News: I'm about midway through an upgrade to my system. This may be the final piece of the puzzle, although I've said that before. :) The changes will be 2 fold... The first is to incorporate investor sentiment into the model. In a nutshell, the system will not go long during overly bullish sentiment, and will not short when everyone is bearish. This leads into the second change... Beginning in 2011, no longer will there be just 3 signals: Long, Short, or Hold. Two additional signals will be added to the mix: Sell and Cover.
This means the model may not always be in the market like it is now. The model can still flip from long to short, but depending on certain conditions, sometimes the model will flip from long to sell, where longs are closed and a short position is not opened. Or vice versa, a flip from short to cover will be a possibility when the system deems it unwise to open a long position.
I'm excited to launch these new features. Backtesting shows some very positive results. I'm on a trading vacation until mid-late January, but I'll attempt to update this site daily. Happy holidays!