Trades into Thursday, February 23rd

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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.

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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.

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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.  

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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