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There are no new purchase order for the open.
There are two new sell order for the open.
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The sell orders are in the MDD strategy:
- STC 23 shares SPY at market at 9:32 a.m. ET
- STC 228 shares XHB at market at 9;32 a.m. ET
Yesterday's close of QQQ resulted in a round-trip net of $27.76, inclusive of commissions, and this value is slightly below the average expected value of $39.13.
Both the SPY and the XHB trades of today are expected to result in positive gains. If this is the case the profit factor will increase to 2.799 (need greater than 1) and the PRR will increase to 1.677 (need greater than 1).
Total net profits are $704.16, or about 1.06% gain in just under 2 months. Average expectation is that we would be at 1% total net gain, inclusive of commissions, so we are on track with the model.
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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 12/30/2016 to 3/29/2017. 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 | $1,556.05 |
| Total Realized Return | $1,742.09 |
| Gross Profit | $2,575.02 |
| Gross Loss | ($832.93) |
| Open Trade P/L | ($186.04) |
| Number of Trades | 80 |
| Number of Winning Trades | 55 |
| Number of Losing Trades | 25 |
| % Profitable | 68.75% |
| Average Trade | $21.78 |
| Average Trade (%) | 0.40% |
| Standard Deviation Trade | $57.80 |
| Standard Deviation Trade (%) | 0.95% |
| Largest Winning Trade | $186.10 |
| Largest Losing Trade | ($243.80) |
| Profit Factor | 3.09 |
| Average Win / Average Loss | 1.41 |
| Sharpe Ratio | 0.1393 |
| K-Ratio | 0.2525 |
| Return Retracement Ratio | 8.8973 |
| Compounded Annual Return | 6.61% |
| Compounded Monthly Return | 0.53% |
| Average Annual Return | $778.03 |
| Average Annual Return (%) | 0.78% |
| Average Monthly Return | $389.01 |
| Average Monthly Return (%) | 0.39% |
| Percent Days Profitable | 43.33% |
| Percent Months Profitable | 75.00% |
| Percent Years Profitable | 50.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $323.58 |
| Total Commissions | $323.58 |
The 3d High/Low and %B 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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