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 0.73
SortinoRatio 0.90
GrossProfit $26595.43
FirstDate 2003-11-26
LastDate 2022-04-29
FirstEquity $10000.00
FinalEquity $36595.43
OpenEquity $0.00
LongEquity $26595.43
ShortEquity $0.00
PercentWins 63.16%
AveWin $2851.18
AveLoss $-1088.39
AveWinLoss 2.62
Expectancy 8.73%
AveDrawUp 18.41%
AveDrawDown -8.43%
MaxDrawDown -16.14%
Kelly 49.09%
Thrope 120.55
APR 7.30%
CalmarRatio 0.87

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2003-11-26 2004-07-30 $74.23 $78.27 Long 109.0 5.45% 10440.97 10440.97
SPY 2004-10-29 2006-07-31 $80.27 $93.75 Long 105.0 16.80% 11856.73 11856.73
SPY 2006-08-31 2007-07-31 $95.80 $108.82 Long 100.0 13.59% 13158.60 13158.60
SPY 2007-09-28 2007-11-30 $114.48 $111.54 Long 93.0 -2.57% 12885.07 12885.07
SPY 2008-05-30 2008-06-30 $106.37 $97.49 Long 98.0 -8.35% 12014.66 12014.66
SPY 2009-04-30 2010-06-30 $68.00 $82.29 Long 143.0 21.01% 14057.98 14057.98
SPY 2010-07-30 2010-08-31 $87.91 $83.96 Long 129.0 -4.50% 13547.88 13547.88
SPY 2010-09-30 2011-07-29 $91.48 $105.17 Long 119.0 14.97% 15177.65 15177.65
SPY 2011-12-30 2012-05-31 $103.23 $108.62 Long 119.0 5.22% 15818.34 15818.34
SPY 2012-06-29 2012-07-31 $113.02 $114.35 Long 113.0 1.18% 15969.41 15969.41
SPY 2012-08-31 2015-06-30 $117.22 $181.74 Long 110.0 55.04% 23066.46 23066.46
SPY 2015-07-31 2015-08-31 $185.76 $174.37 Long 100.0 -6.13% 21926.90 21926.90
SPY 2015-11-30 2015-12-31 $185.18 $182.00 Long 95.0 -1.72% 21624.68 21624.68
SPY 2016-03-31 2018-10-31 $184.42 $254.88 Long 94.0 38.21% 28247.76 28247.76
SPY 2019-01-31 2019-05-31 $255.73 $261.94 Long 89.0 2.43% 28799.77 28799.77
SPY 2019-06-28 2020-02-28 $280.16 $285.99 Long 83.0 2.08% 29283.19 29283.19
SPY 2020-06-30 2021-11-30 $300.82 $452.56 Long 78.0 50.44% 41118.36 41118.36
SPY 2021-12-31 2022-01-31 $473.50 $448.53 Long 70.0 -5.27% 39370.23 39370.23
SPY 2022-03-31 2022-04-29 $451.64 $412.00 Long 70.0 -8.78% 36595.43 36595.43

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
DMIndicatorRSP 0.90 0.00 Out EOM