Trades into Tuesday, February 28th

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

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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.

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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 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.  

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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