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Here are the theoretical holdings going into Monday's open:
My actual holdings are with XLE, as I redeemed XLB at the close on 2/10.
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Executed Transactions for 2/10
XHB signaled a close @ the open on 2/10, and this published price was $34.79. Actual results vary, with an actual capture price of 34.80, or a 1-penny-per-share advantage. Do this for 100 years and it will add up <grin>.
Pending Transactions for 2/13
There are no purchase transactions.
The following order should be placed for the open on 2/13, if it has not already been taken:
- STC 145 shares XLB @ market
I took the trade at the close on 2/10, since I was sitting in front of my machine, and my fill price was $52.11 on a closing price of $52.10 (1-penny-per-share advantage there too).
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Weekly Summary
For the week ending 2/10, here are the transactions:
Click on the image to enlarge.
Total captured profits are $258.64, net of commissions.
$47,517.56 was committed, including commissions
$37,836.66 was returned, including commissions
(A committed $9,939.54 is still outstanding in XLE)
Total gain for the week, net of commissions, was 0.68%.
A Monte Carlo run shows that we are ahead of schedule, but of course, 1-week is just 1 week. Nevertheless, it's a start:
Click on the image to enlarge.
The Monte Carlo results above show an average return of just over 0.3% per week, with an arbitrary 10 weeks used in the sample set, and 1000 iterations run, picking any sample out of the 52 weeks available.
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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 2/12/2016 to 2/11/2017:
| Summary | Value |
| Total Return | $9,705.68 |
| Total Realized Return | $9,544.56 |
| Gross Profit | $12,462.19 |
| Gross Loss | ($2,917.63) |
| Open Trade P/L | $161.12 |
| Number of Trades | 177 |
| Number of Winning Trades | 133 |
| Number of Losing Trades | 44 |
| % Profitable | 75.14% |
| Average Trade | $53.92 |
| Average Trade (%) | 0.87% |
| Standard Deviation Trade | $137.03 |
| Standard Deviation Trade (%) | 1.63% |
| Largest Winning Trade | $664.90 |
| Largest Losing Trade | ($561.36) |
| Profit Factor | 4.27 |
| Average Win / Average Loss | 1.41 |
| Sharpe Ratio | 0.2847 |
| K-Ratio | 0.6635 |
| Return Retracement Ratio | 20.9144 |
| Compounded Annual Return | 16.67% |
| Compounded Monthly Return | 1.28% |
| Average Annual Return | $4,852.84 |
| Average Annual Return (%) | 8.14% |
| Average Monthly Return | $746.59 |
| Average Monthly Return (%) | 1.20% |
| Percent Days Profitable | 44.05% |
| Percent Months Profitable | 84.62% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $795.06 |
| Total Commissions | $795.06 |
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
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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
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