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 26.00
NoOfWins 15.00
NoOfLosses 11.00
SharpRatio 0.45
SortinoRatio 0.57
GrossProfit $21018.06
FirstDate 1998-02-27
LastDate 2021-11-30
FirstEquity $10000.00
FinalEquity $31018.06
OpenEquity $0.00
LongEquity $21018.06
ShortEquity $0.00
PercentWins 57.69%
AveWin 16.35%
AveLoss -6.74%
AveWinLoss 2.42
Expectancy 6.58%
AveDrawUp 17.95%
AveDrawDown -10.39%
MaxDrawDown -31.11%
Kelly 40.24%
Thrope 67.50
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 $67.55 $72.27 Long 119.0 6.98% 10560.79 10560.79
SPY 1999-01-29 1999-03-31 $83.09 $83.77 Long 102.0 0.81% 10629.53 10629.53
SPY 1999-04-30 2000-05-31 $86.95 $94.19 Long 99.0 8.33% 11346.90 11346.90
SPY 2000-06-30 2000-11-30 $96.05 $87.68 Long 95.0 -8.71% 10551.77 10551.77
SPY 2001-01-31 2001-02-28 $91.11 $82.42 Long 93.0 -9.54% 9743.57 9743.57
SPY 2001-05-31 2001-09-28 $83.97 $70.10 Long 93.0 -16.53% 8452.87 8452.87
SPY 2001-10-31 2002-07-31 $71.01 $61.79 Long 96.0 -12.99% 7567.42 7567.42
SPY 2002-11-29 2004-07-30 $63.98 $77.62 Long 95.0 21.31% 8862.53 8862.53
SPY 2004-10-29 2005-03-31 $79.60 $83.91 Long 90.0 5.42% 9251.07 9251.07
SPY 2005-06-30 2006-06-30 $85.12 $92.55 Long 88.0 8.73% 9904.92 9904.92
SPY 2006-10-31 2007-07-31 $100.63 $107.90 Long 79.0 7.22% 10479.28 10479.28
SPY 2007-09-28 2007-11-30 $113.52 $110.60 Long 74.0 -2.57% 10263.46 10263.46
SPY 2008-08-29 2008-09-30 $97.28 $88.10 Long 85.0 -9.44% 9483.10 9483.10
SPY 2009-04-30 2010-06-30 $67.43 $81.60 Long 113.0 21.01% 11084.19 11084.19
SPY 2010-07-30 2010-08-31 $87.17 $83.25 Long 102.0 -4.50% 10684.24 10684.24
SPY 2010-09-30 2011-07-29 $90.71 $104.29 Long 95.0 14.97% 11974.40 11974.40
SPY 2011-12-30 2014-05-30 $102.37 $164.62 Long 94.0 60.81% 17826.02 17826.02
SPY 2014-06-30 2014-07-31 $168.01 $165.76 Long 85.0 -1.34% 17634.11 17634.11
SPY 2014-08-29 2014-09-30 $172.30 $169.92 Long 82.0 -1.38% 17439.27 17439.27
SPY 2014-10-31 2015-07-31 $173.92 $184.20 Long 81.0 5.91% 18272.06 18272.06
SPY 2016-04-29 2018-10-31 $183.59 $252.74 Long 80.0 37.66% 23803.74 23803.74
SPY 2019-04-30 2019-05-31 $277.43 $259.74 Long 69.0 -6.38% 22583.00 22583.00
SPY 2019-06-28 2019-07-31 $277.81 $282.01 Long 65.0 1.51% 22856.02 22856.02
SPY 2019-11-29 2020-01-31 $299.40 $307.97 Long 61.0 2.86% 23378.68 23378.68
SPY 2020-06-30 2021-09-30 $298.30 $422.73 Long 63.0 41.71% 31217.98 31217.98
SPY 2021-10-29 2021-11-30 $452.39 $448.76 Long 55.0 -0.80% 31018.06 31018.06

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
DMIndicatorMC 0.90 0.00 Out EOM