13175.49
SPY 2016-03-31 2016-04-28 $178.72 $180.40 Long 59 0.94% 13274.51 13274.51
SPY 2016-08-31 2016-09-29 $190.02 $188.61 Long 56 -0.74% 13195.63 13195.63
SPY 2018-10-31 2018-11-29 $247.00 $250.06 Long 43 1.24% 13327.11 13327.11
SPY 2019-01-31 2019-02-27 $247.83 $256.34 Long 43 3.43% 13693.08 13693.08
SPY 2019-05-31 2019-06-27 $253.84 $270.12 Long 43 6.41% 14392.93 14392.93
SPY 2019-10-31 2019-11-27 $282.38 $293.69 Long 41 4.01% 14856.68 14856.68
SPY 2020-03-31 2020-04-29 $242.61 $275.98 Long 49 13.76% 16492.14 16492.14
SPY 2022-08-31 2022-09-29 $384.62 $354.56 Long 34 -7.82% 15470.02 15470.02
SPY 2022-10-31 2022-11-29 $377.45 $386.26 Long 33 2.34% 15760.92 15760.92
SPY 2023-01-31 2023-02-27 $399.10 $390.51 Long 31 -2.15% 15494.60 15494.60
SPY 2023-03-31 2023-04-27 $403.51 $406.49 Long 31 0.74% 15586.87 15586.87
SPY 2023-05-31 2023-06-29 $411.85 $433.43 Long 30 5.24% 16234.24 16234.24
SPY 2023-08-31 2023-09-28 $445.54 $425.46 Long 29 -4.51% 15651.83 15651.83
SPY 2023-10-31 2023-11-29 $415.21 $451.36 Long 30 8.71% 16736.32 16736.32
SPY 2024-01-31 2024-02-28 $481.37 $504.68 Long 28 4.84% 17388.92 17388.92
SPY 2024-02-29 2024-03-27 $506.50 $523.17 Long 27 3.29% 17839.13 17839.13

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
DMIndicatorCPI 0.00 Out EndOfMonth