System - Indicators


Weather Vanes for the Markets

Description

Currently there are four presented here. While these could be used to invest directly, they are not tracked this way here. These are indicators to reflect the underlying market condition.

The graph above represents buying SPY and VFINX when in RiskOn mode.

These do not trade but indicate RiskOn or RiskOff times in the market.

Total position allocation is set to 0.9 of account

Details

Strategies

Strategies Ratio
CalendarTrend 0.2
DMIndicatorRSP 0.2
DMIndicatorMC 0.2
DMIndicatorKC 0.2
DMIndicatorCPI 0.2

Metrics

Metric Measure
AccountName Indicators
NoOfTrades 99.00
NoOfWins 69.00
NoOfLosses 30.00
SharpRatio 0.73
SortinoRatio 0.89
GrossProfit $39611.65
FirstDate 1994-01-28
LastDate 2022-05-27
FirstEquity $10000.00
FinalEquity $49611.65
OpenEquity $-0.00
LongEquity $39611.65
ShortEquity $0.00
PercentWins 69.70%
AveWin 17.11%
AveLoss -5.00%
AveWinLoss 3.42
Expectancy 10.41%
AveDrawUp 14.87%
AveDrawDown -6.33%
MaxDrawDown -15.41%
Kelly 60.84%
Thrope 149.61
APR 5.82%
CalmarRatio 0.92

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 1994-01-28 1997-01-31 $28.27 $49.62 Long 63.0 75.50% 11344.73 11344.73
SPY 1998-02-27 1998-07-31 $67.55 $72.27 Long 31.0 6.98% 9487.44 11944.46
SPY 1999-01-29 1999-03-31 $83.09 $83.77 Long 26.0 0.81% 9504.96 12353.00
SPY 1997-10-31 2000-01-31 $58.92 $91.82 Long 34.0 55.83% 10453.09 12748.54
SPY 1999-04-30 2000-05-31 $86.95 $94.19 Long 25.0 8.33% 12807.92 12807.92
SPY 2000-06-30 2000-11-30 $96.05 $87.68 Long 24.0 -8.71% 12607.04 12607.04
SPY 2001-01-31 2001-02-28 $91.11 $82.42 Long 24.0 -9.54% 12398.48 12398.48
SPY 2001-05-31 2001-09-28 $83.97 $70.10 Long 26.0 -16.53% 12037.63 12037.63
SPY 2001-10-31 2002-07-31 $71.01 $61.79 Long 30.0 -12.99% 9626.72 11356.72
SPY 2002-01-31 2003-06-27 $76.22 $67.32 Long 28.0 -11.68% 9464.16 11618.30
SPY 2003-11-26 2004-04-30 $73.60 $77.42 Long 28.0 5.18% 5342.02 12156.36
VFINX 2003-12-31 2004-07-30 $72.27 $72.23 Long 30.0 -0.05% 12165.91 12165.91
SPY 2003-11-26 2004-07-30 $73.60 $77.62 Long 28.0 5.45% 12165.91 12165.91
SPY 2002-11-29 2004-07-30 $63.98 $77.62 Long 32.0 21.31% 12165.91 12165.91
SPY 2004-10-29 2005-03-31 $79.60 $83.91 Long 27.0 5.42% 8147.03 12683.30
SPY 2004-08-31 2005-03-31 $77.80 $83.91 Long 28.0 7.85% 8147.03 12683.30
SPY 2005-06-30 2005-07-29 $85.12 $88.38 Long 26.0 3.83% 6018.55 13088.55
SPY 2005-08-31 2005-09-30 $87.55 $88.25 Long 26.0 0.80% 6036.74 13096.90
SPY 2005-12-30 2006-03-31 $89.78 $93.99 Long 26.0 4.69% 6146.16 13660.82
SPY 2005-06-30 2006-06-30 $85.12 $92.55 Long 26.0 8.73% 8552.51 13547.35
SPY 2004-10-29 2006-07-31 $79.60 $92.97 Long 27.0 16.80% 8645.47 13573.69
SPY 2006-07-31 2007-05-31 $92.97 $113.05 Long 26.0 21.60% 6693.99 15402.97
SPY 2006-08-31 2007-07-31 $95.00 $107.90 Long 25.0 13.59% 12089.21 15001.85
SPY 2006-10-31 2007-07-31 $100.63 $107.90 Long 25.0 7.22% 12089.21 15001.85
SPY 2007-09-28 2007-11-30 $113.52 $110.60 Long 24.0 -2.57% 11980.74 14965.11
SPY 2007-09-28 2007-11-30 $113.52 $110.60 Long 24.0 -2.57% 11980.74 14965.11
SPY 2007-08-31 2007-11-30 $109.29 $110.60 Long 24.0 1.20% 11980.74 14965.11
VFINX 2004-10-29 2008-05-29 $74.39 $98.11 Long 29.0 31.88% 12228.27 14858.61
SPY 2008-04-30 2008-05-30 $103.91 $105.48 Long 25.0 1.51% 12228.27 14865.18
SPY 2008-05-30 2008-06-30 $105.48 $96.67 Long 25.0 -8.35% 14645.00 14645.00
SPY 2008-08-29 2008-09-30 $97.28 $88.10 Long 27.0 -9.44% 14397.12 14397.12
VFINX 2008-11-26 2009-05-28 $63.07 $65.39 Long 41.0 3.67% 6804.83 14799.78
SPY 2009-04-30 2009-12-31 $67.43 $87.32 Long 38.0 29.49% 4811.43 17934.74
VFINX 2009-05-29 2010-05-28 $66.28 $80.15 Long 40.0 20.93% 7990.79 17714.79
SPY 2010-02-26 2010-05-28 $86.77 $86.05 Long 37.0 -0.83% 7990.79 17714.79
SPY 2009-04-30 2010-06-30 $67.43 $81.60 Long 38.0 21.01% 14192.42 17211.64
SPY 2009-04-30 2010-06-30 $67.43 $81.60 Long 38.0 21.01% 14192.42 17211.64
VFINX 2010-07-30 2010-08-31 $81.25 $77.57 Long 38.0 -4.53% 13640.84 16721.19
SPY 2010-07-30 2010-08-31 $87.17 $83.25 Long 35.0 -4.50% 13640.84 16721.19
SPY 2010-07-30 2010-08-31 $87.17 $83.25 Long 35.0 -4.50% 13640.84 16721.19
SPY 2010-07-30 2010-08-31 $87.17 $83.25 Long 35.0 -4.50% 13640.84 16721.19
SPY 2009-06-29 2010-11-29 $71.91 $94.71 Long 37.0 31.71% 5123.11 17675.08
SPY 2010-09-30 2010-11-30 $90.71 $94.17 Long 33.0 3.82% 8230.83 17603.25
SPY 2011-02-28 2011-03-31 $106.38 $106.39 Long 31.0 0.01% 8231.19 18818.69
VFINX 2010-09-30 2011-07-29 $84.49 $97.08 Long 36.0 14.90% 18448.51 18448.51
SPY 2010-09-30 2011-07-29 $90.71 $104.29 Long 33.0 14.97% 18448.51 18448.51
SPY 2010-09-30 2011-07-29 $90.71 $104.29 Long 33.0 14.97% 18448.51 18448.51
SPY 2011-04-29 2011-07-29 $109.47 $104.29 Long 31.0 -4.74% 18448.51 18448.51
SPY 2011-10-31 2011-11-30 $101.72 $101.31 Long 32.0 -0.41% 15177.62 18576.82
SPY 2012-01-31 2012-04-30 $107.11 $114.59 Long 32.0 6.98% 8865.39 20038.50
SPY 2011-12-30 2012-05-31 $102.37 $107.70 Long 32.0 5.22% 12311.92 19367.02
SPY 2012-06-29 2012-07-31 $112.07 $113.39 Long 31.0 1.18% 12394.11 19831.06
SPY 2012-06-29 2012-07-31 $112.07 $113.39 Long 31.0 1.18% 12394.11 19831.06
SPY 2012-09-28 2013-01-31 $119.18 $124.81 Long 30.0 4.72% 5331.56 20997.40
SPY 2013-02-28 2013-03-28 $126.41 $131.21 Long 30.0 3.80% 5475.57 21944.04
SPY 2013-04-30 2013-05-31 $133.73 $136.88 Long 29.0 2.36% 5567.13 22746.21
SPY 2013-09-30 2013-12-31 $142.14 $157.09 Long 29.0 10.52% 6000.83 25710.36
SPY 2011-12-30 2014-05-30 $102.37 $164.62 Long 32.0 60.81% 6673.35 26838.38
SPY 2014-06-30 2014-07-31 $168.01 $165.76 Long 29.0 -1.34% 11414.78 26909.31
SPY 2014-02-28 2014-07-31 $158.46 $165.76 Long 29.0 4.61% 11414.78 26909.31
SPY 2014-08-29 2014-09-30 $172.30 $169.92 Long 28.0 -1.38% 11281.71 27165.58
SPY 2014-08-29 2014-09-30 $172.30 $169.92 Long 28.0 -1.38% 11281.71 27165.58
SPY 2015-02-27 2015-03-31 $182.68 $179.81 Long 28.0 -1.57% 6331.36 28175.86
SPY 2015-04-30 2015-05-29 $181.57 $183.91 Long 28.0 1.29% 6396.72 28736.75
SPY 2012-08-31 2015-06-30 $116.24 $180.21 Long 30.0 55.04% 11803.09 28292.46
SPY 2014-10-31 2015-07-31 $173.92 $184.20 Long 28.0 5.91% 11987.29 28649.54
VFINX 2011-11-29 2015-08-31 $90.49 $160.84 Long 36.0 77.74% 22446.01 27633.12
SPY 2015-07-31 2015-08-31 $184.20 $172.90 Long 27.0 -6.13% 22446.01 27633.12
SPY 2015-11-30 2015-12-31 $183.63 $180.47 Long 27.0 -1.72% 17429.47 27710.44
SPY 2016-03-31 2016-05-31 $182.87 $186.71 Long 27.0 2.10% 7638.83 28360.13
SPY 2016-07-29 2016-10-31 $194.20 $191.08 Long 27.0 -1.61% 7554.49 28751.64
SPY 2017-02-28 2017-03-31 $213.84 $214.10 Long 26.0 0.13% 7561.49 31316.05
SPY 2013-01-31 2017-10-31 $124.81 $235.85 Long 30.0 88.96% 9015.05 34237.51
SPY 2017-04-28 2018-01-31 $216.23 $259.86 Long 26.0 20.18% 15771.46 36803.20
SPY 2018-07-31 2018-08-31 $261.54 $269.89 Long 25.0 3.19% 15980.18 37826.52
VFINX 2015-10-30 2018-10-31 $170.05 $234.88 Long 29.0 38.13% 36439.56 36439.56
SPY 2016-03-31 2018-10-31 $182.87 $252.74 Long 27.0 38.21% 36439.56 36439.56
SPY 2016-04-29 2018-10-31 $183.59 $252.74 Long 27.0 37.66% 36439.56 36439.56
SPY 2019-01-31 2019-02-28 $253.59 $261.81 Long 25.0 3.24% 23888.42 36993.42
SPY 2019-01-31 2019-05-31 $253.59 $259.74 Long 25.0 2.43% 23132.27 35880.25
SPY 2019-04-30 2019-05-31 $277.43 $259.74 Long 24.0 -6.38% 23132.27 35880.25
SPY 2019-03-29 2019-05-31 $266.54 $259.74 Long 25.0 -2.55% 23132.27 35880.25
SPY 2019-06-28 2019-07-31 $277.81 $282.01 Long 23.0 1.51% 16935.81 37262.27
SPY 2019-06-28 2019-07-31 $277.81 $282.01 Long 23.0 1.51% 16935.81 37262.27
SPY 2019-11-29 2020-01-31 $299.40 $307.97 Long 23.0 2.86% 17570.50 39770.29
SPY 2019-10-31 2020-01-31 $288.94 $307.97 Long 23.0 6.59% 17570.50 39770.29
SPY 2019-06-28 2020-02-28 $277.81 $283.59 Long 23.0 2.08% 24093.02 37987.74
VFINX 2018-11-29 2020-05-28 $237.67 $270.54 Long 27.0 13.83% 31397.65 38400.66
SPY 2020-06-30 2020-10-30 $298.30 $317.16 Long 23.0 6.32% 11312.81 40860.63
SPY 2020-11-30 2021-01-29 $351.66 $360.98 Long 22.0 2.65% 11517.82 45162.72
SPY 2019-04-29 2021-06-29 $277.29 $419.95 Long 24.0 51.45% 21596.71 50648.70
SPY 2021-06-30 2021-07-30 $420.31 $430.57 Long 21.0 2.44% 21812.19 51595.93
SPY 2020-06-30 2021-09-30 $298.30 $422.73 Long 23.0 41.71% 31101.34 50624.63
SPY 2021-08-31 2021-09-30 $443.38 $422.73 Long 21.0 -4.66% 31101.34 50624.63
SPY 2020-06-30 2021-11-30 $298.30 $448.76 Long 23.0 50.44% 41350.04 51762.20
SPY 2021-10-29 2021-11-30 $452.39 $448.76 Long 20.0 -0.80% 41350.04 51762.20
SPY 2021-12-31 2022-01-31 $469.53 $444.77 Long 20.0 -5.27% 40854.77 51167.89
SPY 2022-03-31 2022-04-29 $447.85 $408.54 Long 20.0 -8.78% 40068.63 49536.24
VFINX 2020-05-29 2022-05-27 $271.88 $381.72 Long 25.0 40.40% 49611.65 49611.65

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
CalendarTrend 0.20 0.00 Out EOM
DMIndicatorRSP 0.20 0.00 Out EOM
DMIndicatorMC 0.20 0.00 Out EOM
DMIndicatorKC 0.20 0.00 Out EOM
DMIndicatorCPI 0.20 0.00 Out EOM