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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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It's been a busy weekend and Monday morning so I'll not post the weekly summary today.
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There is one purchase order for the open today.
I made a mistake on the IYR entry. It should have been 83 shares but I entered 38, so am undersized for the position. I will not chase this but the next entry at a 60% position size will be correct at 125 shares.
The order for today is:
- BTO IYR 125 shares market at open
I will set the order to trigger at 9:32 a.m. ET, per my reluctance to purchase the first lot of the day.
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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 3/7/2016 to 3/6/2017 (through this morning, to capture all end-of-day trades on the previous trading day).
| Summary | Value |
| Total Return | $6,727.02 |
| Total Realized Return | $6,810.09 |
| Gross Profit | $10,680.53 |
| Gross Loss | ($3,870.44) |
| Open Trade P/L | ($83.07) |
| Number of Trades | 233 |
| Number of Winning Trades | 165 |
| Number of Losing Trades | 68 |
| % Profitable | 70.82% |
| Average Trade | $29.23 |
| Average Trade (%) | 0.59% |
| Standard Deviation Trade | $96.40 |
| Standard Deviation Trade (%) | 1.65% |
| Largest Winning Trade | $442.60 |
| Largest Losing Trade | ($469.06) |
| Profit Factor | 2.76 |
| Average Win / Average Loss | 1.14 |
| Sharpe Ratio | 0.213 |
| K-Ratio | 0.3817 |
| Return Retracement Ratio | 11.9679 |
| Compounded Annual Return | 11.85% |
| Compounded Monthly Return | 0.92% |
| Average Annual Return | $3,363.51 |
| Average Annual Return (%) | 5.74% |
| Average Monthly Return | $517.46 |
| Average Monthly Return (%) | 0.87% |
| 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 | $914.89 |
| Total Commissions | $914.89 |
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
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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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