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There is one sell order for the open on Monday.
There are two buy orders for the open on Monday.
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XLV, which is presently held in the RSI 25 strategy, closed Friday with an RSI(4) > 50.3, signalling an exit. The order is:
- STC 56 shares XLV market at 9:32 a.m.
The position is presently above the water line so provided it fills above $74.11 it should go into the win column.
The two buy orders are each in the TPS strategy. Base portfolio size is $67,483, including the recent gains.
The TPS strategy allows 4 positions. A fully loaded position would be $16,870. One of the positions is a new, 10% scale in size, and the other is a 30% scale-in size. 10% is $1,687 and 30% is $5,061. The orders are:
- BTO 42 shares EEM market at 9:32 (TPS 10%)
- BTO 81 shares EFA market at 9:32 (TPS 30%)
The present position(s) in EFA are collectively only $13 under the waterline despite holding 389 shares, so we are having a hard time moving aggressively lower (but *could* certainly go lower), so I am not concerned with the concentration in this ETF.
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There are no option candidates for Monday.
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Performance to Date
Here are some stats for those of you who have asked:
Number of winning trades: 35
Number of losing trades: 12
Win/Loss Ratio: 2.92: 1
% Wins: 74.47%
Average Win: $35.66
Average Loss: ($47.67)
Profit Factor: 2.182
PRR: 1.407
Total Gain since 2/1/2017, net of commissions: 1.02%
Annual Rate of Return: 6.42%
Buy and Hold Return: 0.35%
Average Monthly Return: $228.82
Return Retracement Ratio: 14.34
Trading Period: 1 Mth, 27 Dys
Percent of Time in Market: 54.41%
Risk Adjusted Annual Rate of Return: 11.79%
Starting Portfolio Size: $66,603
Here are various charts for your questioning:
Click on the image to enlarge.
Click on the image to enlarge.
Click on the image to enlarge.
Click on the image to enlarge.
Click on the image to enlarge.
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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 1/9/2017 to 4/8/2017.
| Summary |
Value |
| Total Return |
$1,311.20 |
| Total Realized Return |
$1,360.60 |
| Gross Profit |
$2,260.97 |
| Gross Loss |
($900.37) |
| Open Trade P/L |
($49.40) |
|
|
| Number of Trades |
63 |
| Number of Winning Trades |
41 |
| Number of Losing Trades |
22 |
| % Profitable |
65.08% |
|
|
| Average Trade |
$21.60 |
| Average Trade (%) |
0.26% |
| Standard Deviation Trade |
$76.78 |
| Standard Deviation Trade (%) |
0.99% |
| Largest Winning Trade |
$294.25 |
| Largest Losing Trade |
($243.80) |
|
|
| Profit Factor |
2.51 |
| Average Win / Average Loss |
1.35 |
| Sharpe Ratio |
0.1128 |
| K-Ratio |
0.1935 |
| Return Retracement Ratio |
7.2195 |
|
|
| Compounded Annual Return |
5.55% |
| Compounded Monthly Return |
0.45% |
|
|
| Average Annual Return |
$1,311.20 |
| Average Annual Return (%) |
1.31% |
| Average Monthly Return |
$327.80 |
| Average Monthly Return (%) |
0.33% |
|
|
| Percent Days Profitable |
39.68% |
| Percent Months Profitable |
75.00% |
| Percent Years Profitable |
100.00% |
|
|
| Commissions on Futures |
$0.00 |
| Commissions on Currencies |
$0.00 |
| Commissions on Equities |
$287.47 |
| Total Commissions |
$287.47 |
The 3d High/Low strategy has been omitted from these results, as it is 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
