Strategy - DMIndicatorRSP


Dual Momentum Signal

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 2a6eb36f-70cb-4fd2-9e5f-f899be33ec66
NoOfTrades 179.00
NoOfWins 128.00
NoOfLosses 51.00
SharpRatio 0.86
SortinoRatio 1.06
GrossProfit $36447.20
FirstDate 2004-04-30
LastDate 2024-03-27
FirstEquity $10000.00
FinalEquity $46447.20
OpenEquity $37137.97
LongEquity $36447.20
ShortEquity $0.00
PercentWins 71.51%
AveWin 2.80%
AveLoss -3.11%
AveWinLoss 0.90
Expectancy 1.11%
MedianDrawUp 18.51%
MednDrawDown -8.21%
MaxDrawDown -15.25%
Kelly 39.81%
Thorpe 9.43
Rachev 1.19
PAPR 3.19%
APR 8.02%
CalmarRatio 0.94

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2004-04-30 2004-05-27 $75.66 $76.96 Long 107 1.72% 10139.35 10139.35
SPY 2004-05-28 2004-06-29 $76.96 $77.96 Long 106 1.31% 10245.95 10245.95
SPY 2004-06-30 2004-07-29 $78.38 $75.67 Long 105 -3.46% 9961.40 9961.40
SPY 2004-10-29 2004-11-29 $77.79 $81.20 Long 103 4.38% 10312.35 10312.35
SPY 2004-11-30 2004-12-30 $81.25 $83.88 Long 102 3.24% 10580.61 10580.61
SPY 2004-12-31 2005-01-28 $83.70 $81.32 Long 102 -2.85% 10337.63 10337.63
SPY 2005-01-31 2005-02-25 $81.83 $84.09 Long 102 2.77% 10568.60 10568.60
SPY 2005-02-28 2005-03-30 $83.54 $82.16 Long 102 -1.64% 10428.44 10428.44
SPY 2005-03-31 2005-04-28 $82.01 $79.39 Long 103 -3.19% 10159.19 10159.19
SPY 2005-04-29 2005-05-27 $80.47 $83.60 Long 102 3.89% 10478.30 10478.30
SPY 2005-05-31 2005-06-29 $83.07 $83.64 Long 102 0.70% 10537.26 10537.26
SPY 2005-06-30 2005-07-28 $83.19 $86.95 Long 102 4.52% 10921.02 10921.02
SPY 2005-07-29 2005-08-30 $86.37 $84.50 Long 102 -2.17% 10729.50 10729.50
SPY 2005-08-31 2005-09-29 $85.56 $85.98 Long 101 0.49% 10771.67 10771.67
SPY 2005-09-30 2005-10-28 $86.25 $83.98 Long 101 -2.63% 10542.28 10542.28
SPY 2005-10-31 2005-11-29 $84.21 $88.39 Long 101 4.96% 10964.24 10964.24
SPY 2005-11-30 2005-12-29 $87.91 $88.22 Long 101 0.36% 10995.77 10995.77
SPY 2005-12-30 2006-01-30 $87.74 $90.51 Long 101 3.16% 11275.49 11275.49
SPY 2006-01-31 2006-02-27 $89.85 $91.23 Long 101 1.54% 11414.99 11414.99
SPY 2006-02-28 2006-03-30 $90.36 $91.83 Long 102 1.63% 11564.95 11564.95
SPY 2006-03-31 2006-04-27 $91.85 $92.70 Long 101 0.92% 11650.70 11650.70
SPY 2006-04-28 2006-05-30 $93.01 $89.22 Long 101 -4.08% 11266.97 11266.97
SPY 2006-05-31 2006-06-29 $90.21 $90.44 Long 101 0.26% 11290.35 11290.35
SPY 2006-06-30 2006-07-28 $90.45 $90.95 Long 101 0.55% 11340.59 11340.59
SPY 2006-08-31 2006-09-28 $92.84 $95.42 Long 98 2.78% 11593.88 11593.88
SPY 2006-09-29 2006-10-30 $95.35 $98.36 Long 98 3.17% 11889.77 11889.77
SPY 2006-10-31 2006-11-29 $98.35 $100.26 Long 97 1.94% 12075.32 12075.32
SPY 2006-11-30 2006-12-28 $100.31 $102.07 Long 97 1.76% 12246.46 12246.46
SPY 2006-12-29 2007-01-30 $101.65 $102.49 Long 97 0.83% 12327.92 12327.92
SPY 2007-01-31 2007-02-27 $103.18 $100.13 Long 96 -2.96% 12035.08 12035.08
SPY 2007-02-28 2007-03-29 $101.15 $102.30 Long 96 1.14% 12145.67 12145.67
SPY 2007-03-30 2007-04-27 $102.33 $107.75 Long 96 5.30% 12666.58 12666.58
SPY 2007-04-30 2007-05-30 $106.86 $110.60 Long 96 3.50% 13025.61 13025.61
SPY 2007-05-31 2007-06-28 $110.48 $108.83 Long 95 -1.50% 12868.44 12868.44
SPY 2007-06-29 2007-07-30 $108.86 $106.66 Long 95 -2.03% 12658.75 12658.75
SPY 2007-09-28 2007-10-30 $110.94 $111.29 Long 92 0.31% 12690.86 12690.86
SPY 2007-10-31 2007-11-29 $112.45 $107.02 Long 91 -4.83% 12196.59 12196.59
SPY 2008-05-30 2008-06-27 $103.08 $94.14 Long 95 -8.67% 11347.34 11347.34
SPY 2009-04-30 2009-05-28 $65.90 $68.54 Long 139 4.00% 11714.08 11714.08
SPY 2009-05-29 2009-06-29 $69.75 $70.27 Long 136 0.75% 11785.02 11785.02
SPY 2009-06-30 2009-07-30 $69.71 $74.80 Long 136 7.31% 12477.85 12477.85
SPY 2009-07-31 2009-08-28 $74.91 $78.37 Long 134 4.63% 12942.09 12942.09
SPY 2009-08-31 2009-09-29 $77.67 $80.74 Long 134 3.95% 13352.99 13352.99
SPY 2009-09-30 2009-10-29 $80.43 $81.24 Long 134 1.00% 13461.18 13461.18
SPY 2009-10-30 2009-11-27 $78.88 $83.46 Long 138 5.80% 14092.92 14092.92
SPY 2009-11-30 2009-12-30 $83.74 $86.17 Long 136 2.89% 14422.61 14422.61
SPY 2009-12-31 2010-01-28 $85.34 $83.14 Long 136 -2.58% 14123.71 14123.71
SPY 2010-01-29 2010-02-25 $82.24 $84.75 Long 139 3.05% 14472.84 14472.84
SPY 2010-02-26 2010-03-30 $84.80 $90.28 Long 138 6.45% 15228.05 15228.05
SPY 2010-03-31 2010-04-29 $89.97 $92.94 Long 137 3.30% 15634.69 15634.69
SPY 2010-04-30 2010-05-27 $91.36 $85.17 Long 138 -6.78% 14780.46 14780.46
SPY 2010-05-28 2010-06-29 $84.10 $80.51 Long 142 -4.26% 14271.14 14271.14
SPY 2010-07-30 2010-08-30 $85.20 $81.36 Long 135 -4.50% 13753.80 13753.80
SPY 2010-09-30 2010-10-28 $88.65 $91.97 Long 125 3.74% 14168.39 14168.39
SPY 2010-10-29 2010-11-29 $92.04 $92.56 Long 124 0.57% 14232.92 14232.92
SPY 2010-11-30 2010-12-30 $92.04 $98.17 Long 125 6.66% 14999.00 14999.00
SPY 2010-12-31 2011-01-28 $98.19 $99.73 Long 123 1.57% 15188.20 15188.20
SPY 2011-01-31 2011-02-25 $100.48 $103.33 Long 122 2.84% 15535.91 15535.91
SPY 2011-02-28 2011-03-30 $103.97 $104.12 Long 121 0.15% 15554.33 15554.33
SPY 2011-03-31 2011-04-28 $103.98 $106.74 Long 121 2.65% 15888.34 15888.34
SPY 2011-04-29 2011-05-27 $106.99 $104.70 Long 120 -2.14% 15613.55 15613.55
SPY 2011-05-31 2011-06-29 $105.79 $103.02 Long 119 -2.62% 15283.74 15283.74
SPY 2011-06-30 2011-07-28 $104.00 $102.62 Long 119 -1.33% 15119.62 15119.62
SPY 2011-12-30 2012-01-30 $100.04 $104.72 Long 122 4.68% 15690.49 15690.49
SPY 2012-01-31 2012-02-28 $104.68 $109.66 Long 121 4.75% 16292.37 16292.37
SPY 2012-02-29 2012-03-29 $109.23 $112.27 Long 120 2.79% 16658.12 16658.12
SPY 2012-03-30 2012-04-27 $112.74 $112.40 Long 119 -0.30% 16618.11 16618.11
SPY 2012-04-30 2012-05-30 $111.99 $105.49 Long 120 -5.80% 15838.93 15838.93
SPY 2012-06-29 2012-07-30 $109.53 $111.60 Long 117 1.90% 16081.85 16081.85
SPY 2012-08-31 2012-09-27 $113.60 $117.02 Long 114 3.01% 16472.01 16472.01
SPY 2012-09-28 2012-11-29 $116.48 $114.98 Long 114 -1.28% 16301.38 16301.38
SPY 2012-11-30 2012-12-28 $115.01 $114.10 Long 114 -0.79% 16198.28 16198.28
SPY 2012-12-31 2013-01-30 $116.04 $122.28 Long 113 5.38% 16903.58 16903.58
SPY 2013-01-31 2013-02-27 $121.98 $123.78 Long 112 1.48% 17105.27 17105.27
SPY 2013-02-28 2013-03-27 $123.54 $127.84 Long 112 3.48% 17586.70 17586.70
SPY 2013-03-28 2013-04-29 $128.23 $130.38 Long 111 1.68% 17825.64 17825.64
SPY 2013-04-30 2013-05-30 $130.69 $135.73 Long 110 3.85% 18379.33 18379.33
SPY 2013-05-31 2013-06-27 $133.78 $132.53 Long 111 -0.93% 18241.21 18241.21
SPY 2013-06-28 2013-07-30 $131.99 $138.71 Long 111 5.09% 18987.37 18987.37
SPY 2013-07-31 2013-08-29 $138.81 $135.08 Long 110 -2.69% 18576.47 18576.47
SPY 2013-08-30 2013-09-27 $134.65 $139.66 Long 111 3.72% 19132.58 19132.58
SPY 2013-09-30 2013-10-30 $138.91 $145.76 Long 111 4.93% 19892.49 19892.49
SPY 2013-10-31 2013-11-27 $145.35 $149.75 Long 110 3.03% 20377.25 20377.25
SPY 2013-11-29 2013-12-30 $149.65 $152.81 Long 110 2.11% 20723.99 20723.99
SPY 2013-12-31 2014-01-30 $153.53 $148.99 Long 109 -2.96% 20229.27 20229.27
SPY 2014-01-31 2014-02-27 $148.12 $154.47 Long 110 4.29% 20927.87 20927.87
SPY 2014-02-28 2014-03-28 $154.86 $154.88 Long 109 0.01% 20929.82 20929.82
SPY 2014-03-31 2014-04-29 $156.15 $156.76 Long 108 0.40% 20996.55 20996.55
SPY 2014-04-30 2014-05-29 $157.23 $160.62 Long 108 2.16% 21362.67 21362.67
SPY 2014-05-30 2014-06-27 $160.88 $164.28 Long 107 2.12% 21726.83 21726.83
SPY 2014-06-30 2014-07-30 $164.20 $165.26 Long 107 0.64% 21839.94 21839.94
SPY 2014-07-31 2014-08-28 $161.99 $167.91 Long 109 3.65% 22484.63 22484.63
SPY 2014-08-29 2014-09-29 $168.39 $166.50 Long 108 -1.12% 22281.17 22281.17
SPY 2014-09-30 2014-10-30 $166.06 $168.05 Long 108 1.20% 22496.00 22496.00
SPY 2014-10-31 2014-11-26 $169.98 $175.02 Long 107 2.97% 23035.33 23035.33
SPY 2014-11-28 2014-12-30 $174.65 $175.94 Long 106 0.74% 23172.99 23172.99
SPY 2014-12-31 2015-01-29 $174.20 $171.19 Long 107 -1.73% 22851.07 22851.07
SPY 2015-01-30 2015-02-26 $169.04 $179.15 Long 109 5.98% 23953.15 23953.15
SPY 2015-02-27 2015-03-30 $178.54 $177.28 Long 108 -0.71% 23816.88 23816.88
SPY 2015-03-31 2015-04-29 $175.73 $179.25 Long 109 2.01% 24201.02 24201.02
SPY 2015-04-30 2015-05-28 $177.45 $180.86 Long 110 1.92% 24575.58 24575.58
SPY 2015-05-29 2015-06-29 $179.74 $175.76 Long 110 -2.21% 24138.66 24138.66
SPY 2015-07-31 2015-08-28 $180.02 $170.43 Long 108 -5.33% 23103.01 23103.01
SPY 2015-11-30 2015-12-30 $179.46 $178.16 Long 104 -0.72% 22967.73 22967.73
SPY 2016-03-31 2016-04-28 $178.72 $180.40 Long 104 0.94% 23142.28 23142.28
SPY 2016-04-29 2016-05-27 $179.42 $182.82 Long 104 1.90% 23495.89 23495.89
SPY 2016-05-31 2016-06-29 $182.48 $180.65 Long 104 -1.00% 23305.90 23305.90
SPY 2016-06-30 2016-07-28 $183.11 $189.49 Long 103 3.48% 23962.26 23962.26
SPY 2016-07-29 2016-08-30 $189.79 $190.56 Long 102 0.41% 24040.72 24040.72
SPY 2016-08-31 2016-09-29 $190.02 $188.61 Long 102 -0.74% 23897.06 23897.06
SPY 2016-09-30 2016-10-28 $190.04 $186.73 Long 101 -1.74% 23563.41 23563.41
SPY 2016-10-31 2016-11-29 $186.74 $194.09 Long 102 3.93% 24312.59 24312.59
SPY 2016-11-30 2016-12-29 $193.62 $198.27 Long 101 2.40% 24782.43 24782.43
SPY 2016-12-30 2017-01-30 $197.55 $201.10 Long 101 1.80% 25141.26 25141.26
SPY 2017-01-31 2017-02-27 $201.08 $209.55 Long 101 4.21% 25996.37 25996.37
SPY 2017-02-28 2017-03-30 $208.98 $209.73 Long 100 0.36% 26071.48 26071.48
SPY 2017-03-31 2017-04-27 $209.25 $211.78 Long 100 1.21% 26325.33 26325.33
SPY 2017-04-28 2017-05-30 $211.32 $214.36 Long 100 1.44% 26628.90 26628.90
SPY 2017-05-31 2017-06-29 $214.31 $215.27 Long 100 0.45% 26725.36 26725.36
SPY 2017-06-30 2017-07-28 $215.67 $220.23 Long 100 2.11% 27181.15 27181.15
SPY 2017-07-31 2017-08-30 $220.10 $219.43 Long 100 -0.31% 27113.36 27113.36
SPY 2017-08-31 2017-09-28 $220.75 $224.40 Long 99 1.66% 27475.43 27475.43
SPY 2017-09-29 2017-10-30 $225.19 $230.14 Long 98 2.20% 27960.32 27960.32
SPY 2017-10-31 2017-11-29 $230.50 $235.48 Long 98 2.16% 28448.73 28448.73
SPY 2017-11-30 2017-12-28 $237.54 $241.33 Long 97 1.59% 28815.49 28815.49
SPY 2017-12-29 2018-01-30 $240.42 $253.84 Long 97 5.58% 30117.57 30117.57
SPY 2018-01-31 2018-02-27 $253.97 $247.24 Long 96 -2.65% 29471.51 29471.51
SPY 2018-02-28 2018-03-28 $244.73 $235.02 Long 97 -3.97% 28529.41 28529.41
SPY 2018-03-29 2018-04-27 $238.02 $241.11 Long 97 1.30% 28828.60 28828.60
SPY 2018-04-30 2018-05-30 $239.25 $246.58 Long 97 3.06% 29539.27 29539.27
SPY 2018-05-31 2018-06-28 $245.07 $246.12 Long 97 0.43% 29641.71 29641.71
SPY 2018-06-29 2018-07-30 $246.48 $254.36 Long 97 3.20% 30405.81 30405.81
SPY 2018-07-31 2018-08-30 $255.61 $263.76 Long 96 3.19% 31188.20 31188.20
SPY 2018-08-31 2018-09-27 $263.77 $265.31 Long 95 0.58% 31334.65 31334.65
SPY 2018-09-28 2018-10-30 $265.34 $244.39 Long 95 -7.89% 29344.76 29344.76
SPY 2019-01-31 2019-02-27 $247.83 $256.34 Long 95 3.43% 30153.31 30153.31
SPY 2019-02-28 2019-03-28 $255.87 $258.86 Long 95 1.17% 30437.70 30437.70
SPY 2019-03-29 2019-04-29 $260.49 $270.99 Long 94 4.03% 31425.02 31425.02
SPY 2019-04-30 2019-05-30 $271.13 $257.31 Long 93 -5.10% 30139.47 30139.47
SPY 2019-06-28 2019-07-30 $271.51 $278.66 Long 89 2.63% 30776.15 30776.15
SPY 2019-07-31 2019-08-29 $275.61 $271.12 Long 90 -1.63% 30371.66 30371.66
SPY 2019-08-30 2019-09-27 $271.00 $275.00 Long 90 1.48% 30731.97 30731.97
SPY 2019-09-30 2019-10-30 $276.28 $283.14 Long 90 2.48% 31349.46 31349.46
SPY 2019-10-31 2019-11-27 $282.38 $293.69 Long 89 4.01% 32356.14 32356.14
SPY 2019-11-29 2019-12-30 $292.61 $300.37 Long 89 2.65% 33047.29 33047.29
SPY 2019-12-31 2020-01-30 $301.10 $306.55 Long 88 1.81% 33526.42 33526.42
SPY 2020-01-31 2020-02-27 $300.98 $278.32 Long 90 -7.53% 31487.21 31487.21
SPY 2020-06-30 2020-07-30 $291.53 $306.28 Long 87 5.06% 32770.32 32770.32
SPY 2020-07-31 2020-08-28 $308.70 $331.44 Long 85 7.37% 34703.80 34703.80
SPY 2020-08-31 2020-09-29 $330.24 $315.50 Long 85 -4.46% 33450.67 33450.67
SPY 2020-09-30 2020-10-29 $317.89 $313.23 Long 85 -1.47% 33054.50 33054.50
SPY 2020-10-30 2020-11-27 $309.97 $345.21 Long 86 11.37% 36085.62 36085.62
SPY 2020-11-30 2020-12-30 $343.68 $354.62 Long 85 3.18% 37015.28 37015.28
SPY 2020-12-31 2021-01-28 $356.42 $360.00 Long 84 1.00% 37315.57 37315.57
SPY 2021-01-29 2021-02-25 $352.79 $364.48 Long 85 3.31% 38309.02 38309.02
SPY 2021-02-26 2021-03-30 $362.60 $377.53 Long 85 4.12% 39578.37 39578.37
SPY 2021-03-31 2021-04-29 $379.06 $401.76 Long 84 5.99% 41484.85 41484.85
SPY 2021-04-30 2021-05-27 $399.12 $401.02 Long 84 0.48% 41644.73 41644.73
SPY 2021-05-28 2021-06-29 $401.74 $410.42 Long 83 2.16% 42365.40 42365.40
SPY 2021-06-30 2021-07-29 $410.77 $422.85 Long 83 2.94% 43368.16 43368.16
SPY 2021-07-30 2021-08-30 $420.80 $433.96 Long 83 3.13% 44460.93 44460.93
SPY 2021-08-31 2021-09-29 $433.32 $418.25 Long 83 -3.48% 43210.11 43210.11
SPY 2021-09-30 2021-10-28 $413.14 $441.23 Long 84 6.80% 45569.84 45569.84
SPY 2021-10-29 2021-11-29 $442.13 $447.28 Long 83 1.16% 45997.33 45997.33
SPY 2021-12-31 2022-01-28 $458.87 $426.98 Long 81 -6.95% 43414.08 43414.08
SPY 2022-03-31 2022-04-28 $437.68 $414.59 Long 80 -5.28% 41566.58 41566.58
SPY 2022-11-30 2022-12-29 $398.43 $376.48 Long 84 -5.51% 39722.93 39722.93
SPY 2022-12-30 2023-01-30 $375.49 $393.32 Long 85 4.75% 41238.52 41238.52
SPY 2023-01-31 2023-02-27 $399.10 $390.51 Long 83 -2.15% 40525.45 40525.45
SPY 2023-02-28 2023-03-30 $389.07 $397.90 Long 84 2.27% 41267.66 41267.66
SPY 2023-03-31 2023-04-27 $403.51 $406.49 Long 82 0.74% 41511.74 41511.74
SPY 2023-04-28 2023-05-30 $409.96 $414.15 Long 82 1.02% 41855.24 41855.24
SPY 2023-06-30 2023-07-28 $438.54 $452.04 Long 77 3.08% 42894.30 42894.30
SPY 2023-07-31 2023-08-30 $452.90 $446.19 Long 76 -1.48% 42384.52 42384.52
SPY 2023-08-31 2023-09-28 $445.54 $425.46 Long 77 -4.51% 40838.13 40838.13
SPY 2023-11-30 2023-12-28 $453.14 $475.20 Long 72 4.87% 42426.96 42426.96
SPY 2023-12-29 2024-01-30 $473.83 $489.36 Long 72 3.28% 43545.22 43545.22
SPY 2024-01-31 2024-02-28 $481.37 $504.68 Long 73 4.84% 45246.64 45246.64
SPY 2024-02-29 2024-03-27 $506.50 $523.17 Long 72 3.29% 46447.20 46447.20

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
DMIndicatorRSP 0.80 SPY 2024-03-28 Hold Long -4.46% EndOfMonth