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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.
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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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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