Thursday, February 23, 2017

$IWM - Long


$VZ - RSI Signal Short


Wednesday, February 22, 2017

$MS $SPY Long -- My system did not signal these trades


=+MS 17MAR17 42.0 P2017-02-21, 13:44:232$0.11-$22.00$29.37Bull Put Spread
=+MS 17MAR17 44.0 P2017-02-21, 13:44:23-2$0.30$60.00$0.00Bull Put Spread Leg2
=+SPY 31MAR17 231.0 P2017-02-21, 11:47:181$1.67-$167.00$0.00Bull Put Spread
=+SPY 31MAR17 234.0 P2017-02-21, 11:47:18-1$2.51$251.00$0.00Bull Put Spread Leg2

Just made these trades because everything seems to be going up.  

Sunday, February 19, 2017

Winning Mindset

Good article on a Winning Mindset.

Friday, February 17, 2017

Backtesting 7/1/15 to 12/25/16

Initial capital 1000000.00 1000000.00 1000000.00
Ending capital 1001854.95 999298.98 1002555.97
Net Profit 1854.95 -701.02 2555.97
Net Profit % 0.19 % -0.07 % 0.26 %
Exposure % 2.87 % 2.08 % 0.79 %
Net Risk Adjusted Return % 6.47 % -3.37 % 32.39 %
Annual Return % 0.13 % -0.05 % 0.17 %
Risk Adjusted Return % 4.36 % -2.28 % 21.85 %
Total transaction costs 0.00 0.00 0.00

All trades 172 116 (67.44 %) 56 (32.56 %)
 Avg. Profit/Loss 10.78 -6.04 45.64
 Avg. Profit/Loss % 0.32 % 0.01 % 0.97 %
 Avg. Bars Held 8.68 8.97 8.09

Winners 149 (86.63 %) 99 (57.56 %) 50 (29.07 %)
 Total Profit 16034.07 10170.30 5863.76
 Avg. Profit 107.61 102.73 117.28
 Avg. Profit % 1.68 % 1.55 % 1.94 %
 Avg. Bars Held 5.44 5.47 5.36
 Max. Consecutive 22 18 12
 Largest win 879.00 452.00 879.00
 # bars in largest win 2 2 2

Losers 23 (13.37 %) 17 (9.88 %) 6 (3.49 %)
 Total Loss -14179.12 -10871.33 -3307.79
 Avg. Loss -616.48 -639.49 -551.30
 Avg. Loss % -8.45 % -8.92 % -7.13 %
 Avg. Bars Held 29.70 29.29 30.83
 Max. Consecutive 2 2 2
 Largest loss -2505.00 -2505.00 -1207.00
 # bars in largest loss 31 31 31

Max. trade drawdown -2631.00 -2631.00 -1403.00
Max. trade % drawdown -56.73 % -56.73 % -13.45 %
Max. system drawdown -7781.00 -8710.00 -1057.36
Max. system % drawdown -0.78 % -0.87 % -0.11 %
Recovery Factor 0.24 -0.08 2.42
CAR/MaxDD 0.16 -0.05 1.64
RAR/MaxDD 5.61 -2.62 207.24
Profit Factor 1.13 0.94 1.77
Payoff Ratio 0.17 0.16 0.21
Standard Error 1615.49 1610.78 380.51
Risk-Reward Ratio 0.65 -0.44 4.62
Ulcer Index 0.27 0.39 0.04
Ulcer Performance Index -19.39 -14.11 -138.67
Sharpe Ratio of trades 0.18 -0.17 1.19
K-Ratio 0.0143 -0.0098 0.1020

Long $T Short - $CVX $PSX $TGT $XLE