If you are on the blog page in a browser, 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.
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If you have not watched the video from our last meeting, you'll most likely want to do so, as it will provide context. The link is here AND if you place the playback speed at 1.5x, you'll get through it much quicker.
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Since my post yesterday in the CISIG, I've organized the trades a bit better so that we all can follow what is happening.
I've linked my brokerage account for this strategy group for public viewing. You have to register with Investfeed but other than that, there is no cost. My user name is Paul Duncan and @Grems8544 at Investfeed. The link is here.
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Actual holdings going into today's open:
Changes anticipated for 2/7:
- STC 197 XLI in R3 @ Open (theoretical; only listed to show continuity)
- BTO 218 XHB in TPS (30%) (actual)
Additionally, I have set a LIMIT order GTC+, on 124 shares of XLE @ $72.48, although I do not think it will ever fill as I missed the entry window and the price is much higher.
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%B is the only strategy, as of today, that uses a profit target. Set your PT to 4.74%, before commissions.
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Historical, rolling, 1-year performance is as follows:
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%B allows for 10 positions at a 90%/10% split.
TPS allows for 4 positions on a 10%/20%/30%/40% split
RSI25 allows for 8 positions on a 50%/50% split.
R3 allows for 8 positions @ 100% (only one entry)
For example, if your starting capital is $100,000, then your first entry into %B would be $9,000 and your second entry would be $1,000. If you get a signal in R3 then your position size would be $12,500. A fully-loaded position in TPS is $25,000, and your first entry would be $2,500. This continues until you run out of capital.
%B is the only strategy, as of today, that uses a profit target. Set your PT to 4.74%, before commissions.
Historical, rolling, 1-year performance is as follows:
| Summary | Value |
| Total Return | $10,812.41 |
| Total Realized Return | $10,758.29 |
| Gross Profit | $14,426.51 |
| Gross Loss | ($3,668.22) |
| Open Trade P/L | $54.12 |
| Number of Trades | 176 |
| Number of Winning Trades | 133 |
| Number of Losing Trades | 43 |
| % Profitable | 75.57% |
| Average Trade | $61.13 |
| Average Trade (%) | 0.96% |
| Standard Deviation Trade | $160.89 |
| Standard Deviation Trade (%) | 1.94% |
| Largest Winning Trade | $667.60 |
| Largest Losing Trade | ($561.36) |
| Profit Factor | 3.93 |
| Average Win / Average Loss | 1.27 |
| Sharpe Ratio | 0.2948 |
| K-Ratio | 0.4648 |
| Return Retracement Ratio | 15.8443 |
| Compounded Annual Return | 18.24% |
| Compounded Monthly Return | 1.39% |
| Average Annual Return | $5,406.21 |
| Average Annual Return (%) | 8.95% |
| Average Monthly Return | $831.72 |
| Average Monthly Return (%) | 1.31% |
| Percent Days Profitable | 45.63% |
| Percent Months Profitable | 84.62% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $811.27 |
| Total Commissions | $811.27 |
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