Trades into Friday, March 3rd

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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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There are 4 entry orders for Friday.

There are no exit order for Friday.

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The following positions should be bought at the open:

1. Buy 60% position in EWZ under the 3d High/Low strategy.
2. Buy 30% position in EWT under the TPS 1-2-3-4 strategy.
3. Buy 40% position in GLD under the 3d High/Low strategy.
4. Buy 40% position in IYR under the 3d High/Low strategy

The following notes apply:

• TPS and 3d H/L both are set up for a maximum of 4 positions each.
• The base portfolio is $66,603, so each fully-loaded position is $16,651
• 60% of this is $9,991
• 40% of this is $6,660
• 30% of this is $4,998

1. EWZ closed at $37.42 on 3/2.  $9,991 / 37.42 ~ 266 shares
2. EWT closed at $31.95 on 3/2.  $4,998 / 31.95 ~ 156 shares
3. GLD closed at $117.58 on 3/2.  $6,660 / 117.58 ~ 57 shares
4. IYR closed at $79.83 on 3/2.  $6,660 / 79.83 ~ 83 shares

The following orders apply:

1. BTO 266 shares EWZ market at the open
2. BTO 156 shares EWT market at the open
3. BTO 57 shares GLD market at the open
4. BTO 83 shares IYR market at the open

Orders will activate at 9;32 a.m ET due to my personal sensitivity of buying the exact open.  I prefer that the book clear before placing a market order.

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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 3/4/2016 to 3/3/2017 (through this morning, to capture all end-of-day trades on the previous day).

Summary	Value
Total Return	$5,265.21
Total Realized Return	$5,693.83
Gross Profit	$9,454.70
Gross Loss	($3,760.87)
Open Trade P/L	($428.62)
Number of Trades	216
Number of Winning Trades	155
Number of Losing Trades	61
% Profitable	71.76%
Average Trade	$26.36
Average Trade (%)	0.53%
Standard Deviation Trade	$97.27
Standard Deviation Trade (%)	1.65%
Largest Winning Trade	$442.60
Largest Losing Trade	($469.06)
Profit Factor	2.51
Average Win / Average Loss	0.99
Sharpe Ratio	0.1683
K-Ratio	0.3136
Return Retracement Ratio	8.1836
Compounded Annual Return	9.22%
Compounded Monthly Return	0.73%
Average Annual Return	$2,632.61
Average Annual Return (%)	4.51%
Average Monthly Return	$405.02
Average Monthly Return (%)	0.69%
Percent Days Profitable	41.43%
Percent Months Profitable	69.23%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$852.06
Total Commissions	$852.06

ote that all 7 Connors' Long strategies are part of the results above.

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 intent 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.  

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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