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There is one buy order for the open.
There are no sell orders for the open.
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The buy order is:
- BTO 45 shares XHB market at 9;32 a.m.
The XHB order is from the TPS 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.
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Three option orders filled yesterday:
All have a positive value this morning.
- EFA 170421P62 @ 0.52
- EWJ 170421C52 @ 0.20
- EFA 170421P62.5 @ 0.75
All have a positive value this morning.
There are no option orders available today that meet the 500 contract open interest minimum.
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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 1/6/2017 to 4/5/2017. 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 | $1,393.41 |
| Total Realized Return | $1,230.22 |
| Gross Profit | $2,211.54 |
| Gross Loss | ($981.32) |
| Open Trade P/L | $163.19 |
| Number of Trades | 61 |
| Number of Winning Trades | 39 |
| Number of Losing Trades | 22 |
| % Profitable | 63.93% |
| Average Trade | $20.17 |
| Average Trade (%) | 0.29% |
| Standard Deviation Trade | $78.70 |
| Standard Deviation Trade (%) | 1.00% |
| Largest Winning Trade | $294.25 |
| Largest Losing Trade | ($243.80) |
| Profit Factor | 2.25 |
| Average Win / Average Loss | 1.27 |
| Sharpe Ratio | 0.1298 |
| K-Ratio | 0.2248 |
| Return Retracement Ratio | 7.6103 |
| Compounded Annual Return | 5.91% |
| Compounded Monthly Return | 0.47% |
| Average Annual Return | $1,393.41 |
| Average Annual Return (%) | 1.39% |
| Average Monthly Return | $348.35 |
| Average Monthly Return (%) | 0.35% |
| Percent Days Profitable | 37.70% |
| Percent Months Profitable | 100.00% |
| Percent Years Profitable | 100.00% |
| Commissions on Futures | $0.00 |
| Commissions on Currencies | $0.00 |
| Commissions on Equities | $276.02 |
| Total Commissions | $276.02 |
The 3d High/Low and MDD strategies are omitted from these results, as they are underperforming in the latest scan.
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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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