Trades into Wednesday, February 22nd and Addition of 3d High/Low Strategy

.
If you are on the blog page in a web browser from a computer, 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.

~~~~~~~

There are no open positions going into the open for Wednesday, February 22nd.

There are no pending purchase orders going into the open for Wednesday, February 22nd.

~~~~~~~

Addition of a New Strategy

I have recently completed testing/optimization of the Connors 3d High/Low strategy and will be adding it to the others that run in the portfolio.  Preliminary settings for this new strategy are:

Buy LONG, the next morning open, if 

• Today's close is above the 68d EMA and
• Today's close is below the 8d SMA (SIMPLE) and
• Two days ago the high and low price of the day is below the previous day's high and low, and
• Yesterday the high and low price of the day is below the previous day's, and
• Today's high and low price is below yesterday's, and
• Buy a second unit if prices close lower than your initial entry price anytime you are in the position

Additionally:

• Exit on the next morning open any time the ETF closes above it's 8d SMA (SIMPLE).
• Maximum number of positions is 4
• Initial entry percentage is 40% position, re-entry using a 60% remaining position.

For the past year the strategy adds about 2% CAGR to the overall suite of 4 Connors' strategies that we are already working.

~~~~~~~

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 2/23/2016 to 2/22/2017:

Summary	Value
Total Return	$10,520.52
Total Realized Return	$10,520.52
Gross Profit	$14,649.78
Gross Loss	($4,129.26)
Open Trade P/L	$0.00
Number of Trades	192
Number of Winning Trades	146
Number of Losing Trades	46
% Profitable	76.04%
Average Trade	$54.79
Average Trade (%)	0.77%
Standard Deviation Trade	$151.98
Standard Deviation Trade (%)	1.71%
Largest Winning Trade	$662.95
Largest Losing Trade	($706.22)
Profit Factor	3.55
Average Win / Average Loss	1.12
Sharpe Ratio	0.3052
K-Ratio	0.4666
Return Retracement Ratio	20.1988
Compounded Annual Return	18.07%
Compounded Monthly Return	1.37%
Average Annual Return	$5,260.26
Average Annual Return (%)	8.76%
Average Monthly Return	$809.27
Average Monthly Return (%)	1.30%
Percent Days Profitable	45.24%
Percent Months Profitable	69.23%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$875.56
Total Commissions	$875.56

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.  

~~~~~~~~~

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