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 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.
~~~~~~~
There is one new purchase order for the open.
There are no new sell orders for the open.
~~~~~~~
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
~~~~~~~
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
No comments:
Post a Comment