Description
This uses the Rachev ratio at the 50% level. The idea here is that being in the market when negative returns outweigh positive is bad. 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 | 48.00 |
| NoOfWins | 39.00 |
| NoOfLosses | 9.00 |
| SharpRatio | 0.48 |
| SortinoRatio | 0.58 |
| GrossProfit | $31846.36 |
| FirstDate | 2004-01-29 |
| LastDate | 2023-08-16 |
| FirstEquity | $10000.00 |
| FinalEquity | $41846.36 |
| OpenEquity | $33490.91 |
| LongEquity | $31846.36 |
| ShortEquity | $0.00 |
| PercentWins | 81.25% |
| AveWin | 6.76% |
| AveLoss | -6.86% |
| AveWinLoss | 0.98 |
| Expectancy | 4.20% |
| AveDrawUp | 26.44% |
| AveDrawDown | -13.28% |
| MaxDrawDown | -43.14% |
| Kelly | 62.20% |
| Thorpe | 50.17 |
| Rachev | 0.91 |
| APR | 7.60% |
| CalmarRatio | 0.57 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 2004-01-29 | 2004-07-19 | $77.66 | $75.99 | Long | 104.0 | -2.15% | 9825.96 | 9825.96 |
| SPY | 2004-07-20 | 2004-11-11 | $76.95 | $81.58 | Long | 103.0 | 6.01% | 10302.22 | 10302.22 |
| SPY | 2004-12-07 | 2004-12-08 | $81.98 | $82.46 | Long | 101.0 | 0.58% | 10350.60 | 10350.60 |
| SPY | 2004-12-09 | 2004-12-13 | $82.75 | $83.56 | Long | 101.0 | 0.97% | 10431.93 | 10431.93 |
| SPY | 2004-12-14 | 2004-12-22 | $83.85 | $84.17 | Long | 100.0 | 0.38% | 10464.13 | 10464.13 |
| SPY | 2005-01-03 | 2005-03-21 | $83.91 | $82.70 | Long | 101.0 | -1.44% | 10341.93 | 10341.93 |
| SPY | 2005-03-22 | 2005-07-12 | $81.86 | $85.95 | Long | 102.0 | 5.01% | 10759.85 | 10759.85 |
| SPY | 2005-07-14 | 2005-07-20 | $86.41 | $86.78 | Long | 100.0 | 0.43% | 10797.11 | 10797.11 |
| SPY | 2005-07-21 | 2005-07-22 | $86.28 | $86.85 | Long | 101.0 | 0.67% | 10855.34 | 10855.34 |
| SPY | 2005-07-25 | 2005-07-26 | $86.61 | $86.71 | Long | 101.0 | 0.12% | 10865.99 | 10865.99 |
| SPY | 2005-08-04 | 2006-01-30 | $86.98 | $91.16 | Long | 101.0 | 4.81% | 11288.35 | 11288.35 |
| SPY | 2006-02-06 | 2006-04-06 | $89.86 | $93.26 | Long | 101.0 | 3.78% | 11631.77 | 11631.77 |
| SPY | 2006-04-07 | 2006-05-23 | $92.31 | $89.20 | Long | 102.0 | -3.37% | 11314.14 | 11314.14 |
| SPY | 2006-05-24 | 2008-07-03 | $89.91 | $93.91 | Long | 101.0 | 4.46% | 11718.77 | 11718.77 |
| SPY | 2008-07-08 | 2008-10-07 | $94.61 | $74.79 | Long | 100.0 | -20.95% | 9737.05 | 9737.05 |
| SPY | 2008-10-09 | 2008-11-20 | $67.81 | $56.41 | Long | 116.0 | -16.81% | 8414.44 | 8414.44 |
| SPY | 2008-11-21 | 2009-03-03 | $59.45 | $52.82 | Long | 114.0 | -11.17% | 7657.70 | 7657.70 |
| SPY | 2009-03-04 | 2010-03-09 | $54.07 | $88.28 | Long | 114.0 | 63.28% | 11558.25 | 11558.25 |
| SPY | 2010-03-15 | 2010-03-16 | $89.08 | $89.79 | Long | 105.0 | 0.80% | 11632.76 | 11632.76 |
| SPY | 2010-03-18 | 2010-04-23 | $90.27 | $94.34 | Long | 104.0 | 4.51% | 12055.86 | 12055.86 |
| SPY | 2010-04-27 | 2010-04-28 | $91.76 | $92.46 | Long | 106.0 | 0.76% | 12129.74 | 12129.74 |
| SPY | 2010-04-30 | 2010-05-03 | $92.02 | $93.21 | Long | 106.0 | 1.30% | 12256.17 | 12256.17 |
| SPY | 2010-05-04 | 2010-12-16 | $91.02 | $97.65 | Long | 109.0 | 7.29% | 12979.21 | 12979.21 |
| SPY | 2011-01-04 | 2013-02-19 | $99.86 | $125.77 | Long | 105.0 | 25.95% | 15699.74 | 15699.74 |
| SPY | 2013-02-20 | 2013-03-27 | $124.21 | $128.76 | Long | 102.0 | 3.66% | 16163.94 | 16163.94 |
| SPY | 2013-04-01 | 2013-05-17 | $128.64 | $137.62 | Long | 101.0 | 6.98% | 17070.65 | 17070.65 |
| SPY | 2013-05-22 | 2013-07-15 | $136.79 | $139.35 | Long | 101.0 | 1.87% | 17329.34 | 17329.34 |
| SPY | 2013-07-30 | 2013-08-01 | $139.71 | $141.43 | Long | 100.0 | 1.23% | 17500.88 | 17500.88 |
| SPY | 2013-08-05 | 2014-05-08 | $141.46 | $157.83 | Long | 100.0 | 11.58% | 19138.34 | 19138.34 |
| SPY | 2014-05-09 | 2016-01-12 | $158.07 | $168.75 | Long | 98.0 | 6.76% | 20185.24 | 20185.24 |
| SPY | 2016-01-13 | 2016-04-26 | $164.54 | $182.99 | Long | 99.0 | 11.21% | 22010.91 | 22010.91 |
| SPY | 2016-04-28 | 2016-12-06 | $181.70 | $196.18 | Long | 98.0 | 7.97% | 23430.43 | 23430.43 |
| SPY | 2016-12-14 | 2017-09-19 | $199.88 | $225.68 | Long | 94.0 | 12.91% | 25855.21 | 25855.21 |
| SPY | 2017-10-13 | 2017-10-26 | $230.17 | $230.78 | Long | 90.0 | 0.26% | 25909.65 | 25909.65 |
| SPY | 2017-10-27 | 2018-12-17 | $232.66 | $234.74 | Long | 90.0 | 0.89% | 26096.70 | 26096.70 |
| SPY | 2018-12-18 | 2018-12-27 | $234.49 | $229.40 | Long | 90.0 | -2.17% | 25639.13 | 25639.13 |
| SPY | 2018-12-28 | 2019-05-31 | $229.11 | $255.67 | Long | 90.0 | 11.60% | 28029.96 | 28029.96 |
| SPY | 2019-06-03 | 2019-07-23 | $255.02 | $280.02 | Long | 89.0 | 9.80% | 30255.33 | 30255.33 |
| SPY | 2019-07-24 | 2019-12-24 | $281.34 | $302.68 | Long | 87.0 | 7.58% | 32111.53 | 32111.53 |
| SPY | 2019-12-27 | 2020-11-27 | $304.21 | $347.70 | Long | 85.0 | 14.29% | 35807.90 | 35807.90 |
| SPY | 2020-11-30 | 2020-12-01 | $346.16 | $349.95 | Long | 83.0 | 1.09% | 36122.14 | 36122.14 |
| SPY | 2020-12-28 | 2021-01-07 | $357.35 | $364.00 | Long | 81.0 | 1.86% | 36661.12 | 36661.12 |
| SPY | 2021-01-08 | 2021-01-12 | $366.08 | $363.69 | Long | 81.0 | -0.65% | 36467.46 | 36467.46 |
| SPY | 2021-02-23 | 2021-04-20 | $372.07 | $397.05 | Long | 79.0 | 6.72% | 38441.34 | 38441.34 |
| SPY | 2021-04-21 | 2021-11-30 | $400.81 | $441.73 | Long | 77.0 | 10.21% | 41592.30 | 41592.30 |
| SPY | 2021-12-01 | 2021-12-02 | $436.83 | $443.52 | Long | 77.0 | 1.53% | 42107.47 | 42107.47 |
| SPY | 2021-12-03 | 2022-01-21 | $439.66 | $426.19 | Long | 77.0 | -3.06% | 41070.83 | 41070.83 |
| SPY | 2022-01-24 | 2023-08-16 | $428.00 | $438.08 | Long | 77.0 | 2.35% | 41846.36 | 41846.36 |
Signals
| Strategy | Size | Ticker | Date | State | Type | Profit | TimeFrame |
|---|---|---|---|---|---|---|---|
| IndicatorRR | 0.80 | SPY | 2023-08-18 | Hold |
Long | 5.55% | EOD |