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 |