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

MetricMeasure
AccountNamedefault
NoOfTrades19.00
NoOfWins12.00
NoOfLosses7.00
SharpRatio0.73
SortinoRatio0.90
GrossProfit$26691.79
FirstDate2003-11-26
LastDate2022-04-29
FirstEquity$10000.00
FinalEquity$36691.79
OpenEquity$29508.99
LongEquity$26691.79
ShortEquity$0.00
PercentWins63.16%
AveWin18.87%
AveLoss-5.33%
AveWinLoss3.54
Expectancy9.95%
AveDrawUp18.43%
AveDrawDown-8.42%
MaxDrawDown-16.11%
Kelly52.75%
Thorpe120.70
APR7.31%
CalmarRatio0.87

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
SPY2003-11-262004-07-30$72.98$76.96Long110.05.45%10437.5510437.55
SPY2004-10-292006-07-31$78.92$92.18Long107.016.80%11856.0611856.06
SPY2006-08-312007-07-31$94.19$106.99Long101.013.59%13148.8813148.88
SPY2007-09-282007-11-30$112.56$109.67Long94.0-2.57%12877.0612877.06
SPY2008-05-302008-06-30$104.58$95.85Long99.0-8.35%12012.5212012.52
SPY2009-04-302010-06-30$66.86$80.91Long145.021.01%14049.6514049.65
SPY2010-07-302010-08-31$86.44$82.55Long131.0-4.50%13540.3313540.33
SPY2010-09-302011-07-29$89.94$103.41Long121.014.97%15169.6815169.68
SPY2011-12-302012-05-31$101.50$106.79Long121.05.22%15810.2015810.20
SPY2012-06-292012-07-31$111.12$112.44Long115.01.18%15961.3715961.37
SPY2012-08-312015-06-30$115.25$178.69Long112.055.04%23066.1923066.19
SPY2015-07-312015-08-31$182.65$171.44Long102.0-6.13%21923.3421923.34
SPY2015-11-302015-12-31$182.08$178.95Long97.0-1.72%21619.9321619.93
SPY2016-03-312018-10-31$181.32$250.60Long96.038.21%28270.4228270.42
SPY2019-01-312019-05-31$251.44$257.54Long91.02.43%28825.3628825.36
SPY2019-06-282020-02-28$275.46$281.19Long84.02.08%29306.3929306.39
SPY2020-06-302021-11-30$295.78$444.96Long80.050.44%41241.3241241.32
SPY2021-12-312022-01-31$465.56$441.00Long71.0-5.27%39497.9739497.97
SPY2022-03-312022-04-29$444.06$405.09Long72.0-8.78%36691.7936691.79

Signals

StrategyRatioSizeTickerDateStateTypeProfitTick