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 | $21041.15 |
| FirstDate | 1998-02-27 |
| LastDate | 2021-11-30 |
| FirstEquity | $10000.00 |
| FinalEquity | $31041.15 |
| OpenEquity | $0.00 |
| LongEquity | $21041.15 |
| ShortEquity | $0.00 |
| PercentWins | 57.69% |
| AveWin | 16.35% |
| AveLoss | -6.74% |
| AveWinLoss | 2.42 |
| Expectancy | 6.58% |
| AveDrawUp | 18.01% |
| AveDrawDown | -10.41% |
| MaxDrawDown | -31.29% |
| Kelly | 40.24% |
| Thorpe | 67.34 |
| 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 | $67.24 | $71.93 | Long | 120.0 | 6.98% | 10562.89 | 10562.89 |
| SPY | 1999-01-29 | 1999-03-31 | $82.71 | $83.38 | Long | 103.0 | 0.81% | 10631.98 | 10631.98 |
| SPY | 1999-04-30 | 2000-05-31 | $86.54 | $93.76 | Long | 99.0 | 8.33% | 11346.03 | 11346.03 |
| SPY | 2000-06-30 | 2000-11-30 | $95.60 | $87.27 | Long | 96.0 | -8.71% | 10546.25 | 10546.25 |
| SPY | 2001-01-31 | 2001-02-28 | $90.68 | $82.03 | Long | 94.0 | -9.54% | 9733.13 | 9733.13 |
| SPY | 2001-05-31 | 2001-09-28 | $83.59 | $69.77 | Long | 94.0 | -16.53% | 8434.59 | 8434.59 |
| SPY | 2001-10-31 | 2002-07-31 | $70.68 | $61.50 | Long | 96.0 | -12.99% | 7553.24 | 7553.24 |
| SPY | 2002-11-29 | 2004-07-30 | $63.69 | $77.26 | Long | 96.0 | 21.31% | 8855.93 | 8855.93 |
| SPY | 2004-10-29 | 2005-03-31 | $79.23 | $83.53 | Long | 90.0 | 5.42% | 9242.67 | 9242.67 |
| SPY | 2005-06-30 | 2006-06-30 | $84.73 | $92.12 | Long | 88.0 | 8.73% | 9893.50 | 9893.50 |
| SPY | 2006-10-31 | 2007-07-31 | $100.17 | $107.41 | Long | 80.0 | 7.22% | 10472.43 | 10472.43 |
| SPY | 2007-09-28 | 2007-11-30 | $112.99 | $110.09 | Long | 75.0 | -2.57% | 10254.71 | 10254.71 |
| SPY | 2008-08-29 | 2008-09-30 | $96.83 | $87.69 | Long | 85.0 | -9.44% | 9477.96 | 9477.96 |
| SPY | 2009-04-30 | 2010-06-30 | $67.12 | $81.22 | Long | 114.0 | 21.01% | 11085.75 | 11085.75 |
| SPY | 2010-07-30 | 2010-08-31 | $86.77 | $82.87 | Long | 103.0 | -4.50% | 10683.74 | 10683.74 |
| SPY | 2010-09-30 | 2011-07-29 | $90.29 | $103.81 | Long | 95.0 | 14.97% | 11967.93 | 11967.93 |
| SPY | 2011-12-30 | 2014-05-30 | $101.89 | $163.85 | Long | 95.0 | 60.81% | 17854.44 | 17854.44 |
| SPY | 2014-06-30 | 2014-07-31 | $167.24 | $164.99 | Long | 86.0 | -1.34% | 17661.18 | 17661.18 |
| SPY | 2014-08-29 | 2014-09-30 | $171.50 | $169.13 | Long | 83.0 | -1.38% | 17464.87 | 17464.87 |
| SPY | 2014-10-31 | 2015-07-31 | $173.12 | $183.35 | Long | 81.0 | 5.91% | 18293.81 | 18293.81 |
| SPY | 2016-04-29 | 2018-10-31 | $182.74 | $251.57 | Long | 81.0 | 37.66% | 23868.73 | 23868.73 |
| SPY | 2019-04-30 | 2019-05-31 | $276.14 | $258.53 | Long | 70.0 | -6.38% | 22636.02 | 22636.02 |
| SPY | 2019-06-28 | 2019-07-31 | $276.53 | $280.71 | Long | 66.0 | 1.51% | 22911.96 | 22911.96 |
| SPY | 2019-11-29 | 2020-01-31 | $298.01 | $306.54 | Long | 62.0 | 2.86% | 23440.73 | 23440.73 |
| SPY | 2020-06-30 | 2021-09-30 | $296.92 | $420.78 | Long | 63.0 | 41.71% | 31243.77 | 31243.77 |
| SPY | 2021-10-29 | 2021-11-30 | $450.30 | $446.68 | Long | 56.0 | -0.80% | 31041.15 | 31041.15 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| DMIndicatorMC | 0.90 | 0.00 | Out | EOM |