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Signal for Thu Aug 7, 2008 MOC: Short Trading Instructions for Thu Aug 7: Sell 2 ESU8 MOC Open Position: Long 1 ESU8 @ 1287.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7...

Signal for Wed Aug 6, 2008 MOC: Long Trading Instructions for Wed Aug 6: None Open Position: Long 1 ESU8 @ 1287.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008 Bought 2...

Signal for Tue Aug 5, 2008 MOC: Long Trading Instructions for Tue Aug 5: None Open Position: Long 1 ESU8 @ 1287.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008 Bought 2...

The individual Dakota systems are adapting to different market conditions better than before. I think we are seeing the effect of adding more systems. I plan on selecting a subset of systems to use. To do this properly I will need to keep a couple of years for out of sample validation...

The statistics for Sp_z0021 are attached. Kind Regards, James

An graph of the swarm for Sp_z0021 is attached. The swarm adaption routine used by Sp_z0021 is a hybrid that switches to individual hill climbers when a given percentage of the trade bots are losing and then changes to a flocking type swarm when a profitable zone is found again. Kind Regards...

The equity curve for Sp_z0021 is attached. The parameter ranges for the 39 Dakota systems that contributed to Sp_z0020 have not been changed. Kind Regards, James

The systems are using the equity controller for swarm adaptation. However, I have just finished a 4 month project that included the development of a new partical swarm adaptation library and a series of new swarms that are based on the k-Nearest Neighbor algorithm. Signals that I post ET are now...

Signal for Mon Aug 4, 2008 MOC: Long Trading Instructions for Mon Aug 4: None Open Position: Long 1 ESU8 @ 1287.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008 Bought 2...

Signal for Fri Aug 1, 2008 MOC: Long Trading Instructions for Fri Aug 1: None Open Position: Long 1 ESU8 @ 1287.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008 Bought 2...

Signal for Thu July 31, 2008 MOC: Long Trading Instructions for Thu July 31: None Open Position: Long 1 ESU8 @ 1287.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008 Bought...

Signal for Wed July 30, 2008 MOC: Long Trading Instructions for Wed July 30: Buy 2 ESU8 MOC Open Position: Short 1 ESU8 @ 1260.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7...

Signal for Tue July 29, 2008 MOC: Short Trading Instructions for Tue July 29: None Open Position: Short 1 ESU8 @ 1260.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008...

Signal for Mon July 28, 2008 MOC: Short Trading Instructions for Mon July 28: None Open Position: Short 1 ESU8 @ 1260.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008...

Signal for Fri July 25, 2008 MOC: Short Trading Instructions for Fri July 25: None Open Position: Short 1 ESU8 @ 1260.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008...

Signal for Thu July 24, 2008 MOC: Short Trading Instructions for Thu July 24: None Open Position: Short 1 ESU8 @ 1260.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008...

Signal for Wed July 23, 2008 MOC: Short Trading Instructions for Wed July 23: None Open Position: Short 1 ESU8 @ 1260.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008...

Signal for Tue July 22, 2008 MOC: Short Trading Instructions for Tue July 22: None Open Position: Short 1 ESU8 @ 1260.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008...

Signal for Mon July 21, 2008 MOC: Short Trading Instructions for Mon July 21: None Open Position: Short 1 ESU8 @ 1260.00 Trading History: 4/1/2008 Bought 1 ESM8 @ 1371.00 4/22/2008 Sold 2 ESM8 @ 1380.25 5/1/2008 Bought 2 ESM8 @ 1412.1 5/7/2008 Sold 2 ESM8 @ 1394.7 5/8/2008...

Yes definitely. The hypothetical trade that resulted in a $3k+ loss (assuming no stop loss strategy) is typical of the type of market behaviour that my models fail in. The majority of my models perform well when the price is tending to 'mean revert' rather than trend strongly. I started a...