Strategy - MC-EOD


Dual Momentum Signal

Description

The Micro Cap universe is used as a signal 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
NoOfTrades208.00
NoOfWins82.00
NoOfLosses126.00
SharpRatio0.33
SortinoRatio0.41
GrossProfit$11718.69
FirstDate1998-02-02
LastDate2023-02-21
FirstEquity$10000.00
FinalEquity$21718.69
OpenEquity$0.00
LongEquity$11718.69
ShortEquity$0.00
PercentWins39.42%
AveWin4.00%
AveLoss-1.71%
AveWinLoss2.34
Expectancy0.54%
AveDrawUp16.71%
AveDrawDown-10.15%
MaxDrawDown-25.13%
Kelly13.55%
Thorpe55.46
APR3.14%
CalmarRatio0.31

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
SPY1998-02-021998-02-03$63.68$64.15Long127.00.75%10060.6910060.69
SPY1998-02-091998-05-26$64.53$69.95Long126.08.39%10743.0710743.07
SPY1998-06-291998-07-06$73.14$74.36Long118.01.67%10887.2610887.26
SPY1998-07-081998-07-21$74.76$74.68Long117.0-0.11%10877.8910877.89
SPY1998-10-291998-12-14$70.38$73.17Long125.03.97%11227.1711227.17
SPY1998-12-171998-12-21$76.16$77.55Long119.01.83%11392.7411392.74
SPY1998-12-241998-12-28$79.18$78.98Long116.0-0.25%11369.3411369.34
SPY1998-12-301999-02-17$79.59$79.22Long115.0-0.46%11327.5911327.59
SPY1999-04-211999-06-14$87.26$84.07Long105.0-3.66%10992.1710992.17
SPY1999-06-161999-07-26$86.25$87.45Long103.01.38%11115.0411115.04
SPY1999-07-271999-08-03$88.18$85.94Long102.0-2.53%10887.5010887.50
SPY1999-08-171999-10-04$87.36$85.09Long100.0-2.61%10659.6510659.65
SPY1999-10-051999-10-07$85.00$85.82Long101.00.96%10741.8110741.81
SPY1999-10-081999-10-15$87.12$81.26Long99.0-6.72%10161.9910161.99
SPY1999-10-222000-04-12$84.66$95.67Long97.013.00%11229.6411229.64
SPY2000-05-012000-05-09$96.18$92.42Long94.0-3.91%10876.1610876.16
SPY2000-05-162000-05-18$95.93$93.76Long91.0-2.26%10679.0310679.03
SPY2000-06-082000-07-07$96.07$97.08Long90.01.05%10769.6410769.64
SPY2000-07-102000-07-28$96.92$93.15Long90.0-3.89%10430.4010430.40
SPY2000-08-072000-10-05$97.10$94.76Long87.0-2.41%10226.9810226.98
SPY2000-10-312000-11-20$93.95$88.52Long88.0-5.78%9748.949748.94
SPY2001-01-042001-02-21$88.05$82.82Long89.0-5.94%9283.829283.82
SPY2001-03-082001-03-12$83.81$77.85Long89.0-7.11%8753.398753.39
SPY2001-04-192001-06-20$83.07$81.17Long85.0-2.29%8592.018592.01
SPY2001-06-212001-08-17$82.09$77.40Long84.0-5.71%8198.288198.28
SPY2001-08-222001-08-24$77.58$78.91Long85.01.71%8310.988310.98
SPY2001-10-042002-02-19$71.50$72.63Long94.01.57%8416.818416.81
SPY2002-02-252002-06-12$74.42$68.69Long91.0-7.70%7895.507895.50
SPY2002-06-282002-07-01$66.51$65.21Long96.0-1.95%7770.987770.98
SPY2002-08-202002-08-27$63.43$63.28Long99.0-0.24%7755.687755.68
SPY2002-10-222003-02-07$60.43$56.59Long103.0-6.36%7359.637359.63
SPY2003-02-212003-02-24$57.78$56.84Long103.0-1.62%7263.227263.22
SPY2003-03-032003-03-04$57.04$56.13Long103.0-1.59%7169.607169.60
SPY2003-03-172004-04-29$58.86$77.36Long98.031.43%8982.588982.58
SPY2004-05-272004-07-06$78.08$77.69Long93.0-0.51%8945.758945.75
SPY2004-09-072004-09-27$78.36$77.21Long92.0-1.46%8840.278840.27
SPY2004-09-282005-01-24$77.58$81.89Long92.05.54%9236.059236.05
SPY2005-01-252005-03-10$82.12$85.18Long91.03.73%9514.819514.81
SPY2005-05-232005-05-24$84.49$84.29Long91.0-0.23%9496.849496.84
SPY2005-05-262005-10-05$84.68$85.08Long90.00.47%9532.909532.90
SPY2005-10-212005-10-27$84.01$83.99Long91.0-0.03%9530.969530.96
SPY2005-10-282006-05-15$85.20$92.96Long90.09.10%10229.0210229.02
SPY2006-06-022006-06-05$92.60$91.25Long89.0-1.46%10108.9210108.92
SPY2006-06-292006-06-30$91.76$91.77Long89.00.01%10109.5610109.56
SPY2006-07-032006-07-07$92.14$91.29Long88.0-0.93%10034.0510034.05
SPY2006-08-282006-09-28$94.04$96.81Long86.02.95%10272.5910272.59
SPY2006-10-062007-03-02$97.77$100.98Long85.03.28%10545.4110545.41
SPY2007-03-202007-05-10$103.06$109.36Long82.06.11%11061.5811061.58
SPY2007-05-112007-05-14$110.29$110.05Long81.0-0.22%11042.0411042.04
SPY2007-05-222007-05-24$111.43$110.44Long80.0-0.89%10962.5010962.50
SPY2007-05-252007-07-24$110.90$111.09Long80.00.17%10977.5910977.59
SPY2007-08-302007-09-07$107.31$107.25Long82.0-0.05%10972.7710972.77
SPY2007-09-132007-09-17$109.33$108.74Long81.0-0.54%10924.6010924.60
SPY2007-09-182007-10-19$111.94$110.41Long79.0-1.37%10803.8210803.82
SPY2007-10-262007-10-30$113.33$112.91Long77.0-0.36%10772.0110772.01
SPY2007-10-312007-11-01$114.09$111.42Long76.0-2.34%10569.0610569.06
SPY2007-12-072007-12-11$111.33$109.11Long76.0-1.99%10400.8610400.86
SPY2007-12-242007-12-27$110.66$109.51Long76.0-1.05%10312.9410312.94
SPY2008-04-072008-04-08$102.06$101.95Long81.0-0.10%10304.4910304.49
SPY2008-04-162008-04-17$101.98$102.13Long81.00.15%10316.5610316.56
SPY2008-04-182008-04-22$103.19$102.79Long80.0-0.39%10284.3710284.37
SPY2008-04-282008-04-30$104.05$103.03Long80.0-0.98%10202.7010202.70
SPY2008-05-122008-06-11$104.67$99.81Long78.0-4.64%9823.749823.74
SPY2008-06-132008-06-20$101.45$98.55Long78.0-2.87%9597.019597.01
SPY2008-07-222008-08-21$95.48$95.72Long81.00.25%9616.439616.43
SPY2008-08-222008-08-25$97.10$95.13Long80.0-2.03%9458.849458.84
SPY2008-08-282008-08-29$97.51$96.46Long78.0-1.08%9377.069377.06
SPY2008-09-022008-09-04$95.86$92.89Long79.0-3.09%9142.759142.75
SPY2008-09-082008-09-09$95.11$92.29Long77.0-2.97%8925.348925.34
SPY2008-09-192008-09-23$93.48$89.28Long77.0-4.49%8602.338602.33
SPY2009-01-062009-01-07$70.97$68.84Long98.0-3.00%8393.998393.99
SPY2009-03-232009-03-30$62.88$60.26Long108.0-4.17%8110.668110.66
SPY2009-03-312009-07-07$60.82$67.73Long108.011.36%8857.038857.03
SPY2009-07-082009-07-10$67.68$67.65Long105.0-0.05%8853.808853.80
SPY2009-07-132009-10-27$69.30$82.24Long103.018.68%10186.8410186.84
SPY2009-11-112009-11-12$85.12$84.26Long96.0-1.02%10103.7510103.75
SPY2009-11-162009-11-20$85.94$84.57Long95.0-1.60%9973.079973.07
SPY2009-11-232009-11-27$85.64$84.68Long94.0-1.13%9882.279882.27
SPY2009-11-302010-01-22$84.96$84.85Long94.0-0.13%9871.729871.72
SPY2010-02-162010-05-07$85.26$86.80Long93.01.81%10014.8510014.85
SPY2010-05-102010-05-19$90.62$87.19Long89.0-3.79%9709.349709.34
SPY2010-06-212010-06-28$87.33$84.29Long90.0-3.48%9435.629435.62
SPY2010-07-262010-07-28$87.45$86.88Long87.0-0.65%9385.839385.83
SPY2010-07-292010-08-10$86.45$88.09Long87.01.90%9528.369528.36
SPY2010-09-132011-03-15$88.36$101.84Long87.015.27%10701.8110701.81
SPY2011-03-212011-05-05$103.22$106.30Long83.02.98%10957.3710957.37
SPY2011-05-092011-05-16$107.19$105.97Long82.0-1.14%10857.5510857.55
SPY2011-05-182011-05-20$106.90$106.30Long82.0-0.56%10808.6210808.62
SPY2011-05-312011-06-01$107.33$104.92Long81.0-2.25%10613.3510613.35
SPY2011-06-272011-07-26$102.30$106.61Long84.04.21%10975.3610975.36
SPY2011-10-182011-10-19$98.51$97.35Long90.0-1.18%10870.4810870.48
SPY2011-10-242011-10-25$100.85$98.89Long87.0-1.94%10699.8710699.87
SPY2011-10-272011-11-09$103.38$98.98Long83.0-4.25%10335.0010335.00
SPY2011-11-152011-11-17$101.33$98.14Long82.0-3.15%10073.3710073.37
SPY2011-12-052011-12-15$101.44$98.19Long80.0-3.20%9813.639813.63
SPY2011-12-162011-12-19$98.34$97.29Long80.0-1.07%9729.519729.51
SPY2011-12-202012-03-06$100.23$108.98Long78.08.73%10412.0810412.08
SPY2012-03-072012-05-04$109.74$111.29Long76.01.41%10529.4410529.44
SPY2012-05-082012-05-10$110.92$110.49Long76.0-0.39%10496.7210496.72
SPY2012-06-082012-06-11$108.12$106.74Long78.0-1.27%10389.6510389.65
SPY2012-06-142012-07-24$108.42$109.35Long77.00.86%10461.4010461.40
SPY2012-07-272012-07-30$113.23$113.23Long74.00.00%10461.4010461.40
SPY2012-08-072012-08-13$114.57$114.93Long73.00.32%10488.2210488.22
SPY2012-08-152012-10-19$115.08$117.70Long73.02.27%10679.3210679.32
SPY2012-11-012012-11-02$117.24$116.20Long73.0-0.89%10603.2210603.22
SPY2012-11-062012-11-07$117.35$114.69Long73.0-2.27%10409.0710409.07
SPY2012-11-262013-04-15$115.78$128.81Long72.011.26%11347.3211347.32
SPY2013-04-162013-04-17$130.71$128.80Long70.0-1.46%11213.6311213.63
SPY2013-04-192013-08-19$129.11$137.54Long70.06.53%11804.1511804.15
SPY2013-08-202014-02-03$138.22$146.89Long69.06.27%12402.5912402.59
SPY2014-02-102014-03-27$151.82$156.36Long66.02.99%12702.4812702.48
SPY2014-03-312014-04-04$158.42$157.90Long64.0-0.33%12669.4112669.41
SPY2014-04-092014-04-10$158.49$155.16Long64.0-2.10%12456.3412456.34
SPY2014-04-222014-04-24$159.17$159.12Long63.0-0.03%12453.1312453.13
SPY2014-05-122014-05-13$160.78$160.92Long62.00.09%12462.0612462.06
SPY2014-05-272014-05-28$162.24$162.12Long62.0-0.07%12454.7112454.71
SPY2014-05-292014-06-03$162.96$163.33Long61.00.22%12476.9312476.93
SPY2014-06-052014-07-10$164.72$167.12Long61.01.45%12623.1012623.10
SPY2014-07-142014-07-15$168.19$167.88Long60.0-0.19%12604.2012604.20
SPY2014-08-132014-09-15$165.84$169.37Long61.02.12%12819.1612819.16
SPY2014-10-242014-11-28$167.98$177.19Long61.05.48%13380.9713380.97
SPY2014-12-032014-12-04$177.78$177.58Long60.0-0.11%13369.1713369.17
SPY2014-12-052014-12-08$177.87$176.68Long60.0-0.67%13297.8513297.85
SPY2014-12-092014-12-10$176.56$173.73Long61.0-1.60%13125.1813125.18
SPY2014-12-172015-01-21$172.56$174.62Long61.01.19%13250.6913250.69
SPY2015-01-222015-01-28$177.22$172.09Long60.0-2.89%12943.2112943.21
SPY2015-01-292015-01-30$173.68$171.50Long60.0-1.26%12812.1712812.17
SPY2015-02-022015-04-30$173.62$180.04Long59.03.70%13190.7313190.73
SPY2015-05-012015-05-05$181.99$180.42Long58.0-0.86%13099.5713099.57
SPY2015-05-152015-05-19$183.48$183.99Long57.00.28%13128.6113128.61
SPY2015-05-202015-05-26$183.86$181.97Long57.0-1.02%13021.2913021.29
SPY2015-05-272015-05-28$183.70$183.49Long57.0-0.11%13009.4813009.48
SPY2015-05-292015-06-29$182.35$178.32Long57.0-2.21%12779.7712779.77
SPY2015-06-302015-07-01$178.69$180.15Long57.00.82%12862.8812862.88
SPY2015-10-152015-10-16$176.55$177.35Long59.00.45%12910.2412910.24
SPY2015-10-282015-10-30$182.29$181.41Long57.0-0.48%12860.0112860.01
SPY2015-11-022015-11-12$183.56$178.72Long56.0-2.64%12588.8512588.85
SPY2015-11-242015-12-03$182.65$179.39Long55.0-1.79%12409.3812409.38
SPY2015-12-292015-12-30$182.05$180.76Long55.0-0.71%12338.4112338.41
SPY2016-02-262016-03-23$171.24$179.29Long58.04.70%12804.9312804.93
SPY2016-03-292016-04-05$180.97$180.15Long57.0-0.45%12758.1612758.16
SPY2016-04-082016-05-13$180.42$180.65Long57.00.13%12771.2412771.24
SPY2016-05-162016-05-17$182.44$180.73Long56.0-0.93%12675.8812675.88
SPY2016-05-242016-06-17$183.40$183.16Long55.0-0.13%12662.7112662.71
SPY2016-06-202016-06-24$184.34$180.25Long55.0-2.22%12437.8412437.84
SPY2016-07-012016-07-06$186.17$185.94Long54.0-0.12%12425.3912425.39
SPY2016-07-072016-10-25$185.83$190.91Long54.02.73%12699.6212699.62
SPY2016-11-092017-03-08$192.88$212.11Long53.09.97%13718.9713718.97
SPY2017-03-132017-03-14$213.23$212.41Long52.0-0.38%13676.5413676.54
SPY2017-03-152017-03-21$214.25$210.48Long51.0-1.76%13484.4313484.43
SPY2017-03-272017-04-05$210.38$211.43Long51.00.50%13537.7013537.70
SPY2017-04-062017-04-13$212.02$209.39Long51.0-1.24%13403.1313403.13
SPY2017-04-202017-05-17$211.93$212.37Long51.00.20%13425.1813425.18
SPY2017-05-222017-05-23$215.70$216.18Long50.00.22%13449.0413449.04
SPY2017-06-012017-07-28$219.16$223.44Long49.01.95%13658.8213658.82
SPY2017-08-302018-02-05$222.62$241.24Long49.08.36%14571.0414571.04
SPY2018-02-162018-02-20$249.63$248.07Long47.0-0.63%14497.5814497.58
SPY2018-02-212018-02-28$246.83$248.30Long47.00.59%14566.3114566.31
SPY2018-03-022018-03-27$245.95$239.15Long47.0-2.76%14246.8014246.80
SPY2018-03-292018-04-02$241.49$236.28Long47.0-2.16%14001.8114001.81
SPY2018-04-122018-07-27$244.04$259.42Long46.06.30%14709.1014709.10
SPY2018-07-312018-08-03$259.33$261.43Long45.00.81%14803.2614803.26
SPY2018-08-062018-08-07$262.38$263.25Long45.00.33%14842.2514842.25
SPY2018-08-082018-08-15$263.14$259.75Long45.0-1.29%14689.6014689.60
SPY2018-08-162018-09-12$261.85$266.51Long45.01.78%14899.5014899.50
SPY2018-09-202018-10-02$270.62$269.98Long44.0-0.24%14871.1314871.13
SPY2019-01-092019-01-14$240.30$239.77Long50.0-0.22%14844.5814844.58
SPY2019-01-152019-01-17$242.52$244.95Long49.01.00%14963.7114963.71
SPY2019-01-182019-01-22$248.21$244.86Long48.0-1.35%14802.7514802.75
SPY2019-01-242019-02-06$245.50$254.06Long48.03.49%15213.6615213.66
SPY2019-02-132019-03-06$256.16$258.33Long48.00.85%15318.2815318.28
SPY2019-03-122019-04-17$260.35$270.81Long47.04.02%15809.8915809.89
SPY2019-04-232019-05-02$274.02$272.43Long46.0-0.58%15736.7315736.73
SPY2019-05-032019-05-07$275.09$269.38Long46.0-2.07%15474.2015474.20
SPY2019-06-212019-06-24$276.40$276.06Long45.0-0.12%15458.9715458.97
SPY2019-06-272019-07-15$274.05$282.75Long45.03.17%15850.3015850.30
SPY2019-09-092019-09-27$280.35$279.01Long45.0-0.48%15789.8215789.82
SPY2019-10-302019-11-15$287.26$294.49Long44.02.52%16107.7416107.74
SPY2019-11-252020-01-27$295.98$307.04Long44.03.74%16594.5316594.53
SPY2020-01-282020-01-29$310.26$310.01Long43.0-0.08%16583.5116583.51
SPY2020-02-122020-02-21$320.26$316.52Long41.0-1.17%16430.1916430.19
SPY2020-04-172020-04-20$273.73$268.91Long48.0-1.76%16198.7116198.71
SPY2020-04-282020-05-12$272.86$273.76Long48.00.33%16241.8016241.80
SPY2020-05-202020-07-09$283.56$301.55Long46.06.35%17069.4817069.48
SPY2020-07-102020-09-03$304.63$331.29Long45.08.75%18269.4218269.42
SPY2020-09-102020-10-28$320.26$314.60Long46.0-1.77%18008.7918008.79
SPY2020-10-292020-10-30$317.80$314.48Long45.0-1.04%17859.7117859.71
SPY2020-11-022021-04-20$318.01$399.96Long45.025.77%21547.4521547.45
SPY2021-04-212021-07-14$403.74$424.72Long43.05.20%22449.4222449.42
SPY2021-07-212021-07-22$423.07$423.96Long42.00.21%22486.6322486.63
SPY2021-08-032021-08-04$429.50$427.38Long42.0-0.49%22397.9022397.90
SPY2021-08-062021-08-13$430.80$434.14Long42.00.78%22538.1522538.15
SPY2021-08-312021-09-08$439.63$439.00Long41.0-0.14%22512.2122512.21
SPY2021-09-232021-09-29$432.87$424.34Long42.0-1.97%22154.0822154.08
SPY2021-10-052021-10-06$423.02$424.78Long42.00.42%22227.9222227.92
SPY2021-10-072021-10-08$428.46$427.67Long42.0-0.18%22195.1022195.10
SPY2021-10-112021-10-12$424.58$423.53Long42.0-0.25%22151.2122151.21
SPY2021-10-132021-10-22$425.06$442.58Long42.04.12%22887.1622887.16
SPY2021-11-012021-11-18$449.34$458.80Long41.02.11%23275.2123275.21
SPY2022-03-222022-03-23$442.04$436.35Long42.0-1.29%23036.1123036.11
SPY2022-03-292022-03-31$453.80$444.06Long41.0-2.15%22636.6222636.62
SPY2022-06-082022-06-09$404.32$394.70Long45.0-2.38%22203.9022203.90
SPY2022-07-292022-08-26$406.82$400.23Long44.0-1.62%21913.6721913.67
SPY2022-10-262022-11-02$378.79$371.70Long46.0-1.87%21587.5521587.55
SPY2022-11-072022-11-09$376.74$370.97Long46.0-1.53%21322.0921322.09
SPY2022-11-112022-11-16$395.14$392.11Long43.0-0.77%21191.6321191.63
SPY2022-11-252022-11-28$398.93$392.56Long43.0-1.60%20917.9020917.90
SPY2023-01-032023-02-21$379.35$397.55Long44.04.80%21718.6921718.69

Signals

StrategyRatioSizeTickerDateStateTypeProfitTick
MC-EOD0.900.00OutEOD