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 |