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 | $20906.45 |
| FirstDate | 1998-02-27 |
| LastDate | 2021-11-30 |
| FirstEquity | $10000.00 |
| FinalEquity | $30906.45 |
| OpenEquity | $0.00 |
| LongEquity | $20906.45 |
| ShortEquity | $0.00 |
| PercentWins | 57.69% |
| AveWin | $1859.79 |
| AveLoss | $-635.49 |
| AveWinLoss | 2.93 |
| Expectancy | 7.11% |
| AveDrawUp | 17.94% |
| AveDrawDown | -10.39% |
| MaxDrawDown | -31.28% |
| Kelly | 43.24% |
| Thrope | 67.31 |
| APR | 4.86% |
| CalmarRatio | 0.47 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 1998-02-27 | 1998-07-31 | $68.12 | $72.88 | Long | 118.0 | 6.98% | 10560.79 | 10560.79 |
| SPY | 1999-01-29 | 1999-03-31 | $83.80 | $84.48 | Long | 102.0 | 0.81% | 10630.11 | 10630.11 |
| SPY | 1999-04-30 | 2000-05-31 | $87.68 | $94.99 | Long | 98.0 | 8.33% | 11346.25 | 11346.25 |
| SPY | 2000-06-30 | 2000-11-30 | $96.86 | $88.42 | Long | 94.0 | -8.71% | 10552.82 | 10552.82 |
| SPY | 2001-01-31 | 2001-02-28 | $91.88 | $83.11 | Long | 93.0 | -9.54% | 9737.78 | 9737.78 |
| SPY | 2001-05-31 | 2001-09-28 | $84.69 | $70.69 | Long | 93.0 | -16.53% | 8436.15 | 8436.15 |
| SPY | 2001-10-31 | 2002-07-31 | $71.61 | $62.31 | Long | 95.0 | -12.99% | 7552.50 | 7552.50 |
| SPY | 2002-11-29 | 2004-07-30 | $64.52 | $78.27 | Long | 94.0 | 21.31% | 8844.84 | 8844.84 |
| SPY | 2004-10-29 | 2005-03-31 | $80.27 | $84.62 | Long | 89.0 | 5.42% | 9232.31 | 9232.31 |
| SPY | 2005-06-30 | 2006-06-30 | $85.84 | $93.34 | Long | 87.0 | 8.73% | 9884.20 | 9884.20 |
| SPY | 2006-10-31 | 2007-07-31 | $101.49 | $108.82 | Long | 78.0 | 7.22% | 10456.09 | 10456.09 |
| SPY | 2007-09-28 | 2007-11-30 | $114.48 | $111.54 | Long | 73.0 | -2.57% | 10241.39 | 10241.39 |
| SPY | 2008-08-29 | 2008-09-30 | $98.10 | $88.85 | Long | 84.0 | -9.44% | 9463.68 | 9463.68 |
| SPY | 2009-04-30 | 2010-06-30 | $68.00 | $82.29 | Long | 112.0 | 21.01% | 11064.04 | 11064.04 |
| SPY | 2010-07-30 | 2010-08-31 | $87.91 | $83.96 | Long | 101.0 | -4.50% | 10664.65 | 10664.65 |
| SPY | 2010-09-30 | 2011-07-29 | $91.48 | $105.17 | Long | 94.0 | 14.97% | 11952.04 | 11952.04 |
| SPY | 2011-12-30 | 2014-05-30 | $103.23 | $166.01 | Long | 93.0 | 60.81% | 17790.44 | 17790.44 |
| SPY | 2014-06-30 | 2014-07-31 | $169.44 | $167.16 | Long | 85.0 | -1.34% | 17596.91 | 17596.91 |
| SPY | 2014-08-29 | 2014-09-30 | $173.76 | $171.36 | Long | 82.0 | -1.38% | 17400.41 | 17400.41 |
| SPY | 2014-10-31 | 2015-07-31 | $175.40 | $185.76 | Long | 80.0 | 5.91% | 18229.89 | 18229.89 |
| SPY | 2016-04-29 | 2018-10-31 | $185.15 | $254.88 | Long | 79.0 | 37.66% | 23738.68 | 23738.68 |
| SPY | 2019-04-30 | 2019-05-31 | $279.78 | $261.94 | Long | 68.0 | -6.38% | 22525.44 | 22525.44 |
| SPY | 2019-06-28 | 2019-07-31 | $280.16 | $284.40 | Long | 65.0 | 1.51% | 22800.78 | 22800.78 |
| SPY | 2019-11-29 | 2020-01-31 | $301.94 | $310.58 | Long | 61.0 | 2.86% | 23327.87 | 23327.87 |
| SPY | 2020-06-30 | 2021-09-30 | $300.82 | $426.31 | Long | 62.0 | 41.71% | 31108.07 | 31108.07 |
| SPY | 2021-10-29 | 2021-11-30 | $456.22 | $452.56 | Long | 55.0 | -0.80% | 30906.45 | 30906.45 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| DMIndicatorMC | 0.90 | 0.00 | Out | EOM |