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 6.00
NoOfWins 5.00
NoOfLosses 1.00
SharpRatio 0.64
SortinoRatio 0.82
GrossProfit $54732.94
FirstDate 1994-01-28
LastDate 2021-06-29
FirstEquity $10000.00
FinalEquity $64732.94
OpenEquity $0.00
LongEquity $54732.94
ShortEquity $0.00
PercentWins 83.33%
AveWin 60.69%
AveLoss -11.68%
AveWinLoss 5.19
Expectancy 48.63%
AveDrawUp 18.47%
AveDrawDown -7.47%
MaxDrawDown -28.04%
Kelly 80.12%
Thorpe 94.15
APR 7.05%
CalmarRatio 0.94

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 1994-01-28 1997-01-31 $28.14 $49.39 Long 287.0 75.50% 16097.66 16097.66
SPY 1997-10-31 2000-01-31 $58.65 $91.39 Long 222.0 55.83% 23366.52 23366.52
SPY 2002-01-31 2003-06-27 $75.87 $67.01 Long 249.0 -11.68% 21159.46 21159.46
SPY 2009-06-29 2010-11-29 $71.57 $94.27 Long 239.0 31.71% 26583.27 26583.27
SPY 2013-01-31 2017-10-31 $124.24 $234.76 Long 173.0 88.96% 45703.98 45703.98
SPY 2019-04-29 2021-06-29 $276.00 $418.01 Long 134.0 51.45% 64732.94 64732.94

Signals

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