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 | default |
| NoOfTrades | 1.00 |
| NoOfWins | 1.00 |
| NoOfLosses | 0.00 |
| SharpRatio | 1.03 |
| SortinoRatio | 1.35 |
| GrossProfit | $7982.07 |
| FirstDate | 2009-02-26 |
| LastDate | 2012-04-27 |
| FirstEquity | $10000.00 |
| FinalEquity | $17982.07 |
| OpenEquity | $14530.84 |
| LongEquity | $7982.07 |
| ShortEquity | $0.00 |
| PercentWins | 100.00% |
| AveWin | 98.62% |
| AveLoss | NaN |
| AveWinLoss | NaN |
| Expectancy | NaN% |
| AveDrawUp | 30.09% |
| AveDrawDown | -8.12% |
| MaxDrawDown | -16.55% |
| Kelly | NaN |
| Thorpe | 91.00 |
| Rachev | 0.83 |
| APR | 20.37% |
| CalmarRatio | 2.51 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 2009-02-26 | 2012-04-27 | $57.00 | $113.21 | Long | 142.0 | 98.62% | 17982.07 | 17982.07 |
Signals
| Strategy | Size | Ticker | Date | State | Type | Profit | TimeFrame |
|---|---|---|---|---|---|---|---|
| DMIndicatorCPI | 0.81 | SPY | 2012-08-31 | Hold |
Long | 301.25% | EOM |