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There are a number of purchase orders for the open.
There are NO sell orders for the open.
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New Purchases:
The following orders have triggered for the open. The base of the account is $67,134.
The RSI strategy initially enters with a 50% initial position, on 8 position total (size = $4,195)
The MDD strategy initially enters with a 60% initial position, on 12 position total (size = $3,356)
The R3 strategy allows only 1 entry at 100%, 8 position total (size = $8,391)
- BTO 10 shares DIA at market (2nd entry, MDD strategy)
- BTO 14 shares SPY at market (1st entry, MDD strategy)
- BTO 29 shares XLV at market (2nd entry, MDD strategy)
- BTO 32 shares QQQ at market (1st entry, RSI25 strategy)
- BTO 228 shares XHB at market (sole entry, R3 strategy)
These orders will be active at 9:32 a/ET, to allow the initial book to clear.
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Omitted Strategies (Repost)
I have spent part of the last couple of weeks looking at the behavior of ALL the strategies being run simultaneously, and performance peaks when we have fewer than all the strategies in play. The impact is that if we take recent history (last 3 months as a proxy example), and scan for every equity peak within the last 3 months using all combinations of strategies, some strategies perform poorly in the last 3 months OR too much money is deployed, preventing better trades (in hindsight) from being taken.
Much of this seems to be market conditions -- if we are in a solid uptrend we are okay; if we are horizontal the strategies experience major losses.
Given this, the best performing strategies over the past three months are the following:
- 3d High Low
- %B
- RSI 25
- MDD
- R3
Hence, the system is currently using these 5 strategies as the go-forward scan; TPS and RSI 10/6 are both omitted.
I will continue to use these 5 positions until the account becomes flat.
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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 12/23/2016 to 3/22/2017. This 3-month lookback is a change from previous reporting and I am changing the process to be more accurate of "strategies in play". 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 | $1,238.06 |
| Total Realized Return | $1,263.00 |
| Gross Profit | $1,721.06 |
| Gross Loss | ($458.06) |
| Open Trade P/L | ($24.94) |
| Number of Trades | 47 |
| Number of Winning Trades | 33 |
| Number of Losing Trades | 14 |
| % Profitable | 70.21% |
| Average Trade | $26.87 |
| Average Trade (%) | 0.51% |
| Standard Deviation Trade | $54.82 |
| Standard Deviation Trade (%) | 1.01% |
| Largest Winning Trade | $132.30 |
| Largest Losing Trade | ($156.56) |
| Profit Factor | 3.76 |
| Average Win / Average Loss | 1.59 |
| Sharpe Ratio | 0.1797 |
| K-Ratio | 0.265 |
| Return Retracement Ratio | 9.488 |
| Compounded Annual Return | 9.14% |
| Compounded Monthly Return | 0.72% |
| Average Annual Return | $619.03 |
| Average Annual Return (%) | 1.08% |
| Average Monthly Return | $309.52 |
| Average Monthly Return (%) | 0.54% |
| Percent Days Profitable | 46.67% |
| Percent Months Profitable | 100.00% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $190.33 |
| Total Commissions | $190.33 |
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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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