Features Common to All Portfolio Daily Order Reports

The sample reports are described by group, and within those groups are the daily orders and historical performance files, individual market NAVs, P&Ls, and sample portfolio NAVs.

The All Orders Report

Each group has an All Orders report, which gives the trading signals for all markets in that group in alphabetic order. Each report contains a column header I-Ratio that gives the information ratio (annualized return divided by annualized risk) for the past 3-years for the Timing and Divergence programs, and for all data (as far back as 22 years) for the Trend program. The I-Ratio is to help you assess the historic performance of that market. A ratio greater than zero shows a net positive return, and a ratio greater than 1.0 shows highly consistent profits over time. Trading any market will still have considerable risk due to an unknown future, but a higher ratio indicates that the price characteristics of that market fit the nature of the strategy.

The current position size (Qty) and today's order size (Order Qty, the number of shares to buy or sell) is shown in two decimal places to allow for larger investments. For example the G1 Trend program All Orders (the first example below) shows a “Buy 47.84” shares of Cignal based on an investment of $7500. If you were investing $75,000 you would buy 4,784 shares.

G1 Trend Stocks Orders All

All Orders Are Executed On The Next Open

All performance tracking is based on executing new positions or closing out trades at the open of the next day. The report shown below is dated 24-Oct-2013 in the top right corner, shows the date of the previous close. Execution is expected (and recorded by the system) on the open of the next day, October 25th.

Longs And Short Sales Are Shown

The All Orders reports show both long and short positions in all markets. This is to provide as much information as possible. The portfolios and
performance tracking show only long trades for stocks and ETFs, and both long and short trades for futures.

Calculating The Correct Position Size

All position sizes are based on the initial investment indicated at the top of each report. In order to maximize your investment, you will need to track your profitability and increase the size your own positions according to your maximum equity. Therefore, if there are 10 ETFs in your portfolio, then each ETF begins with an investment of $7500, or a total of $75,000. If you post a 5% profit in the portfolio, then each new position size should be 5% larger than shown on the report. If there is a drawdown, the maximum equity is still used for the new position sizing. Without this method, percentage returns will get smaller as profits accumulate.

Viewing An Order Sheet

All reports are in “csv” format. When double-clicked, they will load into an Excel spreadsheet. The first column generally has the name of the stock, ETF, or futures market, which can be fully seen by making that column wider. The file has no colors, borders, or centering, and colors have been added to the samples below to make them easier to explain. It may be necessary to adjust the printer to “all columns on one page” when printing.

These systems are designed for traders with some experience, meaning they have developed basic trading skills such as order entry and risk tolerance.

Correct any trading errors immediately. Do not try to outguess the market. If your entered the wrong size then buy or sell to correct it, and if you've exiting a stock by mistake, reenter immediately. In our experience, correcting errors immediately results in the smallest loss and eliminates any stress. The stock and EFT programs make an effort to use all the capital available in a non-margined account. The futures programs assume use of about 25% of initial capital and leverage of 12:1.

Sample Order Sheet

In the sample below there are three sections:

  • New positions to enter on the open
  • Positions closed out on the open
  • Today's positions

There may also be:

  • Positions to be closed out on the open
  • Positions to be added or reduced on the open (for the Trend program)

G2 Divergence stock 10 orders 10Jan2014

More samples and explanations can be found with each strategy description.

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