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 default
NoOfTrades 19.00
NoOfWins 14.00
NoOfLosses 5.00
SharpRatio 0.66
SortinoRatio 0.81
GrossProfit $17397.05
FirstDate 2003-11-28
LastDate 2020-02-28
FirstEquity $10000.00
FinalEquity $27397.05
OpenEquity $22177.39
LongEquity $17397.05
ShortEquity $0.00
PercentWins 73.68%
AveWin $1455.10
AveLoss $-594.87
AveWinLoss 2.45
Expectancy 6.20%
AveDrawUp 17.00%
AveDrawDown -8.00%
MaxDrawDown -16.14%
Kelly 62.93%
Thrope 110.40
APR 6.40%
CalmarRatio 0.80

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2003-11-28 2004-07-30 $75.02 $79.05 Long 107.0 5.37% 10431.13 10431.13
SPY 2004-09-30 2005-04-29 $80.03 $83.86 Long 105.0 4.78% 10832.95 10832.95
SPY 2005-05-31 2006-07-31 $86.56 $94.68 Long 101.0 9.38% 11652.95 11652.95
SPY 2006-08-31 2007-07-31 $96.75 $109.89 Long 97.0 13.59% 12928.26 12928.26
SPY 2007-09-28 2007-11-30 $115.61 $112.64 Long 90.0 -2.57% 12660.93 12660.93
SPY 2008-05-30 2008-06-30 $107.42 $98.45 Long 95.0 -8.35% 11808.82 11808.82
SPY 2009-04-30 2010-06-30 $68.68 $83.11 Long 139.0 21.01% 13814.64 13814.64
SPY 2010-07-30 2010-08-31 $88.78 $84.79 Long 126.0 -4.50% 13311.46 13311.46
SPY 2010-09-30 2011-07-29 $92.38 $106.21 Long 116.0 14.97% 14915.87 14915.87
SPY 2011-12-30 2012-05-31 $104.25 $109.69 Long 115.0 5.22% 15541.14 15541.14
SPY 2012-06-29 2012-07-31 $114.14 $115.49 Long 110.0 1.18% 15689.66 15689.66
SPY 2012-08-31 2015-06-30 $118.38 $183.54 Long 107.0 55.04% 22661.45 22661.45
SPY 2015-07-31 2015-08-31 $187.60 $176.09 Long 97.0 -6.13% 21545.14 21545.14
SPY 2015-10-30 2015-12-31 $186.34 $183.80 Long 93.0 -1.36% 21309.69 21309.69
SPY 2016-03-31 2016-10-31 $186.24 $194.60 Long 92.0 4.49% 22078.66 22078.66
SPY 2016-11-30 2018-04-30 $201.77 $249.32 Long 88.0 23.57% 26263.27 26263.27
SPY 2018-05-31 2018-10-31 $255.38 $257.40 Long 83.0 0.79% 26430.52 26430.52
SPY 2019-01-31 2019-05-31 $258.26 $264.53 Long 82.0 2.43% 26944.14 26944.14
SPY 2019-06-28 2020-02-28 $282.94 $288.82 Long 77.0 2.08% 27397.05 27397.05

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick