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

Metric Measure
AccountName efe9e600-bb93-46a8-8bfb-276bd44a9d0a
NoOfTrades 183.00
NoOfWins 87.00
NoOfLosses 96.00
SharpRatio 0.71
SortinoRatio 0.88
GrossProfit $22317.34
FirstDate 2004-04-26
LastDate 2024-04-16
FirstEquity $10000.00
FinalEquity $32317.34
OpenEquity $0.00
LongEquity $22317.34
ShortEquity $0.00
PercentWins 47.54%
AveWin 3.24%
AveLoss -1.31%
AveWinLoss 2.46
Expectancy 0.85%
MedianDrawUp 16.40%
MednDrawDown -7.42%
MaxDrawDown -17.66%
Kelly 26.23%
Thorpe 8.44
Rachev 1.17
PAPR 1.59%
APR 6.05%
CalmarRatio 0.78

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2004-04-26 2004-04-30 $78.07 $76.49 Long 103 -2.03% 9836.36 9836.36
SPY 2004-05-28 2004-07-07 $76.87 $76.52 Long 103 -0.45% 9800.34 9800.34
SPY 2004-09-08 2004-09-28 $77.07 $76.22 Long 103 -1.11% 9712.19 9712.19
SPY 2004-09-29 2005-01-25 $76.42 $80.96 Long 103 5.94% 10179.57 10179.57
SPY 2005-01-26 2005-03-11 $81.24 $84.01 Long 101 3.40% 10458.64 10458.64
SPY 2005-05-24 2005-05-25 $83.04 $82.98 Long 102 -0.08% 10452.25 10452.25
SPY 2005-05-27 2005-10-06 $83.47 $83.96 Long 101 0.59% 10502.06 10502.06
SPY 2005-10-24 2005-10-28 $83.02 $83.02 Long 102 -0.01% 10501.34 10501.34
SPY 2005-10-31 2006-05-16 $84.32 $91.80 Long 102 8.88% 11264.85 11264.85
SPY 2006-06-05 2006-06-06 $91.16 $90.00 Long 99 -1.27% 11149.98 11149.98
SPY 2006-06-30 2006-07-03 $90.64 $90.56 Long 101 -0.09% 11142.08 11142.08
SPY 2006-07-05 2006-07-10 $90.46 $90.21 Long 99 -0.27% 11117.46 11117.46
SPY 2006-08-29 2006-09-29 $92.73 $95.50 Long 97 2.99% 11386.12 11386.12
SPY 2006-10-09 2007-03-05 $96.25 $99.00 Long 95 2.85% 11647.05 11647.05
SPY 2007-03-21 2007-05-11 $101.68 $107.91 Long 93 6.13% 12226.74 12226.74
SPY 2007-05-14 2007-05-15 $108.71 $108.59 Long 91 -0.11% 12216.24 12216.24
SPY 2007-05-23 2007-05-25 $110.22 $109.17 Long 89 -0.95% 12123.25 12123.25
SPY 2007-05-29 2007-07-25 $109.49 $110.02 Long 89 0.48% 12170.14 12170.14
SPY 2007-08-31 2007-09-10 $106.85 $106.03 Long 93 -0.77% 12094.09 12094.09
SPY 2007-09-14 2007-09-18 $107.08 $107.71 Long 91 0.59% 12151.38 12151.38
SPY 2007-09-19 2007-10-22 $111.02 $108.24 Long 91 -2.51% 11898.10 11898.10
SPY 2007-10-29 2007-10-31 $111.92 $111.96 Long 86 0.03% 11901.23 11901.23
SPY 2007-11-01 2007-11-02 $111.46 $110.18 Long 86 -1.15% 11791.17 11791.17
SPY 2007-12-10 2007-12-12 $110.00 $109.84 Long 86 -0.15% 11777.42 11777.42
SPY 2007-12-26 2007-12-28 $108.65 $108.57 Long 87 -0.07% 11770.42 11770.42
SPY 2008-04-08 2008-04-09 $100.03 $100.34 Long 94 0.31% 11799.42 11799.42
SPY 2008-04-17 2008-04-18 $99.90 $102.05 Long 96 2.15% 12005.30 12005.30
SPY 2008-04-21 2008-04-23 $101.53 $101.42 Long 95 -0.10% 11995.54 11995.54
SPY 2008-04-29 2008-05-01 $102.38 $101.64 Long 94 -0.72% 11925.81 11925.81
SPY 2008-05-13 2008-06-12 $103.41 $98.86 Long 94 -4.40% 11497.76 11497.76
SPY 2008-06-16 2008-06-23 $99.56 $97.51 Long 93 -2.06% 11307.31 11307.31
SPY 2008-07-23 2008-08-22 $94.41 $94.98 Long 99 0.61% 11364.31 11364.31
SPY 2008-08-25 2008-08-26 $95.08 $93.77 Long 96 -1.38% 11238.17 11238.17
SPY 2008-08-29 2008-09-02 $95.77 $95.99 Long 95 0.23% 11259.21 11259.21
SPY 2008-09-03 2008-09-05 $94.40 $91.01 Long 95 -3.59% 10937.31 10937.31
SPY 2008-09-09 2008-09-10 $93.83 $91.46 Long 93 -2.53% 10716.94 10716.94
SPY 2008-09-22 2008-09-24 $92.38 $88.60 Long 92 -4.10% 10368.64 10368.64
SPY 2009-01-07 2009-01-08 $68.85 $67.47 Long 119 -2.00% 10204.78 10204.78
SPY 2009-03-24 2009-03-31 $61.24 $59.98 Long 139 -2.07% 10028.74 10028.74
SPY 2009-04-01 2009-07-08 $59.20 $67.16 Long 135 13.45% 11103.30 11103.30
SPY 2009-07-09 2009-07-13 $67.17 $66.95 Long 133 -0.34% 11073.05 11073.05
SPY 2009-07-14 2009-10-28 $68.52 $80.85 Long 133 18.01% 12714.06 12714.06
SPY 2009-11-12 2009-11-13 $83.79 $83.26 Long 122 -0.63% 12649.94 12649.94
SPY 2009-11-17 2009-11-23 $84.49 $84.34 Long 121 -0.18% 12631.50 12631.50
SPY 2009-11-24 2009-11-30 $84.55 $83.39 Long 121 -1.37% 12491.41 12491.41
SPY 2009-12-01 2010-01-25 $84.49 $84.40 Long 121 -0.11% 12480.37 12480.37
SPY 2010-02-17 2010-05-10 $84.44 $89.05 Long 121 5.46% 13038.15 13038.15
SPY 2010-05-11 2010-05-20 $88.48 $84.11 Long 118 -4.94% 12521.86 12521.86
SPY 2010-06-22 2010-06-29 $86.08 $81.91 Long 116 -4.84% 12038.80 12038.80
SPY 2010-07-27 2010-07-29 $86.66 $86.16 Long 114 -0.58% 11981.55 11981.55
SPY 2010-07-30 2010-08-11 $84.35 $85.49 Long 112 1.36% 12109.61 12109.61
SPY 2010-09-14 2011-03-16 $86.92 $100.06 Long 112 15.12% 13581.75 13581.75
SPY 2011-03-22 2011-05-06 $101.73 $105.82 Long 108 4.02% 14023.85 14023.85
SPY 2011-05-10 2011-05-17 $106.00 $104.06 Long 107 -1.83% 13815.75 13815.75
SPY 2011-05-19 2011-05-23 $105.71 $103.50 Long 107 -2.09% 13579.13 13579.13
SPY 2011-06-01 2011-06-02 $105.48 $103.48 Long 104 -1.90% 13371.16 13371.16
SPY 2011-06-28 2011-07-27 $101.23 $104.49 Long 108 3.22% 13723.52 13723.52
SPY 2011-10-19 2011-10-20 $96.94 $96.19 Long 116 -0.78% 13636.23 13636.23
SPY 2011-10-25 2011-10-26 $98.93 $98.50 Long 112 -0.43% 13588.32 13588.32
SPY 2011-10-28 2011-11-10 $101.39 $98.85 Long 108 -2.51% 13313.70 13313.70
SPY 2011-11-16 2011-11-18 $98.87 $97.04 Long 108 -1.85% 13116.08 13116.08
SPY 2011-12-06 2011-12-16 $99.98 $97.44 Long 105 -2.54% 12849.44 12849.44
SPY 2011-12-19 2011-12-20 $97.30 $97.40 Long 106 0.10% 12859.58 12859.58
SPY 2011-12-21 2012-03-07 $98.79 $107.66 Long 106 8.98% 13800.04 13800.04
SPY 2012-03-08 2012-05-07 $108.83 $109.30 Long 103 0.43% 13848.27 13848.27
SPY 2012-05-09 2012-05-11 $108.17 $108.22 Long 102 0.05% 13853.98 13853.98
SPY 2012-06-11 2012-06-12 $107.42 $105.52 Long 106 -1.77% 13652.00 13652.00
SPY 2012-06-15 2012-07-25 $107.34 $108.00 Long 104 0.62% 13721.46 13721.46
SPY 2012-07-30 2012-07-31 $111.47 $111.45 Long 100 -0.02% 13719.05 13719.05
SPY 2012-08-08 2012-08-14 $112.54 $113.70 Long 98 1.03% 13832.61 13832.61
SPY 2012-08-16 2012-10-22 $113.59 $115.81 Long 98 1.96% 14050.67 14050.67
SPY 2012-11-02 2012-11-05 $116.24 $114.36 Long 99 -1.62% 13864.05 13864.05
SPY 2012-11-07 2012-11-08 $114.61 $113.02 Long 97 -1.38% 13710.23 13710.23
SPY 2012-11-27 2013-04-16 $114.00 $127.92 Long 97 12.21% 15059.98 15059.98
SPY 2013-04-17 2013-04-18 $127.92 $127.16 Long 95 -0.59% 14988.45 14988.45
SPY 2013-04-22 2013-08-20 $127.50 $135.79 Long 96 6.50% 15784.43 15784.43
SPY 2013-08-21 2014-02-04 $135.86 $145.43 Long 94 7.05% 16684.52 16684.52
SPY 2014-02-11 2014-03-28 $149.76 $154.56 Long 90 3.20% 17116.19 17116.19
SPY 2014-04-01 2014-04-07 $156.66 $155.26 Long 88 -0.89% 16993.49 16993.49
SPY 2014-04-10 2014-04-11 $156.21 $152.08 Long 88 -2.64% 16630.51 16630.51
SPY 2014-04-23 2014-04-25 $156.82 $156.32 Long 86 -0.32% 16587.43 16587.43
SPY 2014-05-13 2014-05-14 $158.68 $158.47 Long 85 -0.13% 16569.68 16569.68
SPY 2014-05-28 2014-05-29 $159.91 $160.16 Long 84 0.16% 16590.72 16590.72
SPY 2014-05-30 2014-06-04 $160.47 $160.71 Long 83 0.15% 16610.13 16610.13
SPY 2014-06-06 2014-07-11 $162.71 $164.62 Long 83 1.17% 16768.69 16768.69
SPY 2014-07-15 2014-07-16 $165.88 $166.21 Long 81 0.20% 16795.20 16795.20
SPY 2014-08-14 2014-09-16 $163.73 $166.62 Long 83 1.77% 17035.43 17035.43
SPY 2014-10-27 2014-12-01 $164.98 $173.97 Long 83 5.45% 17781.90 17781.90
SPY 2014-12-04 2014-12-05 $174.93 $175.21 Long 82 0.16% 17804.70 17804.70
SPY 2014-12-08 2014-12-09 $174.91 $172.26 Long 82 -1.52% 17586.99 17586.99
SPY 2014-12-10 2014-12-11 $173.56 $171.85 Long 82 -0.99% 17446.68 17446.68
SPY 2014-12-18 2015-01-22 $172.57 $172.88 Long 84 0.18% 17472.95 17472.95
SPY 2015-01-23 2015-01-29 $174.41 $169.82 Long 81 -2.63% 17101.56 17101.56
SPY 2015-01-30 2015-02-02 $169.99 $169.55 Long 81 -0.26% 17065.86 17065.86
SPY 2015-02-03 2015-05-01 $172.05 $178.25 Long 81 3.61% 17568.81 17568.81
SPY 2015-05-04 2015-05-06 $179.81 $178.39 Long 79 -0.79% 17456.50 17456.50
SPY 2015-05-18 2015-05-20 $180.67 $181.45 Long 78 0.43% 17516.92 17516.92
SPY 2015-05-21 2015-05-27 $181.07 $179.83 Long 78 -0.69% 17419.98 17419.98
SPY 2015-05-28 2015-05-29 $180.75 $180.79 Long 78 0.02% 17423.30 17423.30
SPY 2015-06-01 2015-06-30 $180.42 $177.29 Long 78 -1.73% 17179.80 17179.80
SPY 2015-07-01 2015-07-02 $177.70 $177.99 Long 78 0.16% 17202.49 17202.49
SPY 2015-10-16 2015-10-19 $174.42 $174.14 Long 80 -0.16% 17179.78 17179.78
SPY 2015-10-29 2015-11-02 $179.17 $179.14 Long 78 -0.01% 17177.77 17177.77
SPY 2015-11-03 2015-11-13 $180.56 $175.73 Long 77 -2.68% 16805.64 16805.64
SPY 2015-11-25 2015-12-04 $180.16 $176.81 Long 76 -1.86% 16551.40 16551.40
SPY 2015-12-30 2015-12-31 $179.18 $177.47 Long 75 -0.96% 16422.93 16422.93
SPY 2016-02-29 2016-03-24 $168.80 $175.66 Long 78 4.06% 16957.88 16957.88
SPY 2016-03-30 2016-04-06 $179.40 $177.56 Long 77 -1.02% 16816.60 16816.60
SPY 2016-04-11 2016-05-16 $178.49 $178.23 Long 76 -0.14% 16797.43 16797.43
SPY 2016-05-17 2016-05-18 $179.54 $177.78 Long 76 -0.98% 16663.93 16663.93
SPY 2016-05-25 2016-06-20 $181.46 $182.54 Long 75 0.59% 16744.84 16744.84
SPY 2016-06-21 2016-06-27 $182.08 $176.22 Long 74 -3.22% 16310.79 16310.79
SPY 2016-07-05 2016-07-07 $182.65 $183.46 Long 72 0.44% 16368.69 16368.69
SPY 2016-07-08 2016-10-26 $184.49 $187.32 Long 72 1.54% 16572.69 16572.69
SPY 2016-11-10 2017-03-09 $190.91 $209.19 Long 71 9.57% 17870.03 17870.03
SPY 2017-03-14 2017-03-15 $209.61 $209.95 Long 68 0.16% 17892.87 17892.87
SPY 2017-03-16 2017-03-22 $211.32 $207.50 Long 69 -1.81% 17629.37 17629.37
SPY 2017-03-28 2017-04-06 $207.05 $208.54 Long 69 0.72% 17731.65 17731.65
SPY 2017-04-07 2017-04-17 $208.72 $206.91 Long 68 -0.87% 17608.52 17608.52
SPY 2017-04-21 2017-05-18 $208.81 $209.24 Long 68 0.20% 17637.49 17637.49
SPY 2017-05-23 2017-05-24 $212.98 $213.31 Long 67 0.15% 17659.49 17659.49
SPY 2017-06-02 2017-07-31 $216.06 $220.64 Long 66 2.12% 17961.56 17961.56
SPY 2017-08-31 2018-02-06 $220.06 $234.18 Long 66 6.42% 18893.58 18893.58
SPY 2018-02-20 2018-02-21 $245.07 $244.96 Long 62 -0.05% 18886.32 18886.32
SPY 2018-02-22 2018-03-01 $244.24 $244.51 Long 62 0.11% 18903.63 18903.63
SPY 2018-03-05 2018-03-28 $241.20 $235.85 Long 63 -2.22% 18566.67 18566.67
SPY 2018-04-02 2018-04-03 $237.48 $234.15 Long 63 -1.40% 18356.96 18356.96
SPY 2018-04-13 2018-07-30 $241.87 $255.77 Long 61 5.75% 19204.74 19204.74
SPY 2018-08-01 2018-08-06 $255.82 $257.71 Long 60 0.74% 19318.13 19318.13
SPY 2018-08-07 2018-08-08 $259.30 $259.30 Long 60 0.00% 19318.13 19318.13
SPY 2018-08-09 2018-08-16 $259.43 $257.49 Long 60 -0.75% 19202.02 19202.02
SPY 2018-08-17 2018-09-13 $257.88 $263.78 Long 60 2.29% 19555.82 19555.82
SPY 2018-09-21 2018-10-03 $267.50 $267.18 Long 59 -0.12% 19536.97 19536.97
SPY 2019-01-10 2019-01-15 $235.28 $236.71 Long 66 0.61% 19631.50 19631.50
SPY 2019-01-16 2019-01-18 $239.48 $243.29 Long 67 1.59% 19886.79 19886.79
SPY 2019-01-22 2019-01-23 $243.14 $242.40 Long 66 -0.31% 19837.71 19837.71
SPY 2019-01-25 2019-02-07 $243.87 $248.76 Long 66 2.01% 20160.69 20160.69
SPY 2019-02-14 2019-03-07 $251.37 $254.17 Long 64 1.11% 20339.91 20339.91
SPY 2019-03-13 2019-04-18 $257.52 $267.52 Long 64 3.88% 20979.90 20979.90
SPY 2019-04-24 2019-05-03 $270.00 $270.03 Long 63 0.01% 20981.65 20981.65
SPY 2019-05-06 2019-05-08 $266.73 $265.15 Long 62 -0.59% 20883.31 20883.31
SPY 2019-06-24 2019-06-25 $272.65 $272.16 Long 62 -0.18% 20852.86 20852.86
SPY 2019-06-28 2019-07-16 $271.12 $278.60 Long 62 2.76% 21316.50 21316.50
SPY 2019-09-10 2019-09-30 $275.55 $275.53 Long 62 -0.01% 21315.51 21315.51
SPY 2019-10-31 2019-11-18 $283.13 $290.02 Long 61 2.43% 21735.74 21735.74
SPY 2019-11-26 2020-01-28 $291.77 $304.09 Long 60 4.22% 22475.35 22475.35
SPY 2020-01-29 2020-01-30 $307.20 $303.44 Long 59 -1.22% 22253.47 22253.47
SPY 2020-02-13 2020-02-24 $314.20 $302.30 Long 57 -3.79% 21575.19 21575.19
SPY 2020-04-20 2020-04-21 $266.01 $260.47 Long 65 -2.08% 21215.45 21215.45
SPY 2020-04-29 2020-05-13 $274.40 $269.25 Long 62 -1.88% 20896.23 20896.23
SPY 2020-05-21 2020-07-10 $279.35 $297.15 Long 60 6.37% 21964.25 21964.25
SPY 2020-07-13 2020-09-04 $302.66 $327.24 Long 59 8.12% 23414.52 23414.52
SPY 2020-09-11 2020-10-29 $317.49 $310.32 Long 58 -2.26% 22998.55 22998.55
SPY 2020-10-30 2020-11-02 $311.62 $313.44 Long 60 0.58% 23107.90 23107.90
SPY 2020-11-03 2021-04-21 $316.75 $393.58 Long 59 24.26% 27640.82 27640.82
SPY 2021-04-22 2021-07-15 $397.77 $417.25 Long 56 4.90% 28731.41 28731.41
SPY 2021-07-22 2021-07-23 $417.18 $419.85 Long 56 0.64% 28880.80 28880.80
SPY 2021-08-04 2021-08-05 $422.02 $422.44 Long 55 0.10% 28904.02 28904.02
SPY 2021-08-09 2021-08-16 $424.59 $426.57 Long 55 0.47% 29013.28 29013.28
SPY 2021-09-01 2021-09-09 $434.28 $432.50 Long 54 -0.41% 28916.89 28916.89
SPY 2021-09-24 2021-09-30 $424.98 $419.76 Long 55 -1.23% 28629.91 28629.91
SPY 2021-10-06 2021-10-07 $413.26 $422.04 Long 55 2.12% 29112.80 29112.80
SPY 2021-10-08 2021-10-11 $423.09 $420.86 Long 55 -0.53% 28989.96 28989.96
SPY 2021-10-12 2021-10-13 $419.42 $418.50 Long 55 -0.22% 28939.13 28939.13
SPY 2021-10-14 2021-10-25 $422.71 $437.34 Long 56 3.46% 29758.59 29758.59
SPY 2021-11-02 2021-11-19 $443.06 $452.10 Long 54 2.04% 30246.75 30246.75
SPY 2022-03-23 2022-03-24 $433.10 $432.16 Long 56 -0.22% 30194.10 30194.10
SPY 2022-03-30 2022-04-01 $446.12 $439.30 Long 54 -1.53% 29826.21 29826.21
SPY 2022-06-09 2022-06-10 $396.69 $382.68 Long 60 -3.53% 28985.42 28985.42
SPY 2022-08-01 2022-08-29 $398.22 $391.45 Long 59 -1.70% 28586.33 28586.33
SPY 2022-10-27 2022-11-03 $374.38 $363.04 Long 62 -3.03% 27883.15 27883.15
SPY 2022-11-08 2022-11-10 $372.46 $379.24 Long 61 1.82% 28296.88 28296.88
SPY 2022-11-14 2022-11-17 $387.66 $381.60 Long 59 -1.56% 27939.38 27939.38
SPY 2022-11-28 2022-11-29 $390.03 $387.06 Long 57 -0.76% 27770.03 27770.03
SPY 2023-01-04 2023-02-22 $376.23 $392.27 Long 59 4.26% 28716.60 28716.60
SPY 2023-04-04 2023-04-05 $405.71 $402.05 Long 57 -0.90% 28508.16 28508.16
SPY 2023-04-12 2023-04-19 $405.96 $406.30 Long 57 0.08% 28527.83 28527.83
SPY 2023-04-20 2023-04-21 $405.31 $406.27 Long 56 0.24% 28581.92 28581.92
SPY 2023-04-24 2023-04-25 $406.07 $404.68 Long 56 -0.34% 28504.09 28504.09
SPY 2023-05-22 2023-05-26 $412.63 $409.37 Long 55 -0.79% 28324.65 28324.65
SPY 2023-06-02 2023-07-06 $418.41 $434.73 Long 55 3.90% 29222.28 29222.28
SPY 2023-07-11 2023-08-15 $435.74 $441.50 Long 54 1.32% 29533.20 29533.20
SPY 2023-11-27 2024-04-16 $451.40 $504.94 Long 52 11.86% 32317.34 32317.34

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
MC-EOD 0.00 Out EndOfDay