Trades into Wednesday, March 1

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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 pending SELL orders going into the open.

There are several pending BUY orders going into the open.

These were calculated on a base portfolio of $66,603.

1)  Buy 20% position in EEM under the TPS 1-2-3-4 strategy.

• TPS allows for 4 positions total.  This means that a fully-loaded TPS position would be $16,651.
• 20% of this is $3,330.
• EEM closed at a value of $37.99.  $3330 / $37.99 = ~ 87 shares

2) Buy 20% position in FXI under the TPS 1-2-3-4 strategy.

• FXI closed at $38.20, ~ 87 shares

3) Buy 20% position in EWT under the TPS 1-2-3-4 strategy.

• EWT closed at $32.39.  ~ 102 shares

4) Buy 10% position in EWJ under the TPS 1-2-3-4 strategy.

• EWJ closed at $51.23.  ~ 32 shares

5) Buy 50% position in EWZ under the RSI 25 strategy.

• EWZ closed at $37.73.
• 8 Positions are allowed in the RSI 25 strategy.  A fully-loaded position is $66,603 / 8 = $8,325
• The first entry into RSI 25 is at 50%.  This is $4,163.
• $4163 / 37.73 = ~ 110 shares

6) Buy 100% position in EWJ under the R3 strategy

• EWJ closed at $51.23.
•  8 positions are allowed in the R3 strategy, $8,325 (fully loaded)
• The only entry into R3 is at 100%. 
• $8325 / $51.23 = ~ 162 shares

7) Buy 40% position in EWZ under the 3d High / Low strategy

• EWZ closed at $37.73
• 4 Positions are allwed in the 3d HL strategy.  A fully loaded position would be $16,651
• 40% of this is $6660
• 6660 / 37.73 = ~ 178 shares

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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 3/2/2016 to 3/1/2017 (through Wednesday morning, to capture all end-of-day trades on the previous day).  Note that these are the values that START the next trading day, e.g., 3/1/2017 for the set below:

Summary	Value
Total Return	$6,577.18
Total Realized Return	$6,643.63
Gross Profit	$10,289.33
Gross Loss	($3,645.70)
Open Trade P/L	($66.45)
Number of Trades	222
Number of Winning Trades	163
Number of Losing Trades	59
% Profitable	73.42%
Average Trade	$29.93
Average Trade (%)	0.59%
Standard Deviation Trade	$96.20
Standard Deviation Trade (%)	1.67%
Largest Winning Trade	$442.60
Largest Losing Trade	($469.06)
Profit Factor	2.82
Average Win / Average Loss	1.02
Sharpe Ratio	0.214
K-Ratio	0.3729
Return Retracement Ratio	12.2291
Compounded Annual Return	11.52%
Compounded Monthly Return	0.90%
Average Annual Return	$3,288.59
Average Annual Return (%)	5.61%
Average Monthly Return	$548.10
Average Monthly Return (%)	0.92%
Percent Days Profitable	41.83%
Percent Months Profitable	75.00%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$878.33
Total Commissions	$878.33

Note that all 7 Connors' Long strategies are part of the results above.

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