Strategy - DMIndicatorKC


Description

This attempts to recreate Wouter Keller’s Canary Universe going long when this is favorable. 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 27d5c813-e592-4e7e-939e-1d43c3a52acf
NoOfTrades 30.00
NoOfWins 23.00
NoOfLosses 7.00
SharpRatio 0.83
SortinoRatio 1.02
GrossProfit $35206.31
FirstDate 2004-05-28
LastDate 2023-08-31
FirstEquity $10000.00
FinalEquity $45206.31
OpenEquity $36250.91
LongEquity $35206.31
ShortEquity $0.00
PercentWins 76.67%
AveWin 9.90%
AveLoss -2.89%
AveWinLoss 3.42
Expectancy 6.91%
MedianDrawUp 17.57%
MednDrawDown -6.97%
MaxDrawDown -15.20%
Kelly 69.85%
Thorpe 8.64
Rachev 1.20
PAPR 5.69%
APR 8.15%
CalmarRatio 1.03

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2004-05-28 2004-07-30 $76.96 $75.85 Long 105 -1.43% 9884.27 9884.27
SPY 2004-08-31 2005-03-31 $76.04 $82.01 Long 105 7.85% 10511.16 10511.16
SPY 2005-04-29 2006-05-31 $80.47 $90.21 Long 105 12.10% 11533.91 11533.91
SPY 2006-06-30 2008-01-31 $90.45 $100.41 Long 103 11.01% 12559.22 12559.22
SPY 2008-04-30 2008-06-30 $101.55 $94.48 Long 100 -6.96% 11851.99 11851.99
SPY 2009-03-31 2010-05-28 $59.95 $84.10 Long 160 40.29% 15716.71 15716.71
SPY 2010-07-30 2011-08-31 $85.20 $96.32 Long 149 13.06% 17374.10 17374.10
SPY 2011-10-31 2011-11-30 $99.41 $99.01 Long 141 -0.41% 17317.14 17317.14
SPY 2012-01-31 2012-04-30 $104.68 $111.99 Long 133 6.98% 18288.50 18288.50
SPY 2012-06-29 2012-07-31 $109.53 $110.82 Long 135 1.18% 18463.41 18463.41
SPY 2012-08-31 2013-05-31 $113.60 $133.78 Long 131 17.76% 21106.98 21106.98
SPY 2013-07-31 2013-08-30 $138.81 $134.65 Long 123 -3.00% 20594.89 20594.89
SPY 2013-09-30 2014-01-31 $138.91 $148.12 Long 120 6.63% 21699.39 21699.39
SPY 2014-02-28 2014-09-30 $154.86 $166.06 Long 113 7.24% 22965.54 22965.54
SPY 2014-10-31 2014-11-28 $169.98 $174.65 Long 109 2.75% 23474.53 23474.53
SPY 2015-02-27 2015-05-29 $178.54 $179.74 Long 106 0.67% 23601.56 23601.56
SPY 2015-10-30 2015-11-30 $178.81 $179.46 Long 106 0.37% 23670.84 23670.84
SPY 2016-03-31 2016-10-31 $178.72 $186.74 Long 107 4.49% 24529.05 24529.05
SPY 2016-12-30 2018-02-28 $197.55 $244.73 Long 100 23.88% 29247.43 29247.43
SPY 2018-03-29 2018-04-30 $238.02 $239.25 Long 99 0.52% 29369.21 29369.21
SPY 2018-07-31 2018-08-31 $255.61 $263.77 Long 93 3.19% 30128.00 30128.00
SPY 2019-01-31 2019-05-31 $247.83 $253.84 Long 98 2.43% 30717.04 30717.04
SPY 2019-06-28 2019-07-31 $271.51 $275.61 Long 91 1.51% 31090.60 31090.60
SPY 2019-09-30 2020-01-31 $276.28 $300.98 Long 91 8.94% 33338.54 33338.54
SPY 2020-04-30 2021-09-30 $273.41 $413.14 Long 98 51.10% 47031.49 47031.49
SPY 2021-10-29 2021-11-30 $442.13 $438.57 Long 86 -0.80% 46725.98 46725.98
SPY 2021-12-31 2022-01-31 $458.87 $434.67 Long 82 -5.27% 44741.45 44741.45
SPY 2022-11-30 2023-02-28 $398.43 $389.07 Long 90 -2.35% 43898.97 43898.97
SPY 2023-03-31 2023-05-31 $403.51 $411.85 Long 88 2.07% 44632.76 44632.76
SPY 2023-06-30 2023-08-31 $438.54 $445.54 Long 82 1.59% 45206.31 45206.31

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
DMIndicatorKC 0.80 SPY 2023-11-30 Hold Long 10.28% EndOfMonth