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Hi Kevin, Thanks for the encouragement. That is certainly a possibility and a challenge that I am up for! I'd like to combine just 3 similar systems to that described. It would work a bit differently because I would have to run a series of simulations at different potential closing...

Nothing makes me think it is better than a continuously re-optimized MA crossover because I haven't tried that one yet. Do you have any results that you are willing to share? I am genuinely interested. I can always give it a go. Non of the model parameters are fixed. I think you are...

The labels at the bottom of the chart are for month names. Daily mean reversion was strong leading up to the last major bottom. Since then it weakened off a bit. Historically, if neither daily mean reversion or daily follow through was very dominant then the equity curve wasn't so good...

Introduction This post features an adaptive autoregressive momentum ‘trading system’. The system trades the short-term daily trends of the SP 500 stock market index. The two terms (weights) of the model and the delta periods are adjusted walking-forward bar by bar by the swarm adaptation...

I have restored files using Mozy. It was easy and fast enough. Don't rely on external hard drives if you value your data!!! Using an external hard drive is far better than having no backup, but don't rely on them exclusively. Regards, James

I am going to stop posting signals. The signals over the last couple of months have been dreadful. I am moving forward and want to keep the latest developments for those that have supported me. Best Regards, James

Kevin, I've been hard at work on a few fronts, one of them being the incorporation of a trend following strategy. I've been hit hard a few times by relying on strong short term mean reversion. I'll keep on posting the production signal (it hasn't changed since the last post). Kind...

Signal for Fri Mar 13, 2009 MOC: Short Trading Instructions for Fri Mar 13, 2009 None Open Position Short 1 ESH9 @ 687.25 Closed Net Profit / Loss: ($1,115.00) Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

Signal for Wed Mar 11, 2009 MOC: Short Trading Instructions for Wed Mar 11, 2009 None Open Position Short 1 ESH9 @ 687.25 Closed Net Profit / Loss: ($1,115.00) Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

This is a fair comment that I completely accept. Over the last 15 years or so these high vol coupled with low mean reversion conditions have been rare. Lately, they have been the norm. Something very much along the lines of a stop and reverse strategy has been tested and historically it works...

Signal for Mon Mar 9, 2009 MOC: Short Trading Instructions for Mon Mar 9, 2009 None Open Position Short 1 ESH9 @ 687.25 Closed Net Profit / Loss: ($1,115.00) Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

Signal for Fri Mar 6, 2009 MOC: Short Trading Instructions for Fri Mar 6, 2009 Sell 2 ESH9 MOC Open Position Long 1 ESH9 @ 836.00 Closed Net Profit / Loss: $6,322.50 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

Signal for Wed Mar 4, 2009 MOC: Long Trading Instructions for Wed Mar 4, 2009 None Open Position Long 1 ESH9 @ 836.00 Closed Net Profit / Loss: $6,322.50 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

Signal for Mon Mar 2, 2009 MOC: Long Trading Instructions for Mon Mar 2, 2009 None Open Position Long 1 ESH9 @ 836.00 Closed Net Profit / Loss: $6,322.50 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

Signal for Fri Feb 27, 2009 MOC: Long Trading Instructions for Fri Feb 27, 2009 None Open Position Long 1 ESH9 @ 836.00 Closed Net Profit / Loss: $6,322.50 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

Signal for Tue Feb 24, 2009 MOC: Long Trading Instructions for Tue Feb 24, 2009 None Open Position Long 1 ESH9 @ 836.00 Closed Net Profit / Loss: $6,322.50 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

Signal for Tue Feb 24, 2009 MOC: Long Trading Instructions for Tue Feb 24, 2009 None Open Position Long 1 ESH9 @ 836.00 Closed Net Profit / Loss: $6,322.50 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

I think the way to go is to adjust the size of the stop loss based on the current volatility. Also, the number of contracts traded should be determined by working out the risk per trade that you want to take. Therefore, the more volatile the market the wider the stop loss and the fewer contracts...

Signal for Fri Feb 20, 2009 MOC: Long Trading Instructions for Fri Feb 20, 2009 None Open Position Long 1 ESH9 @ 836.00 Closed Net Profit / Loss: $6,322.50 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James

Signal for Tue Feb 17, 2009 MOC: Long Trading Instructions Tue Feb 17, 2009 None Open Position Long 1 ESH9 @ 836.00 Closed Net Profit / Loss: $6,322.50 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James