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 c72207cb-acb7-40b8-836c-63bc614f78dd
NoOfTrades 155.00
NoOfWins 113.00
NoOfLosses 42.00
SharpRatio 0.95
SortinoRatio 1.21
GrossProfit $37716.61
FirstDate 2004-04-30
LastDate 2024-03-27
FirstEquity $10000.00
FinalEquity $47716.61
OpenEquity $38184.11
LongEquity $37716.61
ShortEquity $0.00
PercentWins 72.90%
AveWin 2.79%
AveLoss -2.73%
AveWinLoss 1.02
Expectancy 1.30%
MedianDrawUp 14.60%
MednDrawDown -5.67%
MaxDrawDown -14.02%
Kelly 46.40%
Thorpe 11.51
Rachev 1.23
PAPR 3.79%
APR 8.17%
CalmarRatio 1.26

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2004-04-30 2004-05-27 $75.66 $76.96 Long 107 1.72% 10139.35 10139.35
SPY 2004-05-28 2004-06-29 $76.96 $77.96 Long 106 1.31% 10245.95 10245.95
SPY 2004-06-30 2004-07-29 $78.38 $75.67 Long 105 -3.46% 9961.40 9961.40
SPY 2004-09-30 2004-10-28 $76.80 $77.80 Long 105 1.31% 10066.74 10066.74
SPY 2004-10-29 2004-11-29 $77.79 $81.20 Long 104 4.38% 10421.10 10421.10
SPY 2004-11-30 2004-12-30 $81.25 $83.88 Long 103 3.24% 10691.99 10691.99
SPY 2004-12-31 2005-01-28 $83.70 $81.32 Long 103 -2.85% 10446.63 10446.63
SPY 2005-01-31 2005-02-25 $81.83 $84.09 Long 103 2.77% 10679.87 10679.87
SPY 2005-02-28 2005-03-30 $83.54 $82.16 Long 103 -1.64% 10538.33 10538.33
SPY 2005-05-31 2005-06-29 $83.07 $83.64 Long 102 0.70% 10597.29 10597.29
SPY 2005-06-30 2005-07-28 $83.19 $86.95 Long 103 4.52% 10984.81 10984.81
SPY 2005-07-29 2005-08-30 $86.37 $84.50 Long 103 -2.17% 10791.41 10791.41
SPY 2005-08-31 2005-09-29 $85.56 $85.98 Long 102 0.49% 10834.00 10834.00
SPY 2005-09-30 2005-10-28 $86.25 $83.98 Long 101 -2.63% 10604.61 10604.61
SPY 2005-10-31 2005-11-29 $84.21 $88.39 Long 102 4.96% 11030.75 11030.75
SPY 2005-11-30 2005-12-29 $87.91 $88.22 Long 101 0.36% 11062.28 11062.28
SPY 2005-12-30 2006-01-30 $87.74 $90.51 Long 102 3.16% 11344.77 11344.77
SPY 2006-01-31 2006-02-27 $89.85 $91.23 Long 102 1.54% 11485.65 11485.65
SPY 2006-02-28 2006-03-30 $90.36 $91.83 Long 102 1.63% 11635.61 11635.61
SPY 2006-03-31 2006-04-27 $91.85 $92.70 Long 102 0.92% 11722.20 11722.20
SPY 2006-04-28 2006-05-30 $93.01 $89.22 Long 102 -4.08% 11334.68 11334.68
SPY 2006-08-31 2006-09-28 $92.84 $95.42 Long 98 2.78% 11587.97 11587.97
SPY 2006-10-31 2006-11-29 $98.35 $100.26 Long 95 1.94% 11769.70 11769.70
SPY 2006-11-30 2006-12-28 $100.31 $102.07 Long 95 1.76% 11937.31 11937.31
SPY 2006-12-29 2007-01-30 $101.65 $102.49 Long 95 0.83% 12017.09 12017.09
SPY 2007-01-31 2007-02-27 $103.18 $100.13 Long 94 -2.96% 11730.35 11730.35
SPY 2007-02-28 2007-03-29 $101.15 $102.30 Long 93 1.14% 11837.48 11837.48
SPY 2007-03-30 2007-04-27 $102.33 $107.75 Long 93 5.30% 12342.11 12342.11
SPY 2007-04-30 2007-05-30 $106.86 $110.60 Long 93 3.50% 12689.93 12689.93
SPY 2007-05-31 2007-06-28 $110.48 $108.83 Long 93 -1.50% 12536.06 12536.06
SPY 2007-06-29 2007-07-30 $108.86 $106.66 Long 93 -2.03% 12330.79 12330.79
SPY 2007-09-28 2007-10-30 $110.94 $111.29 Long 90 0.31% 12362.20 12362.20
SPY 2007-10-31 2007-11-29 $112.45 $107.02 Long 89 -4.83% 11878.80 11878.80
SPY 2008-05-30 2008-06-27 $103.08 $94.14 Long 93 -8.67% 11047.42 11047.42
SPY 2008-07-31 2008-08-28 $93.63 $96.11 Long 95 2.65% 11283.06 11283.06
SPY 2009-04-30 2009-05-28 $65.90 $68.54 Long 138 4.00% 11647.16 11647.16
SPY 2009-05-29 2009-06-29 $69.75 $70.27 Long 135 0.75% 11717.58 11717.58
SPY 2009-06-30 2009-07-30 $69.71 $74.80 Long 136 7.31% 12410.41 12410.41
SPY 2009-07-31 2009-08-28 $74.91 $78.37 Long 134 4.63% 12874.65 12874.65
SPY 2009-08-31 2009-09-29 $77.67 $80.74 Long 134 3.95% 13285.55 13285.55
SPY 2009-09-30 2009-10-29 $80.43 $81.24 Long 133 1.00% 13392.94 13392.94
SPY 2009-11-30 2009-12-30 $83.74 $86.17 Long 129 2.89% 13705.65 13705.65
SPY 2009-12-31 2010-01-28 $85.34 $83.14 Long 130 -2.58% 13419.94 13419.94
SPY 2010-01-29 2010-02-25 $82.24 $84.75 Long 132 3.05% 13751.49 13751.49
SPY 2010-02-26 2010-03-30 $84.80 $90.28 Long 131 6.45% 14468.39 14468.39
SPY 2010-03-31 2010-04-29 $89.97 $92.94 Long 130 3.30% 14854.25 14854.25
SPY 2010-04-30 2010-05-27 $91.36 $85.17 Long 131 -6.78% 14043.35 14043.35
SPY 2010-07-30 2010-08-30 $85.20 $81.36 Long 133 -4.50% 13533.68 13533.68
SPY 2010-09-30 2010-10-28 $88.65 $91.97 Long 123 3.74% 13941.63 13941.63
SPY 2010-10-29 2010-11-29 $92.04 $92.56 Long 122 0.57% 14005.12 14005.12
SPY 2010-11-30 2010-12-30 $92.04 $98.17 Long 123 6.66% 14758.95 14758.95
SPY 2010-12-31 2011-01-28 $98.19 $99.73 Long 121 1.57% 14945.07 14945.07
SPY 2011-01-31 2011-02-25 $100.48 $103.33 Long 120 2.84% 15287.07 15287.07
SPY 2011-02-28 2011-03-30 $103.97 $104.12 Long 119 0.15% 15305.20 15305.20
SPY 2011-03-31 2011-04-28 $103.98 $106.74 Long 119 2.65% 15633.68 15633.68
SPY 2011-04-29 2011-05-27 $106.99 $104.70 Long 118 -2.14% 15363.48 15363.48
SPY 2011-05-31 2011-06-29 $105.79 $103.02 Long 117 -2.62% 15039.20 15039.20
SPY 2011-06-30 2011-07-28 $104.00 $102.62 Long 117 -1.33% 14877.84 14877.84
SPY 2011-10-31 2011-11-29 $99.41 $95.10 Long 121 -4.34% 14355.47 14355.47
SPY 2011-12-30 2012-01-30 $100.04 $104.72 Long 116 4.68% 14898.27 14898.27
SPY 2012-01-31 2012-02-28 $104.68 $109.66 Long 115 4.75% 15470.30 15470.30
SPY 2012-02-29 2012-03-29 $109.23 $112.27 Long 114 2.79% 15817.77 15817.77
SPY 2012-03-30 2012-04-27 $112.74 $112.40 Long 113 -0.30% 15779.77 15779.77
SPY 2012-04-30 2012-05-30 $111.99 $105.49 Long 114 -5.80% 15039.55 15039.55
SPY 2012-06-29 2012-07-30 $109.53 $111.60 Long 111 1.90% 15270.01 15270.01
SPY 2012-08-31 2012-09-27 $113.60 $117.02 Long 108 3.01% 15639.64 15639.64
SPY 2012-09-28 2012-11-29 $116.48 $114.98 Long 108 -1.28% 15477.99 15477.99
SPY 2012-11-30 2012-12-28 $115.01 $114.10 Long 109 -0.79% 15379.41 15379.41
SPY 2012-12-31 2013-01-30 $116.04 $122.28 Long 107 5.38% 16047.26 16047.26
SPY 2013-01-31 2013-02-27 $121.98 $123.78 Long 106 1.48% 16238.15 16238.15
SPY 2013-02-28 2013-03-27 $123.54 $127.84 Long 106 3.48% 16693.79 16693.79
SPY 2013-03-28 2013-04-29 $128.23 $130.38 Long 105 1.68% 16919.81 16919.81
SPY 2013-04-30 2013-05-30 $130.69 $135.73 Long 104 3.85% 17443.30 17443.30
SPY 2013-05-31 2013-06-27 $133.78 $132.53 Long 105 -0.93% 17312.65 17312.65
SPY 2013-06-28 2013-07-30 $131.99 $138.71 Long 106 5.09% 18025.19 18025.19
SPY 2013-07-31 2013-08-29 $138.81 $135.08 Long 105 -2.69% 17632.97 17632.97
SPY 2013-08-30 2013-09-27 $134.65 $139.66 Long 106 3.72% 18164.03 18164.03
SPY 2013-09-30 2013-10-30 $138.91 $145.76 Long 105 4.93% 18882.86 18882.86
SPY 2013-10-31 2013-11-27 $145.35 $149.75 Long 105 3.03% 19345.59 19345.59
SPY 2013-11-29 2013-12-30 $149.65 $152.81 Long 104 2.11% 19673.42 19673.42
SPY 2013-12-31 2014-01-30 $153.53 $148.99 Long 103 -2.96% 19205.93 19205.93
SPY 2014-01-31 2014-02-27 $148.12 $154.47 Long 105 4.29% 19872.78 19872.78
SPY 2014-02-28 2014-03-28 $154.86 $154.88 Long 103 0.01% 19874.62 19874.62
SPY 2014-03-31 2014-04-29 $156.15 $156.76 Long 103 0.40% 19938.26 19938.26
SPY 2014-05-30 2014-06-27 $160.88 $164.28 Long 100 2.12% 20278.60 20278.60
SPY 2014-06-30 2014-07-30 $164.20 $165.26 Long 100 0.64% 20384.31 20384.31
SPY 2014-08-29 2014-09-29 $168.39 $166.50 Long 98 -1.12% 20199.68 20199.68
SPY 2014-10-31 2014-11-26 $169.98 $175.02 Long 96 2.97% 20683.56 20683.56
SPY 2014-12-31 2015-01-29 $174.20 $171.19 Long 96 -1.73% 20394.73 20394.73
SPY 2015-02-27 2015-03-30 $178.54 $177.28 Long 92 -0.71% 20278.65 20278.65
SPY 2015-03-31 2015-04-29 $175.73 $179.25 Long 93 2.01% 20606.40 20606.40
SPY 2015-04-30 2015-05-28 $177.45 $180.86 Long 94 1.92% 20926.48 20926.48
SPY 2015-05-29 2015-06-29 $179.74 $175.76 Long 94 -2.21% 20553.11 20553.11
SPY 2015-06-30 2015-07-30 $176.12 $180.34 Long 94 2.39% 20949.53 20949.53
SPY 2015-10-30 2015-11-27 $178.81 $180.21 Long 94 0.78% 21081.29 21081.29
SPY 2015-11-30 2015-12-30 $179.46 $178.16 Long 95 -0.72% 20957.71 20957.71
SPY 2016-03-31 2016-04-28 $178.72 $180.40 Long 94 0.94% 21115.48 21115.48
SPY 2016-04-29 2016-05-27 $179.42 $182.82 Long 95 1.90% 21438.49 21438.49
SPY 2016-05-31 2016-06-29 $182.48 $180.65 Long 95 -1.00% 21264.94 21264.94
SPY 2016-07-29 2016-08-30 $189.79 $190.56 Long 90 0.41% 21334.17 21334.17
SPY 2016-08-31 2016-09-29 $190.02 $188.61 Long 90 -0.74% 21207.40 21207.40
SPY 2016-09-30 2016-10-28 $190.04 $186.73 Long 90 -1.74% 20910.09 20910.09
SPY 2016-11-30 2016-12-29 $193.62 $198.27 Long 87 2.40% 21314.81 21314.81
SPY 2016-12-30 2017-01-30 $197.55 $201.10 Long 87 1.80% 21623.90 21623.90
SPY 2017-01-31 2017-02-27 $201.08 $209.55 Long 87 4.21% 22360.48 22360.48
SPY 2017-02-28 2017-03-30 $208.98 $209.73 Long 86 0.36% 22425.07 22425.07
SPY 2017-03-31 2017-04-27 $209.25 $211.78 Long 86 1.21% 22643.39 22643.39
SPY 2017-04-28 2017-05-30 $211.32 $214.36 Long 86 1.44% 22904.45 22904.45
SPY 2017-06-30 2017-07-28 $215.67 $220.23 Long 86 2.11% 23296.43 23296.43
SPY 2017-07-31 2017-08-30 $220.10 $219.43 Long 85 -0.31% 23238.81 23238.81
SPY 2017-08-31 2017-09-28 $220.75 $224.40 Long 85 1.66% 23549.67 23549.67
SPY 2017-09-29 2017-10-30 $225.19 $230.14 Long 84 2.20% 23965.30 23965.30
SPY 2017-10-31 2017-11-29 $230.50 $235.48 Long 84 2.16% 24383.93 24383.93
SPY 2017-11-30 2017-12-28 $237.54 $241.33 Long 83 1.59% 24697.76 24697.76
SPY 2017-12-29 2018-01-30 $240.42 $253.84 Long 83 5.58% 25811.91 25811.91
SPY 2018-01-31 2018-02-27 $253.97 $247.24 Long 82 -2.65% 25260.07 25260.07
SPY 2018-03-29 2018-04-27 $238.02 $241.11 Long 85 1.30% 25522.24 25522.24
SPY 2018-04-30 2018-05-30 $239.25 $246.58 Long 86 3.06% 26152.32 26152.32
SPY 2018-05-31 2018-06-28 $245.07 $246.12 Long 86 0.43% 26243.15 26243.15
SPY 2018-06-29 2018-07-30 $246.48 $254.36 Long 86 3.20% 26920.60 26920.60
SPY 2018-07-31 2018-08-30 $255.61 $263.76 Long 85 3.19% 27613.34 27613.34
SPY 2018-08-31 2018-09-27 $263.77 $265.31 Long 84 0.58% 27742.83 27742.83
SPY 2018-09-28 2018-10-30 $265.34 $244.39 Long 84 -7.89% 25983.35 25983.35
SPY 2019-01-31 2019-02-27 $247.83 $256.34 Long 84 3.43% 26698.28 26698.28
SPY 2019-02-28 2019-03-28 $255.87 $258.86 Long 84 1.17% 26949.74 26949.74
SPY 2019-04-30 2019-05-30 $271.13 $257.31 Long 80 -5.10% 25843.89 25843.89
SPY 2019-06-28 2019-07-30 $271.51 $278.66 Long 77 2.63% 26394.72 26394.72
SPY 2019-09-30 2019-10-30 $276.28 $283.14 Long 77 2.48% 26923.03 26923.03
SPY 2019-11-29 2019-12-30 $292.61 $300.37 Long 74 2.65% 27497.69 27497.69
SPY 2019-12-31 2020-01-30 $301.10 $306.55 Long 73 1.81% 27895.14 27895.14
SPY 2020-04-30 2020-05-28 $273.41 $285.17 Long 82 4.30% 28859.15 28859.15
SPY 2020-06-30 2020-07-30 $291.53 $306.28 Long 80 5.06% 30039.03 30039.03
SPY 2020-07-31 2020-08-28 $308.70 $331.44 Long 78 7.37% 31813.28 31813.28
SPY 2020-08-31 2020-09-29 $330.24 $315.50 Long 78 -4.46% 30663.35 30663.35
SPY 2020-09-30 2020-10-29 $317.89 $313.23 Long 78 -1.47% 30299.81 30299.81
SPY 2020-10-30 2020-11-27 $309.97 $345.21 Long 79 11.37% 33084.20 33084.20
SPY 2020-11-30 2020-12-30 $343.68 $354.62 Long 77 3.18% 33926.37 33926.37
SPY 2020-12-31 2021-01-28 $356.42 $360.00 Long 77 1.00% 34201.64 34201.64
SPY 2021-01-29 2021-02-25 $352.79 $364.48 Long 78 3.31% 35113.27 35113.27
SPY 2021-02-26 2021-03-30 $362.60 $377.53 Long 78 4.12% 36278.09 36278.09
SPY 2021-03-31 2021-04-29 $379.06 $401.76 Long 77 5.99% 38025.70 38025.70
SPY 2021-04-30 2021-05-27 $399.12 $401.02 Long 77 0.48% 38172.25 38172.25
SPY 2021-05-28 2021-06-29 $401.74 $410.42 Long 76 2.16% 38832.14 38832.14
SPY 2021-06-30 2021-07-29 $410.77 $422.85 Long 76 2.94% 39750.33 39750.33
SPY 2021-07-30 2021-08-30 $420.80 $433.96 Long 76 3.13% 40750.94 40750.94
SPY 2021-08-31 2021-09-29 $433.32 $418.25 Long 76 -3.48% 39605.61 39605.61
SPY 2021-09-30 2021-10-28 $413.14 $441.23 Long 77 6.80% 41768.69 41768.69
SPY 2021-10-29 2021-11-29 $442.13 $447.28 Long 76 1.16% 42160.13 42160.13
SPY 2023-01-31 2023-02-27 $399.10 $390.51 Long 85 -2.15% 41429.88 41429.88
SPY 2023-06-30 2023-07-28 $438.54 $452.04 Long 76 3.08% 42455.45 42455.45
SPY 2023-07-31 2023-08-30 $452.90 $446.19 Long 75 -1.48% 41952.38 41952.38
SPY 2023-11-30 2023-12-28 $453.14 $475.20 Long 74 4.87% 43585.34 43585.34
SPY 2023-12-29 2024-01-30 $473.83 $489.36 Long 74 3.28% 44734.66 44734.66
SPY 2024-01-31 2024-02-28 $481.37 $504.68 Long 75 4.84% 46482.70 46482.70
SPY 2024-02-29 2024-03-27 $506.50 $523.17 Long 74 3.29% 47716.61 47716.61

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
DMIndicatorMC 0.80 SPY 2024-03-28 Hold Long -4.46% EndOfMonth