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 12.00
NoOfLosses 7.00
SharpRatio 0.72
SortinoRatio 0.88
GrossProfit $26089.37
FirstDate 2004-10-29
LastDate 2023-05-31
FirstEquity $10000.00
FinalEquity $36089.37
OpenEquity $29152.38
LongEquity $26089.37
ShortEquity $0.00
PercentWins 63.16%%
AveWin 18.69%
AveLoss -5.33%
AveWinLoss 3.51
Expectancy 9.84%
AveDrawUp 19.23%
AveDrawDown -8.94%
MaxDrawDown -16.52%
Kelly 52.65%
Thorpe 117.78
Rachev 0.87
APR 7.15%
CalmarRatio 0.80

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2004-10-29 2006-07-31 $78.35 $91.51 Long 103.0 16.80% 11355.57 11355.57
SPY 2006-08-31 2007-07-31 $93.51 $106.22 Long 98.0 13.59% 12600.89 12600.89
SPY 2007-09-28 2007-11-30 $111.74 $108.87 Long 91.0 -2.57% 12339.64 12339.64
SPY 2008-05-30 2008-06-30 $103.83 $95.16 Long 96.0 -8.35% 11507.39 11507.39
SPY 2009-04-30 2010-06-30 $66.38 $80.32 Long 140.0 21.01% 13459.99 13459.99
SPY 2010-07-30 2010-08-31 $85.81 $81.95 Long 127.0 -4.50% 12969.81 12969.81
SPY 2010-09-30 2011-07-29 $89.29 $102.66 Long 117.0 14.97% 14533.87 14533.87
SPY 2011-12-30 2012-05-31 $100.76 $106.02 Long 116.0 5.22% 15143.46 15143.46
SPY 2012-06-29 2012-07-31 $110.31 $111.62 Long 111.0 1.18% 15288.31 15288.31
SPY 2012-08-31 2015-06-30 $114.42 $177.39 Long 108.0 55.04% 22089.65 22089.65
SPY 2015-07-31 2015-08-31 $181.32 $170.20 Long 98.0 -6.13% 20999.59 20999.59
SPY 2015-11-30 2015-12-31 $180.75 $177.65 Long 94.0 -1.72% 20707.70 20707.70
SPY 2016-03-31 2018-10-31 $180.01 $248.78 Long 93.0 38.21% 27103.59 27103.59
SPY 2019-01-31 2019-05-31 $249.62 $255.67 Long 87.0 2.43% 27630.29 27630.29
SPY 2019-06-28 2020-02-28 $273.46 $279.15 Long 81.0 2.08% 28090.78 28090.78
SPY 2020-06-30 2021-11-30 $293.63 $441.73 Long 77.0 50.44% 39494.75 39494.75
SPY 2021-12-31 2022-01-31 $462.18 $437.80 Long 69.0 -5.27% 37812.82 37812.82
SPY 2022-03-31 2022-04-29 $440.84 $402.15 Long 69.0 -8.78% 35143.08 35143.08
SPY 2022-11-30 2023-05-31 $401.30 $414.82 Long 70.0 3.37% 36089.37 36089.37

Signals

Strategy Ratio Size Ticker Date State Type Profit TimeFrame
DMIndicatorRSP 0.90 0.81 SPY 2023-06-30 Hold Long -2.33% EOM