Trades into Monday, March 13th and Weekend Summary

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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 no selling orders for Monday.

There are no purchase orders for Monday.

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As I indicated Friday, my IRA account has jumped up and made available $10,710 for new entry positions.  This jump is due to funds being held after the close until they clear.  I received a note that I can ask the brokerage (TradeStation) to change the account type to a "margin" type, which will return the monies as soon as the trade closes, so will look into that next week.  Looking a bit further into this it appears this is the case, except no margin is made available.  This will solve the "orders being available but cash not" problem that I experienced last week.

So, I have money available yet the "model" shows that no trades are available.  After manually walking through each strategy I can say I see nothing that should be taken as a trade for Monday's open.

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Holdings

Here are my present holdings:

Click on image to enlarge.

The column that is "Oppy Benefit (Cost) @ Entry" is my way of tracking the actual next day open vs. the price I receive for the trade.  Out of all the trades I have placed I am ahead of the game by $127.92 -- basically stating that my fill price is better than the open price.  Sometimes this is due to taking the trade the day prior, at the close, and most often it is simply waiting for the book to clear in the morning.  Too few data points to draw a major "what is best" conclusion, but so far, I'm on the right path.

Performance

To date I've netted $693.27 in closed trades, inclusive of commissions.  This is on a basis of $66,603, so the return to date is 1.04%.  I started this journey (publically) on Tuesday, February 7th, 2017, so we're just beyond a month here.  Average MONTHLY return is expected to be +0.82% +/- 0.14%.  One month in doesn't make for a robust set of measurements, so take actual performance against the average with a grain of salt.

This is only half the story though.

Drawdown is my trigger, and I suspect it is many others too.  In this case closing drawdown on open trades has been as low as $1,378.52 on $41,382 in open trade, which is -3.3%.  This is just a hair below the back-tested maximum amount over the past year of -3.35% on 11/4/2016, so I am right against the boundary.

I always tell myself, in any strategy, that I need to expect WORSE numbers relative to backtested numbers.  Hence, I suspect that the drawdown numbers will be worse than what has happened in the past, but certainly, do not know this for sure.  If you are following the details of what I am doing then you have to expect that it will get worse before it gets better.

I've been running the "Long" strategies in parallel now since going into 2/28.  This means that 7 of the optimized Connors' strategies are competing for my monies.  The theoretical numbers of this effort are as follows:

Click on the image to enlarge

The numbers speak for themselves, so if you have questions, simply ask by sending a note in the field below.

Each column above is a 1-year lookback using the same criteria.  Because the starting date of each lookback period changes, the mixture of trades that are available changes, based upon available cash.  This is a much more accurate way to understand overall performance than simply picking two dates and running an analysis.

For the data shown, I conclude the following:

1. Approximately 72% of the trades I place will be winners.
2. The CAGR for all the strategies, money management, etc. is 10.84%, +/- 1.83%  This puts the expected performance between 9.01% and 12.67%.  
3. More time, while in the trade, will be spent underwater than above water.  Right now the number is 41.77% of the time in a trade will be profitable, which means that 58% of the time will be underwater.  I am currently experiencing this first hand.
4. Conversely, nearly 70% of months will be profitable.  This means that 30% will not.

Nothing is a straight line upwards.  Here is a graph to prove that (a snapshot of performance over the last year):

Click on the image to enlarge

The graph above shows several periods of 3% drawdown -- and sometimes a slow recovery.  If I had short strategies available it may be possible to pull the nose up sooner and take out the previous equity peak sooner -- but I do not (as of today).  Hence, the performance above is within expectations for moving forward.

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While many of you may scoff at these values it is important to understand risk/exposure.  Here is the amount of capital deployed over the last year:

Click on the image to enlarge

Obviously, there is considerable time-out-of-market or not-fully-invested time in the plot above.  Right now capital is deployed at 100% (theoretically, as my IRA account mucked this up a bit).  This being said, if your strategy can give you the same performance as mine with equivalent or less exposure to the market than what is shown above, I'm all ears and willing to work to make it tradeable.  Let me know.

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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 3/13/2016 to 3/12/2017 (through this morning, to capture all end-of-day trades on the previous trading day).  Note the large open trade P/L value, which is better than yesterday but still quite negative.

Summary	Value
Total Return	$5,064.20
Total Realized Return	$6,127.45
Gross Profit	$10,167.79
Gross Loss	($4,040.34)
Open Trade P/L	($1,063.25)
Number of Trades	234
Number of Winning Trades	164
Number of Losing Trades	70
% Profitable	70.09%
Average Trade	$26.19
Average Trade (%)	0.54%
Standard Deviation Trade	$94.06
Standard Deviation Trade (%)	1.63%
Largest Winning Trade	$440.65
Largest Losing Trade	($469.06)
Profit Factor	2.52
Average Win / Average Loss	1.07
Sharpe Ratio	0.1498
K-Ratio	0.34
Return Retracement Ratio	7.1833
Compounded Annual Return	8.92%
Compounded Monthly Return	0.70%
Average Annual Return	$2,532.10
Average Annual Return (%)	4.37%
Average Monthly Return	$389.55
Average Monthly Return (%)	0.66%
Percent Days Profitable	41.83%
Percent Months Profitable	69.23%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$923.37
Total Commissions	$923.37

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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