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There are 2 sell orders for the open.
There are 10 buy orders for the open.
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The two sell orders are in the EWT and FXI positions.
- STC 370 shares FXI market at 9:32 a.m.
- STC 303 shares EWT market at 9:32 a.m.
I took the trades at the close yesterday afternoon (3:59 pm ET) and received 38.91 and 33.61, respectively.
The buy orders, and the respective strategies in parenthesis, are as follows:
- BTO 68 shares EFA market at 9:32 a.m. (RSI 25)
- BTO 115 shares XHB market at 9:32 a.m. (RSI 25)
- BTO 136 shares EFA market at 9:32 a.m. (R3)
- BTO 230 shares XHB market at 9:32 a.m. (R3)
- BTO 21 shares EFA market at 9:32 a.m. (TPS)
- BTO 29 shares EFA market at 9:32 a.m. (RSI 10/6)
- BTO 46 shares XHB market at 9:32 a.m. (TPS)
- BTO 54 shares EFA market at 9:32 a.m. (MDD)
- BTO 56 shares XLV market at 9:32 a.m. (RSI 25)
- BTO 66 shares EWJ market at 9:32 a.m. (MDD)
Base portfolio size is $67,483, including the recent gains.
The TPS strategy allows 4 positions. A fully loaded position would be $16,870. The new positions in EFA and XHB are first time entries to this strategy and are at 10% scale-in, so each order is $1,687 in size.
The RSI 25 strategy allows 8 positions. This is a fully-loaded position size of $8,435. The scale-in is 50/50, so each order is $4,217 in size.
The R3 strategy also allows 8 positions with no 2nd entry (each position is 100%). Hence, the order size is $8,435.
The MDD strategy allows 12 positions. A fully loaded position would be $5,623 in size. The scale-in is 60/40, and these are 1st entries. hence the size is $3,374.
The RSI 10/6 strategy allows 13 positions. A fully loaded position would be $5,191. The scale-in is 35/65, making the first entry $1,816 in size.
Combining orders to take advantage of commissions, we have
- BTO 308 shares EFA market at 9;32 a.m.
- BTO 391 shares XHB market at 9:32 a.m.
- BTO 56 shares XLV market at 9:32 a.m.
- BTO 66 shares EWJ market at 9:32 a.m.
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The only option on these four ETFs worth pursuing is with EFA. If I sell the April 62.5 call at $83 my total gain could be another 1.35% and monthly gain equating to 2.81%. I am placing the following order:
- STO 3 EFA 170421P62.5 0.83 limit GTC
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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 1/7/2017 to 4/6/2017. 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 | $1,535.00 |
| Total Realized Return | $1,260.05 |
| Gross Profit | $2,448.17 |
| Gross Loss | ($1,188.12) |
| Open Trade P/L | $274.95 |
| Number of Trades | 67 |
| Number of Winning Trades | 46 |
| Number of Losing Trades | 21 |
| % Profitable | 68.66% |
| Average Trade | $18.81 |
| Average Trade (%) | 0.29% |
| Standard Deviation Trade | $80.29 |
| Standard Deviation Trade (%) | 1.01% |
| Largest Winning Trade | $211.72 |
| Largest Losing Trade | ($293.40) |
| Profit Factor | 2.06 |
| Average Win / Average Loss | 0.94 |
| Sharpe Ratio | 0.1132 |
| K-Ratio | 0.1481 |
| Return Retracement Ratio | 6.4229 |
| Compounded Annual Return | 6.68% |
| Compounded Monthly Return | 0.53% |
| Average Annual Return | $1,535.00 |
| Average Annual Return (%) | 1.54% |
| Average Monthly Return | $383.75 |
| Average Monthly Return (%) | 0.38% |
| Percent Days Profitable | 45.90% |
| Percent Months Profitable | 75.00% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $321.39 |
| Total Commissions | $321.39 |
Note that no strategies are omitted from these results.
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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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