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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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Another reality.
I'm using an IRA to perform these trades, and there is a 3-day clearing after the previous closed trade. This means that when I close a position, the monies are not available for three days.
Modeling does not take this into account. Of course.
Hence, I'm faced with a significant number of potential trades this morning yet I am unable to take full advantage of them. My only option at this point are to enter positions until my capital is fully deployed, and do so with the most oversold positions in accordance with their individual strategy indicators.
For the TPS strategy, the RSI(2) value determines the entry level, and there are 3 potential 10% entries, and one potential 20% entry
- 10% entries: DIA, EEM, ILF.
- 20% entry: XLB
XLB has a RSI(2) value of 5.2 which is incredibly low. This is a 20% entry.
EEM RSI(2) = 7.34, ILF RSI(2) = 7.42, and DIA RSI(2) = 19.86
The winner is the 20% position in XLB.
The order will be:
- BTO 63 shares XLB market at open
Per my normal approach I will activate the order for 9:32 a/ET.
This will effectively use up all available cash that I have in the account. The aforementioned monies that I spoke of earlier that are held in the IRA account will free up over the weekend so I will have ~$10K available on Monday morning.
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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 3/11/2016 to 3/10/2017 (through this morning, to capture all end-of-day trades on the previous trading day). Note the large open trade P/L value.
| Summary | Value |
| Total Return | $4,187.27 |
| Total Realized Return | $5,565.79 |
| Gross Profit | $9,580.77 |
| Gross Loss | ($4,014.98) |
| Open Trade P/L | ($1,378.52) |
| Number of Trades | 226 |
| Number of Winning Trades | 159 |
| Number of Losing Trades | 67 |
| % Profitable | 70.35% |
| Average Trade | $24.63 |
| Average Trade (%) | 0.53% |
| Standard Deviation Trade | $93.47 |
| Standard Deviation Trade (%) | 1.60% |
| Largest Winning Trade | $440.65 |
| Largest Losing Trade | ($469.06) |
| Profit Factor | 2.39 |
| Average Win / Average Loss | 1.01 |
| Sharpe Ratio | 0.1132 |
| K-Ratio | 0.3319 |
| Return Retracement Ratio | 5.4997 |
| Compounded Annual Return | 7.33% |
| Compounded Monthly Return | 0.58% |
| Average Annual Return | $2,093.64 |
| Average Annual Return (%) | 3.63% |
| Average Monthly Return | $322.10 |
| Average Monthly Return (%) | 0.56% |
| Percent Days Profitable | 41.43% |
| Percent Months Profitable | 61.54% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $892.76 |
| Total Commissions | $892.76 |
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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
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