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 | default |
| NoOfTrades | 69.00 |
| NoOfWins | 43.00 |
| NoOfLosses | 26.00 |
| SharpRatio | 0.51 |
| SortinoRatio | 0.65 |
| GrossProfit | $23430.42 |
| FirstDate | 1998-02-26 |
| LastDate | 2021-07-29 |
| FirstEquity | $10000.00 |
| FinalEquity | $33430.42 |
| OpenEquity | $26681.57 |
| LongEquity | $23430.42 |
| ShortEquity | $0.00 |
| PercentWins | 62.32% |
| AveWin | $837.15 |
| AveLoss | $-483.34 |
| AveWinLoss | 1.73 |
| Expectancy | 2.62% |
| AveDrawUp | 17.47% |
| AveDrawDown | -9.48% |
| MaxDrawDown | -27.41% |
| Kelly | 40.56% |
| Thrope | 78.66 |
| APR | 5.29% |
| CalmarRatio | 0.56 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 1998-02-26 | 1998-05-28 | $68.80 | $72.28 | Long | 117.0 | 5.06% | 10406.91 | 10406.91 |
| SPY | 1998-06-29 | 1998-07-30 | $75.12 | $75.20 | Long | 112.0 | 0.11% | 10416.12 | 10416.12 |
| SPY | 1998-10-29 | 1998-12-30 | $72.29 | $81.75 | Long | 116.0 | 13.08% | 11513.21 | 11513.21 |
| SPY | 1998-12-31 | 1999-02-25 | $81.75 | $82.24 | Long | 114.0 | 0.61% | 11569.89 | 11569.89 |
| SPY | 1999-04-29 | 1999-07-29 | $89.28 | $89.59 | Long | 104.0 | 0.35% | 11602.22 | 11602.22 |
| SPY | 1999-08-30 | 1999-09-29 | $88.36 | $84.76 | Long | 106.0 | -4.07% | 11220.89 | 11220.89 |
| SPY | 1999-09-30 | 2000-04-27 | $86.06 | $98.07 | Long | 105.0 | 13.96% | 12482.42 | 12482.42 |
| SPY | 2000-06-29 | 2000-07-28 | $97.08 | $95.67 | Long | 104.0 | -1.45% | 12335.80 | 12335.80 |
| SPY | 2000-08-30 | 2000-10-30 | $101.23 | $94.87 | Long | 98.0 | -6.29% | 11712.16 | 11712.16 |
| SPY | 2001-01-30 | 2001-02-27 | $93.31 | $85.62 | Long | 101.0 | -8.24% | 10935.20 | 10935.20 |
| SPY | 2001-04-27 | 2001-08-30 | $85.41 | $77.17 | Long | 103.0 | -9.65% | 10086.28 | 10086.28 |
| SPY | 2001-10-30 | 2002-02-27 | $72.56 | $76.58 | Long | 112.0 | 5.53% | 10535.78 | 10535.78 |
| SPY | 2002-03-27 | 2002-06-27 | $78.80 | $68.63 | Long | 108.0 | -12.91% | 9437.40 | 9437.40 |
| SPY | 2002-06-28 | 2002-07-30 | $68.31 | $62.77 | Long | 111.0 | -8.10% | 8822.90 | 8822.90 |
| SPY | 2002-08-29 | 2002-09-27 | $63.60 | $57.38 | Long | 112.0 | -9.79% | 8125.64 | 8125.64 |
| SPY | 2002-10-30 | 2002-12-30 | $62.01 | $61.39 | Long | 106.0 | -1.00% | 8059.98 | 8059.98 |
| SPY | 2003-01-30 | 2003-02-27 | $58.82 | $58.76 | Long | 110.0 | -0.11% | 8053.09 | 8053.09 |
| SPY | 2003-03-28 | 2004-04-29 | $60.65 | $79.46 | Long | 107.0 | 31.02% | 10065.95 | 10065.95 |
| SPY | 2004-05-27 | 2004-07-29 | $80.20 | $78.85 | Long | 101.0 | -1.68% | 9929.78 | 9929.78 |
| SPY | 2004-08-30 | 2005-01-28 | $78.83 | $84.74 | Long | 102.0 | 7.51% | 10533.35 | 10533.35 |
| SPY | 2005-01-31 | 2005-03-30 | $85.27 | $85.62 | Long | 100.0 | 0.41% | 10568.40 | 10568.40 |
| SPY | 2005-05-27 | 2005-08-30 | $87.12 | $88.05 | Long | 98.0 | 1.07% | 10659.73 | 10659.73 |
| SPY | 2005-09-29 | 2006-05-30 | $89.60 | $92.97 | Long | 96.0 | 3.76% | 10983.32 | 10983.32 |
| SPY | 2006-06-29 | 2006-07-28 | $94.25 | $94.78 | Long | 94.0 | 0.56% | 11032.75 | 11032.75 |
| SPY | 2006-08-30 | 2006-09-28 | $96.76 | $99.44 | Long | 92.0 | 2.77% | 11279.18 | 11279.18 |
| SPY | 2006-10-30 | 2007-07-30 | $102.51 | $111.15 | Long | 89.0 | 8.43% | 12048.27 | 12048.27 |
| SPY | 2007-08-30 | 2007-10-30 | $110.22 | $115.98 | Long | 88.0 | 5.22% | 12554.89 | 12554.89 |
| SPY | 2008-04-29 | 2008-04-30 | $106.45 | $105.82 | Long | 95.0 | -0.59% | 12495.27 | 12495.27 |
| SPY | 2008-05-29 | 2008-06-27 | $107.15 | $98.11 | Long | 94.0 | -8.44% | 11644.76 | 11644.76 |
| SPY | 2008-07-30 | 2008-08-29 | $98.88 | $99.08 | Long | 95.0 | 0.20% | 11663.76 | 11663.76 |
| SPY | 2008-12-31 | 2009-01-29 | $70.38 | $65.94 | Long | 134.0 | -6.31% | 11069.15 | 11069.15 |
| SPY | 2009-03-30 | 2009-10-29 | $61.90 | $84.65 | Long | 144.0 | 36.77% | 14346.47 | 14346.47 |
| SPY | 2009-11-30 | 2010-01-28 | $87.27 | $86.64 | Long | 133.0 | -0.72% | 14263.22 | 14263.22 |
| SPY | 2010-02-25 | 2010-05-27 | $88.32 | $88.75 | Long | 130.0 | 0.50% | 14320.15 | 14320.15 |
| SPY | 2010-07-29 | 2010-08-30 | $88.80 | $84.79 | Long | 130.0 | -4.52% | 13798.91 | 13798.91 |
| SPY | 2010-09-29 | 2011-01-28 | $92.66 | $103.92 | Long | 120.0 | 12.16% | 15151.07 | 15151.07 |
| SPY | 2011-01-31 | 2011-05-27 | $104.71 | $109.11 | Long | 117.0 | 4.20% | 15665.94 | 15665.94 |
| SPY | 2011-05-31 | 2011-07-28 | $110.24 | $106.94 | Long | 115.0 | -2.99% | 15286.57 | 15286.57 |
| SPY | 2011-10-28 | 2011-11-29 | $106.16 | $99.10 | Long | 116.0 | -6.65% | 14467.87 | 14467.87 |
| SPY | 2011-12-29 | 2012-05-30 | $104.77 | $109.93 | Long | 111.0 | 4.93% | 15041.08 | 15041.08 |
| SPY | 2012-06-28 | 2012-07-30 | $111.36 | $116.30 | Long | 109.0 | 4.44% | 15579.48 | 15579.48 |
| SPY | 2012-08-30 | 2012-10-26 | $117.82 | $119.17 | Long | 107.0 | 1.15% | 15724.43 | 15724.43 |
| SPY | 2012-11-29 | 2013-08-30 | $119.82 | $140.32 | Long | 106.0 | 17.10% | 17896.82 | 17896.82 |
| SPY | 2013-09-27 | 2014-01-31 | $145.54 | $154.35 | Long | 99.0 | 6.06% | 18769.61 | 18769.61 |
| SPY | 2014-02-27 | 2014-03-28 | $160.97 | $161.40 | Long | 94.0 | 0.26% | 18809.63 | 18809.63 |
| SPY | 2014-03-31 | 2014-04-29 | $162.72 | $163.36 | Long | 93.0 | 0.40% | 18869.51 | 18869.51 |
| SPY | 2014-05-29 | 2014-07-30 | $167.38 | $172.21 | Long | 91.0 | 2.89% | 19309.09 | 19309.09 |
| SPY | 2014-08-28 | 2014-09-29 | $174.98 | $173.51 | Long | 89.0 | -0.84% | 19178.71 | 19178.71 |
| SPY | 2014-10-30 | 2015-01-29 | $175.13 | $178.40 | Long | 88.0 | 1.87% | 19466.26 | 19466.26 |
| SPY | 2015-02-26 | 2015-04-30 | $186.69 | $184.92 | Long | 84.0 | -0.95% | 19318.04 | 19318.04 |
| SPY | 2015-05-29 | 2015-06-29 | $187.30 | $183.16 | Long | 83.0 | -2.21% | 18974.49 | 18974.49 |
| SPY | 2015-06-30 | 2015-07-30 | $183.54 | $187.93 | Long | 83.0 | 2.39% | 19339.25 | 19339.25 |
| SPY | 2015-10-29 | 2015-12-30 | $187.20 | $185.66 | Long | 83.0 | -0.82% | 19211.87 | 19211.87 |
| SPY | 2016-02-26 | 2016-06-29 | $175.89 | $188.25 | Long | 88.0 | 7.03% | 20300.07 | 20300.07 |
| SPY | 2016-07-28 | 2016-10-28 | $197.46 | $194.59 | Long | 83.0 | -1.45% | 20061.75 | 20061.75 |
| SPY | 2016-11-29 | 2017-05-30 | $202.26 | $223.38 | Long | 80.0 | 10.45% | 21751.86 | 21751.86 |
| SPY | 2017-06-29 | 2017-07-28 | $224.33 | $229.50 | Long | 78.0 | 2.30% | 22154.96 | 22154.96 |
| SPY | 2017-08-30 | 2017-10-30 | $228.66 | $239.83 | Long | 78.0 | 4.88% | 23025.83 | 23025.83 |
| SPY | 2017-11-29 | 2018-02-28 | $245.39 | $255.03 | Long | 76.0 | 3.93% | 23758.27 | 23758.27 |
| SPY | 2018-03-29 | 2018-07-30 | $248.04 | $265.06 | Long | 77.0 | 6.86% | 25068.92 | 25068.92 |
| SPY | 2018-08-30 | 2018-10-30 | $274.86 | $254.68 | Long | 73.0 | -7.34% | 23595.53 | 23595.53 |
| SPY | 2019-01-30 | 2019-03-28 | $256.02 | $269.75 | Long | 74.0 | 5.37% | 24612.27 | 24612.27 |
| SPY | 2019-04-29 | 2019-05-30 | $282.40 | $268.14 | Long | 70.0 | -5.05% | 23614.01 | 23614.01 |
| SPY | 2019-06-27 | 2019-07-30 | $281.49 | $290.39 | Long | 67.0 | 3.16% | 24210.54 | 24210.54 |
| SPY | 2019-10-31 | 2020-01-30 | $294.27 | $319.45 | Long | 66.0 | 8.56% | 25872.34 | 25872.34 |
| SPY | 2020-04-29 | 2020-06-30 | $287.60 | $303.80 | Long | 72.0 | 5.63% | 27038.67 | 27038.67 |
| SPY | 2020-07-30 | 2020-08-31 | $319.17 | $344.14 | Long | 68.0 | 7.83% | 28736.98 | 28736.98 |
| SPY | 2020-09-29 | 2020-10-30 | $328.78 | $323.01 | Long | 70.0 | -1.75% | 28333.29 | 28333.29 |
| SPY | 2020-11-27 | 2021-07-29 | $359.74 | $440.65 | Long | 63.0 | 22.49% | 33430.42 | 33430.42 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|