Friday's call.

the call is to switch long.

I will trade emerging markets at 1.5x.

Thursday's Call.

the call is to stay short unless the eem closes below 38.94.

I will trade the emerging markets at 1.75x.

Wednesday's call

the call is to stay short.

I will trade the spx at 1.5x.

Tuesday's call

the call is to switch long below 38.70 on the eem.

I will trade spx at 1.5x.

Returns for week ending 10-02.

Finally had a good week. It was a little hard to follow as the closing prices ended near system switch points, leading me to initiate a new rule (to use the 3:50ET price as the price to judge long or short) if the system depends on that day's closing price for the call. This should make the system much easier to use and not significantly change the returns as only a relatively few days will make the call different than the close. One caveat to that statement is, if strong volatility comes back to the market then I will have to reconsider.

Monday's call 10-05-09

The call is to stay short if the eem closes between 37.53 and 38.63.

I will trade the eem at 1.0x with the 3:50ET price.

Friday's call.

The call is to switch long if the eem closes below 37.94.

I will trade emerging markets at 1.5x.

I am going to use the 3:50 price...(i.e. the close of the 3:49 one minute bar) to use as the "trading" closing price. IF the price at 3:50ET is below 37.94 I will switch long.

Using the closing price will also work....a few days, possibly 15 per year, would result in a different call.