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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 new sale orders for today.
There are no new purchase orders for today.
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Performance Expectations
I started to use all 7 Optimized Connors' strategies on 2/28. If we take the theoretical perfect trade entries/exits, here is the performance that we can expect:
While the number of samples is low, each rolling-lookback (1 year in lookback) indicates that we should have about 73% of the trades to win, producing an average CAGR of around 12%.
Exposure to the markets is incredibly low so ~12% certainly beats any buy-and-hold strategy with the same performance expectation (e.g. buy and hold the S&P 500 ETF "SPY"); here's the latest exposure for the latest set of numbers:
Actual numbers on closed trades, since this started on 2/8, are as follows:
I started on 2/8 willing to commit $66,679 to these strategies. To date I have closed trades and netted $687.64 (inclusive of commissions), producing about 1.03% for the month.
Whether this will continue is anybody's guess. The expectation is that I'm on track; the reality may change as Trump's policies and uncertainties impact the markets. Your crystal ball is as good as mine.
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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 3/8/2016 to 3/7/2017 (through this morning, to capture all end-of-day trades on the previous trading day).
| Summary | Value |
| Total Return | $7,228.02 |
| Total Realized Return | $7,311.09 |
| Gross Profit | $11,088.73 |
| Gross Loss | ($3,777.64) |
| Open Trade P/L | ($83.07) |
| Number of Trades | 243 |
| Number of Winning Trades | 178 |
| Number of Losing Trades | 65 |
| % Profitable | 73.25% |
| Average Trade | $30.09 |
| Average Trade (%) | 0.63% |
| Standard Deviation Trade | $93.85 |
| Standard Deviation Trade (%) | 1.62% |
| Largest Winning Trade | $442.60 |
| Largest Losing Trade | ($469.06) |
| Profit Factor | 2.94 |
| Average Win / Average Loss | 1.07 |
| Sharpe Ratio | 0.2381 |
| K-Ratio | 0.4318 |
| Return Retracement Ratio | 14.0872 |
| Compounded Annual Return | 12.77% |
| Compounded Monthly Return | 0.99% |
| Average Annual Return | $3,614.01 |
| Average Annual Return (%) | 6.17% |
| Average Monthly Return | $556.00 |
| Average Monthly Return (%) | 0.93% |
| Percent Days Profitable | 42.40% |
| Percent Months Profitable | 69.23% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $952.49 |
| Total Commissions | $952.49 |
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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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