Strategy - DMIndicatorMC


Dual Momentum Signal

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 28.00
NoOfWins 17.00
NoOfLosses 11.00
SharpRatio 0.44
SortinoRatio 0.56
GrossProfit $22096.18
FirstDate 1998-02-27
LastDate 2023-08-31
FirstEquity $10000.00
FinalEquity $32096.18
OpenEquity $0.00
LongEquity $22096.18
ShortEquity $0.00
PercentWins 60.71%
AveWin 14.68%
AveLoss -6.74%
AveWinLoss 2.18
Expectancy 6.26%
AveDrawUp 18.30%
AveDrawDown -10.03%
MaxDrawDown -31.28%
Kelly 42.67%
Thorpe 68.24
Rachev 0.91
APR 4.68%
CalmarRatio 0.47

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 1998-02-27 1998-07-31 $66.50 $71.13 Long 121.0 6.98% 10561.29 10561.29
SPY 1999-01-29 1999-03-31 $81.79 $82.45 Long 104.0 0.81% 10630.28 10630.28
SPY 1999-04-30 2000-05-31 $85.59 $92.72 Long 100.0 8.33% 11343.55 11343.55
SPY 2000-06-30 2000-11-30 $94.55 $86.31 Long 97.0 -8.71% 10544.39 10544.39
SPY 2001-01-31 2001-02-28 $89.68 $81.13 Long 95.0 -9.54% 9731.73 9731.73
SPY 2001-05-31 2001-09-28 $82.66 $69.00 Long 95.0 -16.53% 8433.91 8433.91
SPY 2001-10-31 2002-07-31 $69.90 $60.82 Long 97.0 -12.99% 7553.24 7553.24
SPY 2002-11-29 2004-07-30 $62.98 $76.40 Long 97.0 21.31% 8854.93 8854.93
SPY 2004-10-29 2005-03-31 $78.35 $82.60 Long 91.0 5.42% 9241.63 9241.63
SPY 2005-06-30 2006-06-30 $83.79 $91.10 Long 89.0 8.73% 9892.56 9892.56
SPY 2006-10-31 2007-07-31 $99.06 $106.22 Long 80.0 7.22% 10465.08 10465.08
SPY 2007-09-28 2007-11-30 $111.74 $108.87 Long 75.0 -2.57% 10249.77 10249.77
SPY 2008-08-29 2008-09-30 $95.76 $86.72 Long 86.0 -9.44% 9472.59 9472.59
SPY 2009-04-30 2010-06-30 $66.38 $80.32 Long 115.0 21.01% 11076.52 11076.52
SPY 2010-07-30 2010-08-31 $85.81 $81.95 Long 104.0 -4.50% 10675.10 10675.10
SPY 2010-09-30 2011-07-29 $89.29 $102.66 Long 96.0 14.97% 11958.43 11958.43
SPY 2011-12-30 2014-05-30 $100.76 $162.04 Long 96.0 60.81% 17841.01 17841.01
SPY 2014-06-30 2014-07-31 $165.38 $163.16 Long 87.0 -1.34% 17647.66 17647.66
SPY 2014-08-29 2014-09-30 $169.60 $167.26 Long 84.0 -1.38% 17451.19 17451.19
SPY 2014-10-31 2015-07-31 $171.20 $181.32 Long 82.0 5.91% 18281.07 18281.07
SPY 2016-04-29 2018-10-31 $180.72 $248.78 Long 81.0 37.66% 23794.22 23794.22
SPY 2019-04-30 2019-05-31 $273.09 $255.67 Long 70.0 -6.38% 22575.17 22575.17
SPY 2019-06-28 2019-07-31 $273.46 $277.60 Long 66.0 1.51% 22848.06 22848.06
SPY 2019-11-29 2020-01-31 $294.71 $303.15 Long 62.0 2.86% 23370.97 23370.97
SPY 2020-06-30 2021-09-30 $293.63 $416.11 Long 64.0 41.71% 31210.04 31210.04
SPY 2021-10-29 2021-11-30 $445.31 $441.73 Long 56.0 -0.80% 31009.67 31009.67
SPY 2023-01-31 2023-04-28 $401.98 $412.91 Long 62.0 2.72% 31687.58 31687.58
SPY 2023-06-30 2023-08-31 $441.70 $448.75 Long 58.0 1.59% 32096.18 32096.18

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
DMIndicatorMC 0.00 Out EOM