Trades into Friday, March 31st

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There are no new purchase order for the open.

There are two new sell orders for the open.

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The sell orders will take the overall account to a flat position, once executed.  The orders are:

• STC 26 shares DIA at market at 9:32 a.m. ET
• STC 171 shares XLF at market at 9:32 a.m. ET

Unless the market jumps upward at the open, both of these positions will close slightly underwater.

XLV was closed yesterday for a slight loss.  Since February 1st (when this experiment started), we have had 29 winning trades and 10 losing trades, not including today.  This is a 74% win rate, with an average win size of $36.94 and an average loss size of ($42.80).  Profit factor is 2.5 and the PRR is 1.5.  Both of these values need to be above 1.0 in order to have a winning strategy.  Total gains over the past 2 months, including commissions, is +0.97%, which is $643.34 on a basis of $66,603.  I am tracking below the monthly average return of +0.56%/month and below the compounded monthly return level of +0.74%/month.  

Reality meets theory.

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3-Month Rolling Performance

Historical, rolling, annualized 3-month performance from the 3-month backscan is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 12/31/2016 to 3/30/2017.  Roughly multiply the values by 4 to get an annual value (dollars and trades only; the other percentage metrics are accurate for the time period and need no multiplication).

Summary	Value
Total Return	$1,362.03
Total Realized Return	$1,253.92
Gross Profit	$2,206.60
Gross Loss	($952.68)
Open Trade P/L	$108.11
Number of Trades	60
Number of Winning Trades	36
Number of Losing Trades	24
% Profitable	60.00%
Average Trade	$20.90
Average Trade (%)	0.25%
Standard Deviation Trade	$77.86
Standard Deviation Trade (%)	1.05%
Largest Winning Trade	$294.25
Largest Losing Trade	($243.80)
Profit Factor	2.32
Average Win / Average Loss	1.54
Sharpe Ratio	0.1277
K-Ratio	0.2028
Return Retracement Ratio	7.6784
Compounded Annual Return	5.91%
Compounded Monthly Return	0.47%
Average Annual Return	$1,362.03
Average Annual Return (%)	1.36%
Average Monthly Return	$454.01
Average Monthly Return (%)	0.45%
Percent Days Profitable	34.43%
Percent Months Profitable	100.00%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$254.00
Total Commissions	$254.00

The 3d High/Low, RSI 25, RSI 10/6, and MDD strategies have been omitted from these results, as they have been recently underperforming in this market climate.

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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

Trades into Thursday, March 30th

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There are no new purchase order for the open.

There is one new sell order for the open.

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The sell order is in the MDD strategy.

• STC 73 shares XLV at market at 9:32 a.m. ET

It appears that this will be a losing position; pre-market open the position is down ($28).  If this value holds this is better than the average losing position of ($48).

Both trades that were placed yesterday resulted in a positive gain.  Total account gains are now $679.91 on a basis of $66,603, resulting in a net 1.02% gain, inclusive of commissions.  This is since strategy inception on February 1, 2017.

Realized profit factor is 2.737 and realized PRR is 1.647.  Both of these need to be above 1.0 in order for the strategy to make money.

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1-Year Rolling Performance

Historical, rolling, annualized 3-month performance from the 3-month backscan is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 12/31/2016 to 3/30/2017.  Roughly multiply the values by 4 to get an annual value (dollars and trades only; the other percentage metrics are accurate for the time period and need no multiplication).

Summary	Value
Total Return	$1,306.59
Total Realized Return	$1,253.92
Gross Profit	$2,206.60
Gross Loss	($952.68)
Open Trade P/L	$52.67
Number of Trades	60
Number of Winning Trades	36
Number of Losing Trades	24
% Profitable	60.00%
Average Trade	$20.90
Average Trade (%)	0.25%
Standard Deviation Trade	$77.86
Standard Deviation Trade (%)	1.05%
Largest Winning Trade	$294.25
Largest Losing Trade	($243.80)
Profit Factor	2.32
Average Win / Average Loss	1.54
Sharpe Ratio	0.1224
K-Ratio	0.1995
Return Retracement Ratio	7.3597
Compounded Annual Return	5.73%
Compounded Monthly Return	0.46%
Average Annual Return	$1,306.59
Average Annual Return (%)	1.31%
Average Monthly Return	$435.53
Average Monthly Return (%)	0.43%
Percent Days Profitable	33.33%
Percent Months Profitable	100.00%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$254.00
Total Commissions	$254.00

The 3d High/Low, RSI 25, RSI 10/6, and MDD strategies have been omitted from these results, as they have been recently underperforming in this market climate.

~~~~~~~~~

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

Trades into Wednesday, March 29th

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There are no new purchase order for the open.

There are two new sell order for the open.

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The sell orders are in the MDD strategy:

• STC 23 shares SPY at market at 9:32 a.m. ET
• STC 228 shares XHB at market at 9;32 a.m. ET

Yesterday's close of QQQ resulted in a round-trip net of $27.76, inclusive of commissions, and this value is slightly below the average expected value of $39.13.

Both the SPY and the XHB trades of today are expected to result in positive gains.  If this is the case the profit factor will increase to 2.799 (need greater than 1) and the PRR will increase to 1.677 (need greater than 1).

Total net profits are $704.16, or about 1.06% gain in just under 2 months.  Average expectation is that we would be at 1% total net gain, inclusive of commissions, so we are on track with the model.

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1-Year Rolling Performance

Historical, rolling, annualized 3-month performance from the 3-month backscan is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 12/30/2016 to 3/29/2017.  Roughly multiply the values by 4 to get an annual value (dollars and trades only; the other percentage metrics are accurate for the time period and need no multiplication).

Summary	Value
Total Return	$1,556.05
Total Realized Return	$1,742.09
Gross Profit	$2,575.02
Gross Loss	($832.93)
Open Trade P/L	($186.04)
Number of Trades	80
Number of Winning Trades	55
Number of Losing Trades	25
% Profitable	68.75%
Average Trade	$21.78
Average Trade (%)	0.40%
Standard Deviation Trade	$57.80
Standard Deviation Trade (%)	0.95%
Largest Winning Trade	$186.10
Largest Losing Trade	($243.80)
Profit Factor	3.09
Average Win / Average Loss	1.41
Sharpe Ratio	0.1393
K-Ratio	0.2525
Return Retracement Ratio	8.8973
Compounded Annual Return	6.61%
Compounded Monthly Return	0.53%
Average Annual Return	$778.03
Average Annual Return (%)	0.78%
Average Monthly Return	$389.01
Average Monthly Return (%)	0.39%
Percent Days Profitable	43.33%
Percent Months Profitable	75.00%
Percent Years Profitable	50.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$323.58
Total Commissions	$323.58

The 3d High/Low and %B strategies have been omitted from these results, as they have been recently underperforming in this market climate.

~~~~~~~~~

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

Trades into Tuesday, March 28th

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There are no new purchase order for the open.

There is one new sell order for the open.

The sell order is QQQ, which is part of the RSI 25 strategy.  The following order has been placed for 9;32 a.m. ET:

• STC 32 shares QQQ at market at 9:32 a.m. ET

It appears that this will be a winning position.

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1-Year Rolling Performance

Historical, rolling, annualized 3-month performance from the 3-month backscan is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 12/29/2016 to 3/28/2017.  Roughly multiply the values by 4 to get an annual value (dollars and trades only; the other percentage metrics are accurate for the time period and need no multiplication).

Summary	Value
Total Return	$766.34
Total Realized Return	$1,108.21
Gross Profit	$1,779.72
Gross Loss	($671.51)
Open Trade P/L	($341.87)
Number of Trades	71
Number of Winning Trades	50
Number of Losing Trades	21
% Profitable	70.42%
Average Trade	$15.61
Average Trade (%)	0.40%
Standard Deviation Trade	$50.02
Standard Deviation Trade (%)	0.97%
Largest Winning Trade	$132.30
Largest Losing Trade	($197.30)
Profit Factor	2.65
Average Win / Average Loss	1.11
Sharpe Ratio	0.0804
K-Ratio	0.1856
Return Retracement Ratio	5.0287
Compounded Annual Return	5.29%
Compounded Monthly Return	0.42%
Average Annual Return	$383.17
Average Annual Return (%)	0.63%
Average Monthly Return	$191.58
Average Monthly Return (%)	0.31%
Percent Days Profitable	45.00%
Percent Months Profitable	50.00%
Percent Years Profitable	50.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$269.99
Total Commissions	$269.99

~~~~~~~~~

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

Trades into Monday, March 27th

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There are no new purchase order for the open.

There are no new sell orders for the open.

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Thank you everybody who attended this past weekend's meeting.

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1-Year Rolling Performance

Historical, rolling, annualized 3-month performance from the 3-month backscan is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 12/28/2016 to 3/27/2017.  Roughly multiply the values by 4 to get an annual value (dollars and trades only; the other percentage metrics are accurate for the time period and need no multiplication).

Summary	Value
Total Return	$816.09
Total Realized Return	$1,127.85
Gross Profit	$1,674.67
Gross Loss	($546.82)
Open Trade P/L	($311.76)
Number of Trades	73
Number of Winning Trades	49
Number of Losing Trades	24
% Profitable	67.12%
Average Trade	$15.45
Average Trade (%)	0.39%
Standard Deviation Trade	$41.93
Standard Deviation Trade (%)	1.02%
Largest Winning Trade	$124.54
Largest Losing Trade	($164.75)
Profit Factor	3.06
Average Win / Average Loss	1.5
Sharpe Ratio	0.1007
K-Ratio	0.2404
Return Retracement Ratio	6.988
Compounded Annual Return	5.78%
Compounded Monthly Return	0.46%
Average Annual Return	$408.05
Average Annual Return (%)	0.67%
Average Monthly Return	$204.02
Average Monthly Return (%)	0.33%
Percent Days Profitable	40.00%
Percent Months Profitable	50.00%
Percent Years Profitable	50.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$254.45
Total Commissions	$254.45

~~~~~~~~~

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

Trades into Friday, March 24th

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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 last week.

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There will be an AAII Computerized Investing group meeting on Saturday, 3/25, at the Great Falls Library ( http://www.fairfaxcounty.gov/library/branches/gf/ ), starting about 10:15 a/ET and continuing to a hard-stop time of 1 p/ET (there are others registered to use the room at that time).

The primary topic will be discussion of this Connor's Portfolio.  We left off in January with a couple of strategies tested; since that time I have been forward testing the strategy with real money, have learned good and bad things about the strategy, and have built out all 7 long strategies.  I'll present up-to-date information on the portfolio performance, lessons learned to date, and why I think it will continue to work.

Provided that there is working internet, I will also attempt to stream the session over GoTo Meeting.  Remote attendance is limited to the first 25 people who call in:

Please join my meeting from your computer, tablet or smartphone. 
https://global.gotomeeting.com/join/753850757 

You can also dial in using your phone. 
United States: +1 (267) 507-0007 

Access Code: 753-850-757 

I do ask that if you are in the area that you attend in person.  The GoToMeeting line is for people not in the immediate area and who would need to travel hours to attend.  We have members in California, Texas, Ohio, Florida, etc. who cannot realistically attend.
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There is one new purchase order for the open.

There are no new sell orders for the open.


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The %B strategy has indicated the following order should be placed:

• BTO 93 shares XLI at the open.

My actual order will fire at 9:32 a/ET to allow the book to clear.

The base of the account is $67,134.  The %B strategy enters with a 90% first entry and 10% second entry.  It allows 10 total positions.  A fully-loaded position is $6,713 and a 90% position is $6,041.  %B operates with a 4.74% profit target.  Settings for this strategy are unchanged from our previous early-February presentation:

• EMA Length:  119 days
• Total number allowed positions:  10
• First Entry size:  90%
• No Stop Loss
• Profit Target = 4.74% (on the close)
• Low %B threshold to buy:  20.5
• High %B threshold to sell:  82
• BB Period:  12 days
• BB Deviation band:  2.1

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1-Year Rolling Performance

Historical, rolling, annualized 3-month performance from the 3-month backscan is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 12/25/2016 to 3/24/2017.  This 3-month lookback is a change from previous reporting and I am changing the process to be more accurate of "strategies in play".  Roughly multiply the values by 4 to get an annual value (dollars and trades only; the other percentage metrics are accurate for the time period and need no multiplication).

Summary	Value
Total Return	$839.43
Total Realized Return	$1,116.07
Gross Profit	$1,574.13
Gross Loss	($458.06)
Open Trade P/L	($276.64)
Number of Trades	44
Number of Winning Trades	30
Number of Losing Trades	14
% Profitable	68.18%
Average Trade	$25.37
Average Trade (%)	0.48%
Standard Deviation Trade	$55.73
Standard Deviation Trade (%)	1.03%
Largest Winning Trade	$132.30
Largest Losing Trade	($156.56)
Profit Factor	3.44
Average Win / Average Loss	1.6
Sharpe Ratio	0.1042
K-Ratio	0.2068
Return Retracement Ratio	6.07
Compounded Annual Return	6.35%
Compounded Monthly Return	0.51%
Average Annual Return	$419.72
Average Annual Return (%)	0.73%
Average Monthly Return	$209.86
Average Monthly Return (%)	0.37%
Percent Days Profitable	45.00%
Percent Months Profitable	50.00%
Percent Years Profitable	50.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$192.49
Total Commissions	$192.49

~~~~~~~~~

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

Trades into Thursday, March 23rd

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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 last week.

~~~~~~~

There are no new purchase orders for the open.

There are no new sell orders for the open.

~~~~~~~

1-Year Rolling Performance

Historical, rolling, annualized 3-month performance from the 3-month backscan is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 12/24/2016 to 3/23/2017.  This 3-month lookback is a change from previous reporting and I am changing the process to be more accurate of "strategies in play".  Roughly multiply the values by 4 to get an annual value (dollars and trades only; the other percentage metrics are accurate for the time period and need no multiplication).

Summary	Value
Total Return	$834.66
Total Realized Return	$1,116.07
Gross Profit	$1,574.13
Gross Loss	($458.06)
Open Trade P/L	($281.41)
Number of Trades	44
Number of Winning Trades	30
Number of Losing Trades	14
% Profitable	68.18%
Average Trade	$25.37
Average Trade (%)	0.48%
Standard Deviation Trade	$55.73
Standard Deviation Trade (%)	1.03%
Largest Winning Trade	$132.30
Largest Losing Trade	($156.56)
Profit Factor	3.44
Average Win / Average Loss	1.6
Sharpe Ratio	0.105
K-Ratio	0.2062
Return Retracement Ratio	6.0271
Compounded Annual Return	6.39%
Compounded Monthly Return	0.51%
Average Annual Return	$417.33
Average Annual Return (%)	0.73%
Average Monthly Return	$208.67
Average Monthly Return (%)	0.36%
Percent Days Profitable	44.07%
Percent Months Profitable	50.00%
Percent Years Profitable	50.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$192.49
Total Commissions	$192.49

~~~~~~~~~

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

Trades into Wednesday, March 22nd

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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 last week.

~~~~~~~

There are a number of purchase orders for the open.

There are NO sell orders for the open.

~~~~~~~

New Purchases:

The following orders have triggered for the open.  The base of the account is $67,134.  

The RSI strategy initially enters with a 50% initial position, on 8 position total (size = $4,195)

The MDD strategy initially enters with a 60% initial position, on 12 position total (size = $3,356)

The R3 strategy allows only 1 entry at 100%, 8 position total (size = $8,391)

• BTO 10 shares DIA at market (2nd entry, MDD strategy)
• BTO 14 shares SPY at market (1st entry, MDD strategy)
• BTO 29 shares XLV at market (2nd entry, MDD strategy)
• BTO 32 shares QQQ at market (1st entry, RSI25 strategy)
• BTO 228 shares XHB at market (sole entry, R3 strategy)

These orders will be active at 9:32 a/ET, to allow the initial book to clear.

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Omitted Strategies (Repost)

I have spent part of the last couple of weeks looking at the behavior of ALL the strategies being run simultaneously, and performance peaks when we have fewer than all the strategies in play.  The impact is that if we take recent history (last 3 months as a proxy example), and scan for every equity peak within the last 3 months using all combinations of strategies, some strategies perform poorly in the last 3 months OR too much money is deployed, preventing better trades (in hindsight) from being taken.  

Much of this seems to be market conditions -- if we are in a solid uptrend we are okay; if we are horizontal the strategies experience major losses.

Given this, the best performing strategies over the past three months are the following:

• 3d High Low
• %B
• RSI 25
• MDD
• R3

Hence, the system is currently using these 5 strategies as the go-forward scan; TPS and RSI 10/6 are both omitted.

I will continue to use these 5 positions until the account becomes flat.

~~~~~~~

1-Year Rolling Performance

Historical, rolling, annualized 3-month performance from the 3-month backscan is as follows.  The numbers will be different than previous blog entries because this is a ROLLING snapshot -- the period shown below is 12/23/2016 to 3/22/2017.  This 3-month lookback is a change from previous reporting and I am changing the process to be more accurate of "strategies in play".  Roughly multiply the values by 4 to get an annual value (dollars and trades only; the other percentage metrics are accurate for the time period and need no multiplication).

Summary	Value
Total Return	$1,238.06
Total Realized Return	$1,263.00
Gross Profit	$1,721.06
Gross Loss	($458.06)
Open Trade P/L	($24.94)
Number of Trades	47
Number of Winning Trades	33
Number of Losing Trades	14
% Profitable	70.21%
Average Trade	$26.87
Average Trade (%)	0.51%
Standard Deviation Trade	$54.82
Standard Deviation Trade (%)	1.01%
Largest Winning Trade	$132.30
Largest Losing Trade	($156.56)
Profit Factor	3.76
Average Win / Average Loss	1.59
Sharpe Ratio	0.1797
K-Ratio	0.265
Return Retracement Ratio	9.488
Compounded Annual Return	9.14%
Compounded Monthly Return	0.72%
Average Annual Return	$619.03
Average Annual Return (%)	1.08%
Average Monthly Return	$309.52
Average Monthly Return (%)	0.54%
Percent Days Profitable	46.67%
Percent Months Profitable	100.00%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$190.33
Total Commissions	$190.33

~~~~~~~~~

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