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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 three positions on the list for purchase today:
RSI25 Strategy: BTO 171 shares XLF at market
MDD Strategy: BTO 16 shares DIA at market
MDD Strategy: BTO 44 shares XLV at market
The basis of the account has increased from $66,603.00 to $ $67,134.
The RSI strategy enters with a 50% initial position, on 8 position total (size = $4,195)
The MDD strategy enters with a 60% initial position, on 12 position total (size = $3,356)
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Omitted Strategies
I have spent part of the last couple of weeks looking at the behavior of ALL the strategies being run simultaneously, and performance peaks when we have fewer than all the strategies in play. The impact is that if we take recent history (last 3 months as a proxy example), and scan for every equity peak within the last 3 months using all combinations of strategies, some strategies perform poorly in the last 3 months OR too much money is deployed, preventing better trades (in hindsight) from being taken.
Much of this seems to be market conditions -- if we are in a solid uptrend we are okay; if we are horizontal the strategies experience major losses.
Given this, the best performing strategies over the past three months are the following:
- 3d High Low
- %B
- RSI 25
- MDD
- R3
Hence, the system is currently using these 5 strategies as the go-forward scan; TPS and RSI 10/6 are both omitted.
I will continue to use these 5 positions until the account becomes flat.
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1-Year Rolling Performance
Historical, rolling, annualized 1-year 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 3/21/2016 to 3/20/2017 (through this morning, to capture all end-of-day trades on the previous trading day).
| Summary | Value |
| Total Return | $5,533.44 |
| Total Realized Return | $5,533.44 |
| Gross Profit | $7,220.52 |
| Gross Loss | ($1,687.08) |
| Open Trade P/L | $0.00 |
| Number of Trades | 184 |
| Number of Winning Trades | 132 |
| Number of Losing Trades | 52 |
| % Profitable | 71.74% |
| Average Trade | $30.07 |
| Average Trade (%) | 0.61% |
| Standard Deviation Trade | $63.23 |
| Standard Deviation Trade (%) | 1.18% |
| Largest Winning Trade | $266.62 |
| Largest Losing Trade | ($154.72) |
| Profit Factor | 4.28 |
| Average Win / Average Loss | 1.69 |
| Sharpe Ratio | 0.1857 |
| K-Ratio | 0.2202 |
| Return Retracement Ratio | 9.0813 |
| Compounded Annual Return | 10.38% |
| Compounded Monthly Return | 0.81% |
| Average Annual Return | $691.68 |
| Average Annual Return (%) | 1.20% |
| Average Monthly Return | $345.84 |
| Average Monthly Return (%) | 0.60% |
| Percent Days Profitable | 44.26% |
| Percent Months Profitable | 100.00% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $760.08 |
| Total Commissions | $760.08 |
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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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