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 | 30.00 |
| NoOfWins | 17.00 |
| NoOfLosses | 13.00 |
| SharpRatio | 0.33 |
| SortinoRatio | 0.42 |
| GrossProfit | $11456.56 |
| FirstDate | 1998-02-27 |
| LastDate | 2020-01-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $21456.56 |
| OpenEquity | $17316.60 |
| LongEquity | $11456.56 |
| ShortEquity | $0.00 |
| PercentWins | 56.67% |
| AveWin | $1113.71 |
| AveLoss | $-575.12 |
| AveWinLoss | 1.94 |
| Expectancy | 3.45% |
| AveDrawUp | 17.08% |
| AveDrawDown | -10.65% |
| MaxDrawDown | -27.42% |
| Kelly | 34.29% |
| Thrope | 49.64 |
| APR | 3.54% |
| CalmarRatio | 0.33 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 1998-02-27 | 1998-07-31 | $68.80 | $73.60 | Long | 117.0 | 6.98% | 10561.54 | 10561.54 |
| SPY | 1998-11-30 | 1998-12-31 | $76.73 | $81.75 | Long | 111.0 | 6.54% | 11118.57 | 11118.57 |
| SPY | 1999-01-29 | 1999-03-31 | $84.62 | $85.31 | Long | 106.0 | 0.81% | 11191.33 | 11191.33 |
| SPY | 1999-04-30 | 2000-05-31 | $88.55 | $95.93 | Long | 102.0 | 8.33% | 11944.07 | 11944.07 |
| SPY | 2000-06-30 | 2000-07-31 | $97.82 | $96.28 | Long | 98.0 | -1.57% | 11793.54 | 11793.54 |
| SPY | 2000-08-31 | 2000-11-30 | $102.58 | $89.30 | Long | 93.0 | -12.95% | 10558.55 | 10558.55 |
| SPY | 2001-01-31 | 2001-02-28 | $92.79 | $83.94 | Long | 92.0 | -9.54% | 9744.29 | 9744.29 |
| SPY | 2001-05-31 | 2001-08-31 | $85.52 | $77.73 | Long | 92.0 | -9.11% | 9027.41 | 9027.41 |
| SPY | 2001-10-31 | 2002-07-31 | $72.32 | $62.93 | Long | 101.0 | -12.99% | 8078.66 | 8078.66 |
| SPY | 2002-11-29 | 2004-07-30 | $65.16 | $79.05 | Long | 100.0 | 21.31% | 9467.09 | 9467.09 |
| SPY | 2004-10-29 | 2005-03-31 | $81.06 | $85.46 | Long | 94.0 | 5.42% | 9880.38 | 9880.38 |
| SPY | 2005-06-30 | 2006-06-30 | $86.69 | $94.26 | Long | 92.0 | 8.73% | 10576.56 | 10576.56 |
| SPY | 2006-10-31 | 2007-07-31 | $102.49 | $109.89 | Long | 83.0 | 7.22% | 11191.13 | 11191.13 |
| SPY | 2007-09-28 | 2007-11-30 | $115.61 | $112.64 | Long | 78.0 | -2.57% | 10959.45 | 10959.45 |
| SPY | 2008-05-30 | 2008-06-30 | $107.42 | $98.45 | Long | 82.0 | -8.35% | 10223.94 | 10223.94 |
| SPY | 2008-07-31 | 2008-09-30 | $97.57 | $89.73 | Long | 84.0 | -8.04% | 9565.19 | 9565.19 |
| SPY | 2009-04-30 | 2010-06-30 | $68.68 | $83.11 | Long | 112.0 | 21.01% | 11181.39 | 11181.39 |
| SPY | 2010-07-30 | 2010-08-31 | $88.78 | $84.79 | Long | 102.0 | -4.50% | 10774.05 | 10774.05 |
| SPY | 2010-09-30 | 2011-06-30 | $92.38 | $108.38 | Long | 94.0 | 17.32% | 12277.98 | 12277.98 |
| SPY | 2011-12-30 | 2012-05-31 | $104.25 | $109.69 | Long | 95.0 | 5.22% | 12794.51 | 12794.51 |
| SPY | 2012-06-29 | 2014-05-30 | $114.14 | $167.65 | Long | 90.0 | 46.89% | 17611.01 | 17611.01 |
| SPY | 2014-06-30 | 2014-07-31 | $171.11 | $168.81 | Long | 83.0 | -1.34% | 17420.17 | 17420.17 |
| SPY | 2014-08-29 | 2014-09-30 | $175.47 | $173.05 | Long | 80.0 | -1.38% | 17226.57 | 17226.57 |
| SPY | 2014-10-31 | 2015-01-30 | $177.13 | $176.15 | Long | 78.0 | -0.55% | 17150.25 | 17150.25 |
| SPY | 2015-02-27 | 2015-07-31 | $186.05 | $187.60 | Long | 74.0 | 0.83% | 17264.88 | 17264.88 |
| SPY | 2016-03-31 | 2016-10-31 | $186.24 | $194.60 | Long | 75.0 | 4.49% | 17891.75 | 17891.75 |
| SPY | 2016-11-30 | 2018-10-31 | $201.77 | $257.40 | Long | 71.0 | 27.57% | 21841.36 | 21841.36 |
| SPY | 2019-04-30 | 2019-05-31 | $282.55 | $264.53 | Long | 62.0 | -6.38% | 20724.23 | 20724.23 |
| SPY | 2019-06-28 | 2019-07-31 | $282.94 | $287.21 | Long | 59.0 | 1.51% | 20976.62 | 20976.62 |
| SPY | 2019-11-29 | 2020-01-31 | $304.92 | $313.65 | Long | 55.0 | 2.86% | 21456.56 | 21456.56 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|