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Going to 100% CASH for Thursday 4/5/07.

Sounds like curve fitting to me. Run the same parameters on a different set of historical data and see what you come up with.

Complete rubbish.

They don't. Neither does H&R Block's TaxCut. If you want to account for wash sales correctly when using these two programs, you have to figure out the wash sale basis transfers manually and type all of these into your return manually. It is a huge pain in the ass. I've used Trade Log for...

NDX Wk 13: -1.208% NDX Mo 1: +2.014% NDX Mo 2: -1.712% NDX Mo 3: +0.611% NDX YTD: +0.880% NDX Max Drawdown: -7.225% BLB Wk 13: -0.337% BLB Mo 1: +0.734% BLB Mo 2: +0.701% BLB Mo 3: -0.129% BLB YTD: +1.310% BLB Max Drawdown: -2.796% AME* : 23.75/61 = .389 Days Invested: 38 Days...

Sounds awfully familiar. I referred to a "scaled out" trade in a previous post: As stated previously, the "scaling out" vs. "discrete trade" designations are merely an exercise in mathematically equivalent nomenclature. Exiting a trade in 2 or more discrete steps is properly referred to as...

Increasing long position to 100% OTPIX.

Initiated a 25% OTPIX (long NDX) position for Thursday.

Of course not. Your mind has been made up since the original post. Keep the blinders on - don't let any cognitive dissonance get in your way. Au contraire mon frere. It is quite relevant to the sizing of the trade - we're talking about a methodology that dynamically reappraises the...

Another erroneous assumption. He adjusts his trade sizing at regular intervals based upon the present expectancy of the position. P.S. Q: "What should Mr. Quant do?" A: Scale out. I won't go into any more detail. You seem too closely attached to your trading "world view" to...

All funds to CASH for Tuesday.

You could try sending 'em an email @ fosback.com as well...

Ned Davis Research would probably sell you one.

Er, no. You should probably try reading the "Mr. Quant" post again. There is no such thing as a "target" in his trading methodology. In fact, he had achieved the original expectancy (and then some) and still had a forward-looking positive expectancy remaining. Please put your thinking...

NDX Wk 12: +2.974% NDX Mo 1: +2.014% NDX Mo 2: -1.712% NDX YTD: +2.114% NDX Max Drawdown: -7.225% BLB Wk 12: -0.226% BLB Mo 1: +0.734% BLB Mo 2: +0.701% BLB YTD: +1.652% BLB Max Drawdown: -2.796% AME* : 21.5/56 = .384 Days Invested: 35 Days in Cash: 21 **W-L-T: NDX: 29-25-2...

All well and good, but some people don't trade like that. Let take Mr. Quant as a hypothetical example: He has built a model that assesses the expectancy of various indices on a daily basis. Two trading days ago, to his great delight, the model assessed the S&P 500 to have a positive...

Selling half of USPIX.

All funds go to USPIX for tomorrow.

Actually, that's not the case. The question here is whether it makes sense to hold 2 positions having positive expectancy vs. holding one. My point is: two positions will often win on a risk adjusted basis, particularly in situations where correlation is low, EVEN IF ONE EXPECTANCY IS LOWER...

Going back to 50% SOPIX (short NDX) for 3/20.