Strategy - SP500Bayes


Description

This uses a simple Bayes model for investing. It gathers a probability profile based on several metrics. 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 445db4e2-5189-471c-9a25-6452b57e4a68
NoOfTrades 16.00
NoOfWins 11.00
NoOfLosses 5.00
SharpRatio 0.56
SortinoRatio 0.66
GrossProfit $28331.80
FirstDate 2005-05-11
LastDate 2023-11-08
FirstEquity $10000.00
FinalEquity $38331.80
OpenEquity $30905.93
LongEquity $28331.80
ShortEquity $0.00
PercentWins 68.75%
AveWin 19.51%
AveLoss -1.20%
AveWinLoss 16.26
Expectancy 13.04%
MedianDrawUp 22.88%
MednDrawDown -12.41%
MaxDrawDown -29.40%
Kelly 66.83%
Thorpe 4.26
Rachev 1.12
PAPR 5.04%
APR 7.54%
CalmarRatio 0.62

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2005-05-11 2008-03-17 $81.29 $92.51 Long 99 13.80% 11110.70 11110.70
SPY 2009-08-27 2011-11-30 $78.17 $97.82 Long 115 25.14% 13370.87 13370.87
SPY 2011-12-01 2011-12-22 $98.90 $99.35 Long 110 0.46% 13420.49 13420.49
SPY 2011-12-23 2016-01-25 $100.18 $164.31 Long 109 64.02% 20410.95 20410.95
SPY 2016-03-21 2016-04-06 $177.46 $177.56 Long 93 0.06% 20420.66 20420.66
SPY 2016-04-07 2016-04-12 $178.39 $177.59 Long 93 -0.45% 20346.25 20346.25
SPY 2016-04-13 2016-04-22 $180.01 $181.35 Long 92 0.75% 20470.26 20470.26
SPY 2016-04-25 2016-05-05 $181.10 $178.75 Long 91 -1.30% 20256.60 20256.60
SPY 2016-05-09 2016-05-11 $178.76 $180.80 Long 92 1.14% 20443.81 20443.81
SPY 2016-05-13 2016-05-23 $179.32 $178.71 Long 91 -0.34% 20388.41 20388.41
SPY 2016-06-01 2016-06-16 $181.85 $180.66 Long 90 -0.66% 20281.19 20281.19
SPY 2016-06-20 2016-07-05 $182.54 $182.65 Long 90 0.06% 20291.42 20291.42
SPY 2016-07-06 2022-06-22 $181.67 $360.72 Long 89 98.55% 36226.30 36226.30
SPY 2023-04-28 2023-05-01 $405.58 $409.50 Long 73 0.97% 36512.66 36512.66
SPY 2023-05-02 2023-07-24 $408.81 $448.53 Long 72 9.71% 39371.91 39371.91
SPY 2023-07-25 2023-11-08 $449.07 $434.42 Long 71 -3.26% 38331.80 38331.80

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
SP500Bayes 0.81 SPY 2023-11-08 Hold Long 14.80% EndOfDay