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 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