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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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And now I become mentally tested.
Every position that I'm holding is seriously underwater. This is within expectation, but being faced with it for the first time since this started in February is a reality check.
There is one new purchase order for today.
There are NO new sell orders for today.
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The order for today is a 10% position in XLI using the TPS 1-2-3-4 strategy:
- BTO 25 shares XLI market at open.
The details of position sizing are the same as in yesterday's blog. As normal, I will activate the order at 9:32 a.m. ET.
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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 3/10/2016 to 3/9/2017 (through this morning, to capture all end-of-day trades on the previous trading day). Note the large open trade P/L value.
| Summary | Value |
| Total Return | $5,683.68 |
| Total Realized Return | $6,637.32 |
| Gross Profit | $10,564.19 |
| Gross Loss | ($3,926.87) |
| Open Trade P/L | ($953.64) |
| Number of Trades | 235 |
| Number of Winning Trades | 169 |
| Number of Losing Trades | 66 |
| % Profitable | 71.91% |
| Average Trade | $28.24 |
| Average Trade (%) | 0.58% |
| Standard Deviation Trade | $94.13 |
| Standard Deviation Trade (%) | 1.62% |
| Largest Winning Trade | $442.60 |
| Largest Losing Trade | ($469.06) |
| Profit Factor | 2.69 |
| Average Win / Average Loss | 1.05 |
| Sharpe Ratio | 0.176 |
| K-Ratio | 0.397 |
| Return Retracement Ratio | 9.0803 |
| Compounded Annual Return | 9.96% |
| Compounded Monthly Return | 0.78% |
| Average Annual Return | $2,841.84 |
| Average Annual Return (%) | 4.90% |
| Average Monthly Return | $437.21 |
| Average Monthly Return (%) | 0.74% |
| Percent Days Profitable | 41.04% |
| Percent Months Profitable | 69.23% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $923.65 |
| Total Commissions | $923.65 |
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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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