2 Months Completed, Introducing Option Trades, Trades into Monday, April 3rd

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There are six (6) trades to be placed for the open on Monday morning.

There are no closing trades (account is flat).

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The account basis has increased to $67,408.

The following orders will be placed on Monday, April 3rd:

• BTO 50 shares EWT at market at 9;32 a.m. (TPS 10% Strategy)
• BTO 43 shares FXI at market at 9:32 a.m. (TPS 10% Strategy)
• BTO 109 shares FXI at market at 9:32 a.m. (RSI 25 Strategy)
• BTO 163 shares EWJ at market at 9:32 a.m. (R3 Long Strategy)
• BTO 253 shares EWT at market at 9:32 a.m. (R3 Long Strategy)
• BTO 218 shares FXI at market at 9:32 a.m. (R3 Long Strategy)

The TPS strategy allows for 4 open positions, so the fully-loaded position size is $67,408 / 4 = $16,852.  10% of this is $1,685.  

The RSI 25 strategy allows for 8 open positions with a 50% first entry.  $67,408 / 8 = $8,426 * 50% = $4,213.

The R3 strategy also allows for 8 open positions with a 100% sole entry.  Position size = $8,426.

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The options strategy for these orders is to either:

1) Sell a put that is just in the money (one strike below, closest weekly or monthly), or

2) Buy a call that is just in the money (one strike below, closest weekly or monthly) 

I'll list both here.

If we want to sell a put against these signals, the following orders will be placed:

• STO 1 EWT 170421P33 0.36 limit at open (TPS 10% Strategy) **
• STO 1 FXI 170407P38 0.14 limit at open (TPS 10% Strategy) *
• STO 1 FXI 170407P38 0.14 limit at open (RSI 25 Strategy) *
• STO 2 EWJ 170407P51.5 0.27 limit at open (R3 Long Strategy)
• STO 3 EWT 170421P33 0.36 limit at open (R3 Long Strategy) **
• STO 1 FXI 170407P38 0.14 limit at open (R3 Long Strategy) *

* Will be combined in the order

** Will be combined in the order

If these execute at the limits then the credit will be $268, not including commissions.

Conversely, if we want to buy a call, we can place the following orders:

• BTO 1 EWT 170421C33 0.60 limit at open (TPS 10% strategy) ^^
• BTO 1 FXI 170407C38 0.63 limit at open (TPS 10% Strategy) ^
• BTO 1 FXI 170407C38 0.63 limit at open (RSI 25  Strategy) ^
• BTO 2 EWJ 170407C51 0.61 limit at open (R3 Long Strategy)
• BTO 3 EWT 170421C33 0.60 limit at open (R3 Long strategy) ^^
• BTO 3 FXI 170407C38 0.63 limit at open (R3 Long Strategy) ^

^ Will be combined in the order

^^ Will be combined in the order

If these execute at the limits then the debit will be $677, not including commissions.

Given that the close orders will be given when the underlying indicates close, it appears to me that there is an upside bias on the put side of the strategy, not on the call side.  We'll see.

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3-Month 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 1/2/2017 to 3/31/2017.  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	$1,329.45
Total Realized Return	$1,329.45
Gross Profit	$2,343.92
Gross Loss	($1,014.47)
Open Trade P/L	$0.00
Number of Trades	65
Number of Winning Trades	42
Number of Losing Trades	23
% Profitable	64.62%
Average Trade	$20.45
Average Trade (%)	0.28%
Standard Deviation Trade	$77.01
Standard Deviation Trade (%)	1.00%
Largest Winning Trade	$294.25
Largest Losing Trade	($243.80)
Profit Factor	2.31
Average Win / Average Loss	1.27
Sharpe Ratio	0.1181
K-Ratio	0.21
Return Retracement Ratio	7.5868
Compounded Annual Return	5.70%
Compounded Monthly Return	0.46%
Average Annual Return	$1,329.45
Average Annual Return (%)	1.33%
Average Monthly Return	$443.15
Average Monthly Return (%)	0.44%
Percent Days Profitable	33.87%
Percent Months Profitable	100.00%
Percent Years Profitable	100.00%
Commissions on Futures	$0.00
Commissions on Currencies	$0.00
Commissions on Equities	$270.68
Total Commissions	$270.68

The 3d High/Low and MDD 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