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 |