Trades into Friday, February 10th

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Here are the theoretical holdings going into today's open:

Actual holdings mimic this setup.

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Executed Transactions for 2/9

TPS positions in EWH and ILF were theoretically closed yesterday on 2/9 at the open.  I state "theoretically" because I took the trades at the close on 2/8, which provides an ever-so-slight edge compared to next day open.  If I cannot be at the machine then the next morning open has been proven to be completely acceptable.  Tests with EdgeRater software (www.edgerater.com) have proven this (if you have questions), and I presented this info during our last meeting as well as in one of my newsletters.

Click on the image to enlarge.

EWH was bought in two tranches due to a position size miscalculation on my part (e.g. life intervened) but was sold in one transaction, which is why you see just one commission entry for $1.19 (119 shares total).  Each position was independently tracked though, as to make reconciliation easier.

Actual slippage on the close (in green) is the difference of the next-morning-open price vs. the actual price received for the transaction, independent of whether it was closed the night before or at the open.

Total profit for each transaction is shown, net of commissions.

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Pending Transactions for 2/10

There are no purchase transactions.

The fully loaded XHB position should be closed at the open.  I took the trade on 2/9 at the close, with the following results:

Click on the image to enlarge.

These are tentative numbers because the Actual Exit Slippage is referred to this morning's open, not last night's close, and I do not yet have that number.   Nevertheless, a winning set of trades, net of commissions.

Note that there are two entries for commissions because I had to split the transactions across two separate accounts.  I attempt to "fill" one account first, then if there are insufficient monies in one account, I move to the other.  Hence there are two entries for $4.35 and $2.91 (435 shares and 291 shares respectively).

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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 2/11/2016 to 2/10/2017:

Summary	Value
Total Return	$10,067.46
Total Realized Return	$9,828.55
Gross Profit	$12,758.82
Gross Loss	($2,930.27)
Open Trade P/L	$238.91
Number of Trades	178
Number of Winning Trades	133
Number of Losing Trades	45
% Profitable	74.72%
Average Trade	$55.22
Average Trade (%)	0.90%
Standard Deviation Trade	$138.27
Standard Deviation Trade (%)	1.66%
Largest Winning Trade	$664.90
Largest Losing Trade	($561.36)
Profit Factor	4.35
Average Win / Average Loss	1.47
Sharpe Ratio	0.2975
K-Ratio	0.6685
Return Retracement Ratio	21.9635
Compounded Annual Return	17.29%
Compounded Monthly Return	1.32%
Average Annual Return	$5,033.73
Average Annual Return (%)	8.45%
Average Monthly Return	$774.42
Average Monthly Return (%)	1.24%
Percent Days Profitable	46.03%
Percent Months Profitable	92.31%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$804.90
Total Commissions	$804.90

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.  

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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