Description
The Micro Cap universe 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 | 26.00 |
| NoOfWins | 15.00 |
| NoOfLosses | 11.00 |
| SharpRatio | 0.45 |
| SortinoRatio | 0.57 |
| GrossProfit | $21018.06 |
| FirstDate | 1998-02-27 |
| LastDate | 2021-11-30 |
| FirstEquity | $10000.00 |
| FinalEquity | $31018.06 |
| OpenEquity | $0.00 |
| LongEquity | $21018.06 |
| ShortEquity | $0.00 |
| PercentWins | 57.69% |
| AveWin | 16.35% |
| AveLoss | -6.74% |
| AveWinLoss | 2.42 |
| Expectancy | 6.58% |
| AveDrawUp | 17.95% |
| AveDrawDown | -10.39% |
| MaxDrawDown | -31.11% |
| Kelly | 40.24% |
| Thrope | 67.50 |
| APR | 4.88% |
| CalmarRatio | 0.47 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 1998-02-27 | 1998-07-31 | $67.55 | $72.27 | Long | 119.0 | 6.98% | 10560.79 | 10560.79 |
| SPY | 1999-01-29 | 1999-03-31 | $83.09 | $83.77 | Long | 102.0 | 0.81% | 10629.53 | 10629.53 |
| SPY | 1999-04-30 | 2000-05-31 | $86.95 | $94.19 | Long | 99.0 | 8.33% | 11346.90 | 11346.90 |
| SPY | 2000-06-30 | 2000-11-30 | $96.05 | $87.68 | Long | 95.0 | -8.71% | 10551.77 | 10551.77 |
| SPY | 2001-01-31 | 2001-02-28 | $91.11 | $82.42 | Long | 93.0 | -9.54% | 9743.57 | 9743.57 |
| SPY | 2001-05-31 | 2001-09-28 | $83.97 | $70.10 | Long | 93.0 | -16.53% | 8452.87 | 8452.87 |
| SPY | 2001-10-31 | 2002-07-31 | $71.01 | $61.79 | Long | 96.0 | -12.99% | 7567.42 | 7567.42 |
| SPY | 2002-11-29 | 2004-07-30 | $63.98 | $77.62 | Long | 95.0 | 21.31% | 8862.53 | 8862.53 |
| SPY | 2004-10-29 | 2005-03-31 | $79.60 | $83.91 | Long | 90.0 | 5.42% | 9251.07 | 9251.07 |
| SPY | 2005-06-30 | 2006-06-30 | $85.12 | $92.55 | Long | 88.0 | 8.73% | 9904.92 | 9904.92 |
| SPY | 2006-10-31 | 2007-07-31 | $100.63 | $107.90 | Long | 79.0 | 7.22% | 10479.28 | 10479.28 |
| SPY | 2007-09-28 | 2007-11-30 | $113.52 | $110.60 | Long | 74.0 | -2.57% | 10263.46 | 10263.46 |
| SPY | 2008-08-29 | 2008-09-30 | $97.28 | $88.10 | Long | 85.0 | -9.44% | 9483.10 | 9483.10 |
| SPY | 2009-04-30 | 2010-06-30 | $67.43 | $81.60 | Long | 113.0 | 21.01% | 11084.19 | 11084.19 |
| SPY | 2010-07-30 | 2010-08-31 | $87.17 | $83.25 | Long | 102.0 | -4.50% | 10684.24 | 10684.24 |
| SPY | 2010-09-30 | 2011-07-29 | $90.71 | $104.29 | Long | 95.0 | 14.97% | 11974.40 | 11974.40 |
| SPY | 2011-12-30 | 2014-05-30 | $102.37 | $164.62 | Long | 94.0 | 60.81% | 17826.02 | 17826.02 |
| SPY | 2014-06-30 | 2014-07-31 | $168.01 | $165.76 | Long | 85.0 | -1.34% | 17634.11 | 17634.11 |
| SPY | 2014-08-29 | 2014-09-30 | $172.30 | $169.92 | Long | 82.0 | -1.38% | 17439.27 | 17439.27 |
| SPY | 2014-10-31 | 2015-07-31 | $173.92 | $184.20 | Long | 81.0 | 5.91% | 18272.06 | 18272.06 |
| SPY | 2016-04-29 | 2018-10-31 | $183.59 | $252.74 | Long | 80.0 | 37.66% | 23803.74 | 23803.74 |
| SPY | 2019-04-30 | 2019-05-31 | $277.43 | $259.74 | Long | 69.0 | -6.38% | 22583.00 | 22583.00 |
| SPY | 2019-06-28 | 2019-07-31 | $277.81 | $282.01 | Long | 65.0 | 1.51% | 22856.02 | 22856.02 |
| SPY | 2019-11-29 | 2020-01-31 | $299.40 | $307.97 | Long | 61.0 | 2.86% | 23378.68 | 23378.68 |
| SPY | 2020-06-30 | 2021-09-30 | $298.30 | $422.73 | Long | 63.0 | 41.71% | 31217.98 | 31217.98 |
| SPY | 2021-10-29 | 2021-11-30 | $452.39 | $448.76 | Long | 55.0 | -0.80% | 31018.06 | 31018.06 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| DMIndicatorMC | 0.90 | 0.00 | Out | EOM |