Trades into Tuesday, February 28th

.
If you are on the blog page in a web browser from a computer, please subscribe to this using the "Follow by Email" link to the left.  Having your email helps me to notify you when Google mucks up email distribution, as they did at the beginning of May.

~~~~~~~

For the AAII CI-SIG group, we are planning to have a face-face meeting on 3/25.  Details to follow.

~~~~~~~

There are 2 pending SELL orders going into the open.

There are 3 pending BUY orders going into the open.

1)  Sell 10% position in IWM under the TPS 1-2-3-4 strategy.

• The order is STC 12 shares market at the open.
• I took this trade 15 seconds before the close last evening, and was filled at $139.94.  We'll see if this morning's open does better or worse.

2)  Sell 40% position in IWM under the 3d High/Low strategy.

• The order is STC 48 shares market at the open.
• Same comment as above; I took the trade at the close (because I could).

Remember, historically, there is a slight edge taking the trade at the close rather than the next morning's open, but it may simply be a statistical game with numbers.  In the big picture it probably does not matter.

Also note that I took the trades together, e.g., the actual order I placed was STC 60 market at the close. 

My buy side fill was at $138.43.  This equates to a $1.51 gain per share or a profit, less commissions ($2 round trip) of $88.60.  The amount invested was $8,305.80 so the 1-day gain on the amount invested was 1.07%.

Pending Buy Orders for Tuesday:

The following are the recommended buy orders for Tuesday:

Click on the image to enlarge.

These were calculated on a base portfolio of $66,603.

• TPS allows for 4 positions total.  This means that a fully-loaded TPS position would be $16,651.
• 10% of this is $1,665.
• EEM closed at a value of $38.36.  $1665 / 38.36 = ~ 43 shares
• FXI closed at a value of $38.30.  ~ 43 shares
• EWT closed at a value of $32.50.  $1665 / 32.50 = ~ 51 shares

The orders are:

1. BTO 43 EEM market at the open
2. BTO 43 FXI market at the open
3. BTO 51 EWT market at the open

Note that I will make these orders active at 9:32 a/ET, to allow the "book" to clear.  EEM and FXI are very liquid ETFs with a bid/ask spread of only $0.01.  EWT is less liquid, but still has a b/a of generally less than $0.02.

~~~~~~~

1-Year Rolling Performance

Historical, rolling, 1-year performance is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 3/1/2016 to 2/28/2017 (through Tuesday morning, to capture all end-of-day trades on the previous day).  Note that these are the values that START the next trading day, e.g., 2/28/2017 for the set below:

Summary	Value
Total Return	$7,849.94
Total Realized Return	$7,752.94
Gross Profit	$11,234.15
Gross Loss	($3,481.21)
Open Trade P/L	$97.00
Number of Trades	234
Number of Winning Trades	175
Number of Losing Trades	59
% Profitable	74.79%
Average Trade	$33.13
Average Trade (%)	0.69%
Standard Deviation Trade	$94.01
Standard Deviation Trade (%)	1.66%
Largest Winning Trade	$442.60
Largest Losing Trade	($469.06)
Profit Factor	3.23
Average Win / Average Loss	1.09
Sharpe Ratio	0.2592
K-Ratio	0.4644
Return Retracement Ratio	17.361
Compounded Annual Return	13.75%
Compounded Monthly Return	1.06%
Average Annual Return	$3,924.97
Average Annual Return (%)	6.68%
Average Monthly Return	$654.16
Average Monthly Return (%)	1.08%
Percent Days Profitable	43.03%
Percent Months Profitable	75.00%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$907.32
Total Commissions	$907.32

Note that all 7 Connors' Long strategies are part of the results above.

Rolling snapshots are far more accurate of an indicator, especially when combined, because they provide a "what if I start right now" view of strategies.   This is my intent with posting this on a day-by-day entry.

Go back through older blog entries to review the consistency of the 1-year rolling snapshots.  

~~~~~~~~~

As with all my ramblings, you are responsible for your own investment decisions and I am not.  Please do your own diligence, and please take ownership for your actions.

Regards,

pgd

Trades into Monday, February 27th and Weekly Summary

.
If you are on the blog page in a web browser from a computer, please subscribe to this using the "Follow by Email" link to the left.  Having your email helps me to notify you when Google mucks up email distribution, as they did at the beginning of May.

~~~~~~~

For the AAII CI-SIG group, we are planning to have a face-face meeting on 3/25.  Details to follow.

~~~~~~~

There are two new buy orders for the open on Monday, February 27th:

I am committing $66,603 to these strategies right now.  

Buy 10% position in IWM under the TPS-1-2-3-4 strategy:

• TPS allows for 4 positions total.  This means that a fully-loaded TPS position would be $16,651.
• 10% of this is $1,665.
• IWM closed Friday at $138.65
• $1,665 / $138.65 = ~ 12 shares.
• The order is BTO (buy to open) 12 shares IWM at market at the open.

Buy 40% position in IWM under the 3d High/Low strategy:

• 3d H/L allows for 4 positions total.  The fully-loaded 3d H/L position is the same as TPS at $16,651.
• The optimized initial entry size for 3d H/L is 40%.  This is $6,660.
• IWM closed Friday at $138.65
• $6,660 / $138.65 = ~ 48 shares.
• The order is BTO 48 shares IWM at market at the open.

Because of sensitivity to commissions, I will combine these orders as follows:

• BTO 60 shares IWM at market at the open.  I will make the order valid at 9:32 a.m. ET, to allow the "book" to clear in the first 2 minutes.  This is probably generous.

I am anticipating over 200,000 shares will exchange in the first 2 minutes -- this is a VERY liquid ETF, so delaying the entry by 2 minutes should not present a major price issue with a market order.

The commission difference at TradeStation, for combining these two orders, is relatively insignificant.  The total advantage is only [ (separate) - (combined) = ($1 + $1) - ($1) = ] $1 but how many of you still pick up a penny/nickel/quarter when you see it laying on the ground?

~~~~~~~

Weekly Summary

For the week ending 2/24, there were no transactions (Tu-F).  Total portfolio gains, including commissions, since 2/3/17 are 0.52%.  We have completed 3 weeks so the expectation, given data below, is that we would be at 1.02% cumulative gain.  We are underperforming the straight-line benchmark but it has only been 3 weeks, so do not read too much into this.

Monte-Carlo tests (52 weeks (2/25/16 to 2/24/17), 10 samples per run, 1000 runs) shows that average return has moved up slightly from just over 0.31%/week to 0.34%/week:

Click on the image to enlarge.

Monte-Carlo tests of potential weekly drawdown, using the same 52 weeks, shows that there is between a 95% and 99% likelihood that drawdown will be at least 3.0% in any 52-week period.

Click on the image to enlarge.

~~~~~~

Consistency of Trades

Last week I introduced a new table to show how the ensemble of strategies performs over a rolling, go-forward day-by-day period.  That chart is here.  You can also see it in last week's summary blog entry here.

I introduced an additional strategy, the 3d High/Low Strategy during the week.  This will change ensemble performance, so the table resets with this new strategy added:

Click on the table to enlarge.

Although profit factor has decreased (3.37 +/- 0.15 vs 4.19 +/- 0.13 last week), the Compounded Annual Return is nearly the same as last week (16.95% +/- 0.90% vs 16.91% +/- 1.00% last week), as is average annual return (8.22% +/- 0.43% vs 8.27% +/- 0.51% last week).  

I'm still a bit nervous about the drop in profit factor and the longer-term implications on overall growth in the account, but for now, these two datasets are more/less consistent.  

4 observations this past week and 10 the previous two weeks are not great sample sets, so do not read too much into this at this point.  It will change this coming week, as I am adding two more long strategies to the available set of tools (Maximum Days Down "MDD" and RSI 10/6 "RSI106"). I intend to wrap up initial testing on these today (Sunday, 2/26).

Capital Deployment

I am still well-under in terms of capital deployment, so there is potentially significant room for improvement.  Here is the 1-year lookback on capital deployment; we want 100%, and the fact that we only hit this a few times over the past year shows there is a tremendous amount of idle cash:

Click on the image to enlarge.

All the areas that are NOT at 100% means that capital is sitting on the sideline.  I am only deploying 5 strategies right now, out of a minimum of 14, so much work lies ahead.

~~~~~~~

1-Year Rolling Performance

Historical, rolling, 1-year performance is as follows.  This is the same information as in the table that is included above, and is provided here for continuity of presentation.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 2/26/2016 to 2/25/2017 (Saturday morning, to capture all end-of-day trades on the previous day).  Note that these are the values that START the next trading day, e.g., 2/27/2017 for the set below:

Summary	Value
Total Return	$10,209.32
Total Realized Return	$10,209.32
Gross Profit	$14,321.03
Gross Loss	($4,111.71)
Open Trade P/L	$0.00
Number of Trades	188
Number of Winning Trades	145
Number of Losing Trades	43
% Profitable	77.13%
Average Trade	$54.30
Average Trade (%)	0.78%
Standard Deviation Trade	$149.66
Standard Deviation Trade (%)	1.70%
Largest Winning Trade	$662.95
Largest Losing Trade	($706.22)
Profit Factor	3.48
Average Win / Average Loss	1.03
Sharpe Ratio	0.2998
K-Ratio	0.4943
Return Retracement Ratio	19.7287
Compounded Annual Return	17.54%
Compounded Monthly Return	1.34%
Average Annual Return	$5,104.66
Average Annual Return (%)	8.50%
Average Monthly Return	$785.33
Average Monthly Return (%)	1.27%
Percent Days Profitable	45.24%
Percent Months Profitable	69.23%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$848.34
Total Commissions	$848.34

Rolling snapshots are far more accurate of an indicator, especially when combined, because they provide a "what if I start right now" view of strategies.   This is my intent with posting this on a day-by-day entry.

Go back through older blog entries to review the consistency of the 1-year rolling snapshots.  

~~~~~~~~~

As with all my ramblings, you are responsible for your own investment decisions and I am not.  Please do your own diligence, and please take ownership for your actions.

Regards,

pgd

Trades into Friday, February 24th

.
If you are on the blog page in a web browser from a computer, please subscribe to this using the "Follow by Email" link to the left.  Having your email helps me to notify you when Google mucks up email distribution, as they did at the beginning of May.

~~~~~~~

There are no open positions going into the open for Friday, February 24th.

There are no pending purchase orders going into the open for Friday, February 24th.

~~~~~~~

1-Year Rolling Performance

Historical, rolling, 1-year performance in the 5 tested strategies is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 2/25/2016 to 2/24/2017:

Summary	Value
Total Return	$9,194.78
Total Realized Return	$9,194.78
Gross Profit	$13,388.09
Gross Loss	($4,193.31)
Open Trade P/L	$0.00
Number of Trades	183
Number of Winning Trades	138
Number of Losing Trades	45
% Profitable	75.41%
Average Trade	$50.24
Average Trade (%)	0.71%
Standard Deviation Trade	$150.34
Standard Deviation Trade (%)	1.72%
Largest Winning Trade	$662.95
Largest Losing Trade	($706.22)
Profit Factor	3.19
Average Win / Average Loss	1.04
Sharpe Ratio	0.27
K-Ratio	0.5086
Return Retracement Ratio	17.0037
Compounded Annual Return	15.84%
Compounded Monthly Return	1.22%
Average Annual Return	$4,597.39
Average Annual Return (%)	7.68%
Average Monthly Return	$707.29
Average Monthly Return (%)	1.15%
Percent Days Profitable	45.02%
Percent Months Profitable	69.23%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$822.62
Total Commissions	$822.62

Rolling snapshots are far more accurate of an indicator, especially when combined, because they provide a "what if I start right now" view of strategies.   This is my intend with posting this on a day-by-day entry.

Go back through older blog entries to review the consistency of the 1-year rolling snapshots.  

~~~~~~~~~

As with all my ramblings, you are responsible for your own investment decisions and I am not.  Please do your own diligence, and please take ownership for your actions.

Regards,

pgd

Trades into Thursday, February 23rd

.
If you are on the blog page in a web browser from a computer, please subscribe to this using the "Follow by Email" link to the left.  Having your email helps me to notify you when Google mucks up email distribution, as they did at the beginning of May.

~~~~~~~

There are no open positions going into the open for Thursday, February 23rd.

There are no pending purchase orders going into the open for Thursday, February 23rd.

Note:  if we continue a short-term pullback with today's market action, it is likely we'll see a new entry signal in some of the ETFs on Friday.

~~~~~~~

Of particular interest to me (and those of you following the progress of this portfolio of Connors' strategies) is that as I add the latest strategy to the pool (see yesterday's blog entry), performance over the past year drops in terms of a number of metrics:

• Profit Factor
• Average Win/Loss
• Return Retracement Ratio

I spent part of Wednesday looking closer at this and it appears the reason for this is opportunity cost:  when we commit monies into other strategies, we miss opportunities that could potentially pay out a larger amount.

Of course, hindsight is 20/20, and it is hard to know what strategies are "correct" for the given climate on any one day or trading cycle.

As we discussed in our last meeting, the goal is to deploy capital and simultaneously ensure that risk (drawdown) is maintained at an acceptable level.  Here, "acceptable" means approximately 4% drawdown of the equity of the account; I see nothing that would violate this objective.  I also see that the % deployed capital goes up as desired, but this forces the aforementioned opportunity cost.  Here is an example:

Click on the image to enlarge.

This plot is the same plot I posted over the weekend.  It is with the 4 tested strategies (TPS, RSI25, %B, R3) and it shows that over the past year I was successful at deploying 100% of my capital.  Compare that chart to this one:

Click on the image to enlarge.

This lower plot shows the addition of the optimized Connors' 3d High/Low strategy that I added yesterday.  You can see, as evidenced by more peaks hitting 100% (and the general change in shape of the curves) that more capital was working for me than in the previous plot.  This is desired -- as long as gains are commensurate with the added exposure risk.  They are not, at least not at this stage of the game.

Takeaway:   Money in the market is exposed risk.  We should be compensated for this additional risk.  The above plots indicate that I am certainly able to deploy more money, but there is a change in the mixture of the actual trades, resulting in a reduction of "take home pay".  This is undesired.

I suspect, as I add more strategies to the pool, that this "opportunity cost" will continue to develop and that I'll see further decrease in gains to some central number (a floor, so to speak).  This points to having to develop a ranking criteria, which is something that Connors' does not address in any of his literature.  Hence, we're quickly moving further into new territory.

~~~~~~~

1-Year Rolling Performance

Historical, rolling, 1-year performance in the 5 tested strategies is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 2/24/2016 to 2/23/2017:

Summary	Value
Total Return	$9,504.92
Total Realized Return	$9,504.92
Gross Profit	$13,701.34
Gross Loss	($4,196.42)
Open Trade P/L	$0.00
Number of Trades	188
Number of Winning Trades	142
Number of Losing Trades	46
% Profitable	75.53%
Average Trade	$50.56
Average Trade (%)	0.73%
Standard Deviation Trade	$148.46
Standard Deviation Trade (%)	1.71%
Largest Winning Trade	$662.95
Largest Losing Trade	($706.22)
Profit Factor	3.27
Average Win / Average Loss	1.06
Sharpe Ratio	0.2786
K-Ratio	0.5084
Return Retracement Ratio	17.4872
Compounded Annual Return	16.33%
Compounded Monthly Return	1.25%
Average Annual Return	$4,752.46
Average Annual Return (%)	7.93%
Average Monthly Return	$731.15
Average Monthly Return (%)	1.18%
Percent Days Profitable	46.03%
Percent Months Profitable	69.23%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$842.66
Total Commissions	$842.66

Rolling snapshots are far more accurate of an indicator, especially when combined, because they provide a "what if I start right now" view of strategies.   This is my intend with posting this on a day-by-day entry.

Go back through older blog entries to review the consistency of the 1-year rolling snapshots.  

~~~~~~~~~

As with all my ramblings, you are responsible for your own investment decisions and I am not.  Please do your own diligence, and please take ownership for your actions.

Regards,

pgd

Trades into Wednesday, February 22nd and Addition of 3d High/Low Strategy

.
If you are on the blog page in a web browser from a computer, please subscribe to this using the "Follow by Email" link to the left.  Having your email helps me to notify you when Google mucks up email distribution, as they did at the beginning of May.

~~~~~~~

There are no open positions going into the open for Wednesday, February 22nd.

There are no pending purchase orders going into the open for Wednesday, February 22nd.

~~~~~~~

Addition of a New Strategy

I have recently completed testing/optimization of the Connors 3d High/Low strategy and will be adding it to the others that run in the portfolio.  Preliminary settings for this new strategy are:

Buy LONG, the next morning open, if 

• Today's close is above the 68d EMA and
• Today's close is below the 8d SMA (SIMPLE) and
• Two days ago the high and low price of the day is below the previous day's high and low, and
• Yesterday the high and low price of the day is below the previous day's, and
• Today's high and low price is below yesterday's, and
• Buy a second unit if prices close lower than your initial entry price anytime you are in the position

Additionally:

• Exit on the next morning open any time the ETF closes above it's 8d SMA (SIMPLE).
• Maximum number of positions is 4
• Initial entry percentage is 40% position, re-entry using a 60% remaining position.

For the past year the strategy adds about 2% CAGR to the overall suite of 4 Connors' strategies that we are already working.

~~~~~~~

1-Year Rolling Performance

Historical, rolling, 1-year performance is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 2/23/2016 to 2/22/2017:

Summary	Value
Total Return	$10,520.52
Total Realized Return	$10,520.52
Gross Profit	$14,649.78
Gross Loss	($4,129.26)
Open Trade P/L	$0.00
Number of Trades	192
Number of Winning Trades	146
Number of Losing Trades	46
% Profitable	76.04%
Average Trade	$54.79
Average Trade (%)	0.77%
Standard Deviation Trade	$151.98
Standard Deviation Trade (%)	1.71%
Largest Winning Trade	$662.95
Largest Losing Trade	($706.22)
Profit Factor	3.55
Average Win / Average Loss	1.12
Sharpe Ratio	0.3052
K-Ratio	0.4666
Return Retracement Ratio	20.1988
Compounded Annual Return	18.07%
Compounded Monthly Return	1.37%
Average Annual Return	$5,260.26
Average Annual Return (%)	8.76%
Average Monthly Return	$809.27
Average Monthly Return (%)	1.30%
Percent Days Profitable	45.24%
Percent Months Profitable	69.23%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$875.56
Total Commissions	$875.56

Rolling snapshots are far more accurate of an indicator, especially when combined, because they provide a "what if I start right now" view of strategies.   This is my intend with posting this on a day-by-day entry.

Go back through older blog entries to review the consistency of the 1-year rolling snapshots.  

~~~~~~~~~

As with all my ramblings, you are responsible for your own investment decisions and I am not.  Please do your own diligence, and please take ownership for your actions.

Regards,

pgd

Trades into Tuesday, February 21st and Weekly Summary

.
If you are on the blog page in a web browser from a computer, please subscribe to this using the "Follow by Email" link to the left.  Having your email helps me to notify you when Google mucks up email distribution, as they did at the beginning of May.

~~~~~~~

There are no open positions going into the open for Tuesday, February 21st.

There are no pending purchase orders going into the open for Tuesday, February 21st.

~~~~~~~

Weekly Summary

For the week ending 2/17, here are the transactions:

Click on the image to enlarge

For the week ending 2/17 the position in XLE was closed for a net profit of $143.70 on all accounts.  This represents a 0.21% weekly change, which is slightly lower than the midpoint in the Monte Carlo analysis:

Click on the image to enlarge

For a year's worth of data, taking any arbitrary set of 10 weeks, the weekly change in average return is just over 0.31%.

~~~~~~~

Consistency of Trades

Here I introduce a new chart so that we can look at overall deviations in performance was we move forward.

The following chart shows the day-over-day performance of the strategies, using the 1-Year Rolling Performance lookback period.  What we are looking to see here is that the far right column (Std Dev) is very stable as we move through time.  So far, with two weeks of data, the overall system is performing very well and is quite stable.  This will be updated weekly.

Click on the image to enlarge

As we go forward, pay particular attention to the following lines:

• % Profitable (averaging 75.11% +/- 0.59%)
• Average Trade (Profit) (averaging 0.89% +/- 0.08%)
• Profit Factor (averaging 4.19 +/- 0.13)
• Return Retracement Ratio (averaging 19.72 +/- 1.55)
• Compounded Annual Return (averaging 16.91% +/- 1.00%)
• Average Annual Return (averaging 8.27%, +/- 0.51%)

Of course, our actual performance will vary from this, but at least we are in the right ballpark.

I re-iterate:  these are great numbers for the amount of risk that is being taken. 

~~~~~~~

Capital Deployment

I am still well-under in terms of capital deployment, so there is potentially significant room for improvement.  Here is the 1-year lookback on capital deployment; we want 100%, and the fact that we only hit this a few times over the past year shows there is a tremendous amount of idle cash:

Click on the image to enlarge

All the areas that are NOT at 100% means that capital is sitting on the sideline.  I am only deploying 4 strategies right now, out of a minimum of 14, so much work lies ahead.

~~~~~~~

1-Year Rolling Performance

Historical, rolling, 1-year performance is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 2/19/2016 to 2/18/2017 (Saturday morning, to capture all end-of-day trades on the previous day):

Summary	Value
Total Return	$9,459.90
Total Realized Return	$9,459.90
Gross Profit	$12,353.64
Gross Loss	($2,893.74)
Open Trade P/L	$0.00
Number of Trades	178
Number of Winning Trades	134
Number of Losing Trades	44
% Profitable	75.28%
Average Trade	$53.15
Average Trade (%)	0.85%
Standard Deviation Trade	$135.37
Standard Deviation Trade (%)	1.61%
Largest Winning Trade	$664.90
Largest Losing Trade	($561.36)
Profit Factor	4.27
Average Win / Average Loss	1.4
Sharpe Ratio	0.2784
K-Ratio	0.5855
Return Retracement Ratio	20.035
Compounded Annual Return	16.25%
Compounded Monthly Return	1.25%
Average Annual Return	$4,729.95
Average Annual Return (%)	7.93%
Average Monthly Return	$727.68
Average Monthly Return (%)	1.17%
Percent Days Profitable	43.87%
Percent Months Profitable	76.92%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$771.14
Total Commissions	$771.14

Rolling snapshots are far more accurate of an indicator, especially when combined, because they provide a "what if I start right now" view of strategies.   This is my intend with posting this on a day-by-day entry.

Go back through older blog entries to review the consistency of the 1-year rolling snapshots.  

~~~~~~~~~

As with all my ramblings, you are responsible for your own investment decisions and I am not.  Please do your own diligence, and please take ownership for your actions.

Regards,

pgd