If you are on the blog page in a web browser from a computer, please subscribe to this using the "Follow by Email" link to the left. Having your email helps me to notify you when Google mucks up email distribution, as they did in early March 2017.
~~~~~~~
There is one pending trade for the open.
There are no closing trades for the open
~~~~~~~
The trade to be placed is in the TPS strategy:
- BTO 27 shares EFA market at 9:32 a.m.
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.
~~~~~~~
I listed a number of put and call options yesterday, and placed orders accordingly. Not one of the orders filled.
Part of the reason was that the limit values were established prior to the market open and they never filled. Another reason is that with the exception of FXI, the option volume on the weeklies is extremely low.
To address this I am setting a screening criteria that the open interest, per strike, must be at least 500 contracts. In doing so the pool reduces dramatically:
- Long Call Apr 17 on EWJ @ 52
- Short Put Apr 17 on EFA @ 62.5
- Short Put Apr 17 on EFA @ 62
- Short Put Apr 17 on EWT @ 33
Correspondingly, I've placed the following orders:
- BTO 2 EWJ 170421C52 0.36 limit
- STO 1 EFA 170421P62.5 0.55 limit
- STO 1 EFA 170421P62 0.35 limit
- STO 3 EWT 170421P33 0.24 limit
Futures are sharply lower as I write this.
~~~~~~~
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 | $1,252.82 |
| Total Realized Return | $1,088.19 |
| Gross Profit | $1,394.16 |
| Gross Loss | ($305.97) |
| Open Trade P/L | $164.63 |
| Number of Trades | 21 |
| Number of Winning Trades | 16 |
| Number of Losing Trades | 5 |
| % Profitable | 76.19% |
| Average Trade | $51.82 |
| Average Trade (%) | 0.42% |
| Standard Deviation Trade | $84.40 |
| Standard Deviation Trade (%) | 0.70% |
| Largest Winning Trade | $198.66 |
| Largest Losing Trade | ($121.04) |
| Profit Factor | 4.56 |
| Average Win / Average Loss | 1.42 |
| Sharpe Ratio | 0.1926 |
| K-Ratio | 0.2757 |
| Return Retracement Ratio | 11.1704 |
| Compounded Annual Return | 8.72% |
| Compounded Monthly Return | 0.69% |
| Average Annual Return | $1,252.82 |
| Average Annual Return (%) | 2.04% |
| Average Monthly Return | $313.21 |
| Average Monthly Return (%) | 0.51% |
| Percent Days Profitable | 32.79% |
| Percent Months Profitable | 100.00% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $130.74 |
| Total Commissions | $130.74 |
The TPS, %B, RSI 10/6, and MDD strategies are newly omitted from these results, as they are underperforming in the latest scan.
~~~~~~~~~
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
No comments:
Post a Comment