Description
The RSP ETF is used as a signal asset 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 | 19.00 |
| NoOfWins | 12.00 |
| NoOfLosses | 7.00 |
| SharpRatio | 0.73 |
| SortinoRatio | 0.90 |
| GrossProfit | $26691.79 |
| FirstDate | 2003-11-26 |
| LastDate | 2022-04-29 |
| FirstEquity | $10000.00 |
| FinalEquity | $36691.79 |
| OpenEquity | $29508.99 |
| LongEquity | $26691.79 |
| ShortEquity | $0.00 |
| PercentWins | 63.16% |
| AveWin | 18.87% |
| AveLoss | -5.33% |
| AveWinLoss | 3.54 |
| Expectancy | 9.95% |
| AveDrawUp | 18.43% |
| AveDrawDown | -8.42% |
| MaxDrawDown | -16.11% |
| Kelly | 52.75% |
| Thorpe | 120.70 |
| APR | 7.31% |
| CalmarRatio | 0.87 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 2003-11-26 | 2004-07-30 | $72.98 | $76.96 | Long | 110.0 | 5.45% | 10437.55 | 10437.55 |
| SPY | 2004-10-29 | 2006-07-31 | $78.92 | $92.18 | Long | 107.0 | 16.80% | 11856.06 | 11856.06 |
| SPY | 2006-08-31 | 2007-07-31 | $94.19 | $106.99 | Long | 101.0 | 13.59% | 13148.88 | 13148.88 |
| SPY | 2007-09-28 | 2007-11-30 | $112.56 | $109.67 | Long | 94.0 | -2.57% | 12877.06 | 12877.06 |
| SPY | 2008-05-30 | 2008-06-30 | $104.58 | $95.85 | Long | 99.0 | -8.35% | 12012.52 | 12012.52 |
| SPY | 2009-04-30 | 2010-06-30 | $66.86 | $80.91 | Long | 145.0 | 21.01% | 14049.65 | 14049.65 |
| SPY | 2010-07-30 | 2010-08-31 | $86.44 | $82.55 | Long | 131.0 | -4.50% | 13540.33 | 13540.33 |
| SPY | 2010-09-30 | 2011-07-29 | $89.94 | $103.41 | Long | 121.0 | 14.97% | 15169.68 | 15169.68 |
| SPY | 2011-12-30 | 2012-05-31 | $101.50 | $106.79 | Long | 121.0 | 5.22% | 15810.20 | 15810.20 |
| SPY | 2012-06-29 | 2012-07-31 | $111.12 | $112.44 | Long | 115.0 | 1.18% | 15961.37 | 15961.37 |
| SPY | 2012-08-31 | 2015-06-30 | $115.25 | $178.69 | Long | 112.0 | 55.04% | 23066.19 | 23066.19 |
| SPY | 2015-07-31 | 2015-08-31 | $182.65 | $171.44 | Long | 102.0 | -6.13% | 21923.34 | 21923.34 |
| SPY | 2015-11-30 | 2015-12-31 | $182.08 | $178.95 | Long | 97.0 | -1.72% | 21619.93 | 21619.93 |
| SPY | 2016-03-31 | 2018-10-31 | $181.32 | $250.60 | Long | 96.0 | 38.21% | 28270.42 | 28270.42 |
| SPY | 2019-01-31 | 2019-05-31 | $251.44 | $257.54 | Long | 91.0 | 2.43% | 28825.36 | 28825.36 |
| SPY | 2019-06-28 | 2020-02-28 | $275.46 | $281.19 | Long | 84.0 | 2.08% | 29306.39 | 29306.39 |
| SPY | 2020-06-30 | 2021-11-30 | $295.78 | $444.96 | Long | 80.0 | 50.44% | 41241.32 | 41241.32 |
| SPY | 2021-12-31 | 2022-01-31 | $465.56 | $441.00 | Long | 71.0 | -5.27% | 39497.97 | 39497.97 |
| SPY | 2022-03-31 | 2022-04-29 | $444.06 | $405.09 | Long | 72.0 | -8.78% | 36691.79 | 36691.79 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|