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 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