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 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