4:45pm: My way of determining market health, which of course isn't fool proof, is flagging the market as being healthy again. Despite the flip to healthy mode, a buy signal was not even close today so we got another hold signal. But with the new stop loss rules in place, half of the short position was closed leaving the system with just a 25% short position and the rest on the sidelines. The portion that was stopped out was profitable, which in my testing was quite rare.
Going forward, buy signals will be more frequent while short signals will be less so. The market will remain healthy unless support @ SPX ~1102 is breached. I am fairly confident, as are many others that 1102 will be tested at some point. That's 90 pts lower than today's close. Meanwhile, max upside potential I would guess is the 200 day MA which just happens to be 90 pts higher. Should be an interesting roller coaster the next few months. Hopefully my system can navigate it with a bit more success.
3:48pm: No signal changes. However, if SPY closes at 119.60 or higher the system flips, by my definition, to healthy mode (which I will take with a grain of salt after the waterfall decline). If that flip occurs, half of the short position will be stopped out.
So in summary:
SPY closes below 119.60, system remains 50% short.
SPY closes at 119.60 or higher, system moves to only 25% short. 75% cash.