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 | default |
| NoOfTrades | 30.00 |
| NoOfWins | 23.00 |
| NoOfLosses | 7.00 |
| SharpRatio | 0.82 |
| SortinoRatio | 1.02 |
| GrossProfit | $35261.05 |
| FirstDate | 2004-05-28 |
| LastDate | 2023-08-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $45261.05 |
| OpenEquity | $36512.00 |
| LongEquity | $35261.05 |
| ShortEquity | $0.00 |
| PercentWins | 76.67% |
| AveWin | 9.90% |
| AveLoss | -2.89% |
| AveWinLoss | 3.42 |
| Expectancy | 6.91% |
| AveDrawUp | 20.05% |
| AveDrawDown | -7.90% |
| MaxDrawDown | -15.16% |
| Kelly | 69.85% |
| Thorpe | 137.07 |
| Rachev | 0.84 |
| APR | 8.16% |
| CalmarRatio | 1.03 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 2004-05-28 | 2004-07-30 | $77.51 | $76.40 | Long | 104.0 | -1.43% | 9884.55 | 9884.55 |
| SPY | 2004-08-31 | 2005-03-31 | $76.59 | $82.60 | Long | 104.0 | 7.85% | 10509.94 | 10509.94 |
| SPY | 2005-04-29 | 2006-05-31 | $81.05 | $90.86 | Long | 105.0 | 12.10% | 11540.06 | 11540.06 |
| SPY | 2006-06-30 | 2008-01-31 | $91.10 | $101.13 | Long | 102.0 | 11.01% | 12562.72 | 12562.72 |
| SPY | 2008-04-30 | 2008-06-30 | $102.28 | $95.16 | Long | 99.0 | -6.96% | 11857.52 | 11857.52 |
| SPY | 2009-03-31 | 2010-05-28 | $60.38 | $84.71 | Long | 159.0 | 40.29% | 15725.75 | 15725.75 |
| SPY | 2010-07-30 | 2011-08-31 | $85.81 | $97.01 | Long | 148.0 | 13.06% | 17383.87 | 17383.87 |
| SPY | 2011-10-31 | 2011-11-30 | $100.13 | $99.72 | Long | 140.0 | -0.41% | 17326.91 | 17326.91 |
| SPY | 2012-01-31 | 2012-04-30 | $105.44 | $112.79 | Long | 133.0 | 6.98% | 18305.27 | 18305.27 |
| SPY | 2012-06-29 | 2012-07-31 | $110.31 | $111.62 | Long | 134.0 | 1.18% | 18480.13 | 18480.13 |
| SPY | 2012-08-31 | 2013-05-31 | $114.42 | $134.74 | Long | 130.0 | 17.76% | 21122.41 | 21122.41 |
| SPY | 2013-07-31 | 2013-08-30 | $139.81 | $135.62 | Long | 122.0 | -3.00% | 20610.83 | 20610.83 |
| SPY | 2013-09-30 | 2014-01-31 | $139.91 | $149.18 | Long | 119.0 | 6.63% | 21714.02 | 21714.02 |
| SPY | 2014-02-28 | 2014-09-30 | $155.97 | $167.26 | Long | 112.0 | 7.24% | 22978.00 | 22978.00 |
| SPY | 2014-10-31 | 2014-11-28 | $171.20 | $175.90 | Long | 108.0 | 2.75% | 23485.95 | 23485.95 |
| SPY | 2015-02-27 | 2015-05-29 | $179.82 | $181.03 | Long | 105.0 | 0.67% | 23612.69 | 23612.69 |
| SPY | 2015-10-30 | 2015-11-30 | $180.10 | $180.75 | Long | 106.0 | 0.37% | 23682.46 | 23682.46 |
| SPY | 2016-03-31 | 2016-10-31 | $180.01 | $188.09 | Long | 106.0 | 4.49% | 24538.78 | 24538.78 |
| SPY | 2016-12-30 | 2018-02-28 | $198.97 | $246.49 | Long | 99.0 | 23.88% | 29243.62 | 29243.62 |
| SPY | 2018-03-29 | 2018-04-30 | $239.74 | $240.97 | Long | 98.0 | 0.52% | 29365.04 | 29365.04 |
| SPY | 2018-07-31 | 2018-08-31 | $257.45 | $265.67 | Long | 92.0 | 3.19% | 30121.07 | 30121.07 |
| SPY | 2019-01-31 | 2019-05-31 | $249.62 | $255.67 | Long | 97.0 | 2.43% | 30708.31 | 30708.31 |
| SPY | 2019-06-28 | 2019-07-31 | $273.46 | $277.60 | Long | 90.0 | 1.51% | 31080.42 | 31080.42 |
| SPY | 2019-09-30 | 2020-01-31 | $278.27 | $303.15 | Long | 90.0 | 8.94% | 33319.67 | 33319.67 |
| SPY | 2020-04-30 | 2021-09-30 | $275.38 | $416.11 | Long | 98.0 | 51.10% | 47111.24 | 47111.24 |
| SPY | 2021-10-29 | 2021-11-30 | $445.31 | $441.73 | Long | 85.0 | -0.80% | 46807.11 | 46807.11 |
| SPY | 2021-12-31 | 2022-01-31 | $462.18 | $437.80 | Long | 82.0 | -5.27% | 44808.29 | 44808.29 |
| SPY | 2022-11-30 | 2023-02-28 | $401.30 | $391.87 | Long | 90.0 | -2.35% | 43959.74 | 43959.74 |
| SPY | 2023-03-31 | 2023-05-31 | $406.42 | $414.82 | Long | 87.0 | 2.07% | 44690.42 | 44690.42 |
| SPY | 2023-06-30 | 2023-08-31 | $441.70 | $448.75 | Long | 81.0 | 1.59% | 45261.05 | 45261.05 |
Signals
| Strategy | Size | Ticker | Date | State | Type | Profit | TimeFrame |
|---|---|---|---|---|---|---|---|
| DMIndicatorKC | 0.81 | SPY | 2023-11-30 | Hold |
Long | 0.59% | EOM |