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There are no new purchase order for the open.
There is one new sell order for the open.
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The sell order is in the MDD strategy.
- STC 73 shares XLV at market at 9:32 a.m. ET
It appears that this will be a losing position; pre-market open the position is down ($28). If this value holds this is better than the average losing position of ($48).
Both trades that were placed yesterday resulted in a positive gain. Total account gains are now $679.91 on a basis of $66,603, resulting in a net 1.02% gain, inclusive of commissions. This is since strategy inception on February 1, 2017.
Realized profit factor is 2.737 and realized PRR is 1.647. Both of these need to be above 1.0 in order for the strategy to make money.
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1-Year 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 | $1,306.59 |
| Total Realized Return | $1,253.92 |
| Gross Profit | $2,206.60 |
| Gross Loss | ($952.68) |
| Open Trade P/L | $52.67 |
| 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 | 0.1224 |
| K-Ratio | 0.1995 |
| Return Retracement Ratio | 7.3597 |
| Compounded Annual Return | 5.73% |
| Compounded Monthly Return | 0.46% |
| Average Annual Return | $1,306.59 |
| Average Annual Return (%) | 1.31% |
| Average Monthly Return | $435.53 |
| Average Monthly Return (%) | 0.43% |
| Percent Days Profitable | 33.33% |
| 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.
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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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