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 default
NoOfTrades 5.00
NoOfWins 4.00
NoOfLosses 1.00
SharpRatio 0.65
SortinoRatio 0.86
GrossProfit $35487.56
FirstDate 1994-01-31
LastDate 2017-10-31
FirstEquity $10000.00
FinalEquity $45487.56
OpenEquity $36730.90
LongEquity $35487.56
ShortEquity $0.00
PercentWins 80.00%
AveWin $9421.85
AveLoss $-2199.83
AveWinLoss 4.28
Expectancy 30.88%
AveDrawUp 17.10%
AveDrawDown -6.74%
MaxDrawDown -26.85%
Kelly 75.33%
Thrope 105.38
APR 6.59%
CalmarRatio 0.98

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 1994-01-31 1997-01-31 $29.00 $50.53 Long 279.0 74.25% 16007.41 16007.41
SPY 1997-10-31 2000-01-31 $60.01 $93.51 Long 216.0 55.83% 23243.75 23243.75
SPY 2002-01-31 2003-06-30 $77.63 $68.54 Long 242.0 -11.71% 21043.92 21043.92
SPY 2009-06-30 2010-11-30 $72.64 $95.91 Long 234.0 32.03% 26489.09 26489.09
SPY 2013-01-31 2017-10-31 $127.12 $240.20 Long 168.0 88.96% 45487.56 45487.56

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick