3:52pm: On the close, we'll sell half the long position, keep the other half. This places the system in approx. 75% cash.
11:42am: The system is now in unhealthy mode starting today. Additionally, since we took out SPY 119.12, the system will move to 25% TNA and 75% cash on the close. Keep in mind, the last time the system was stopped out of a long position it was a great time to buy. This is precisely why we'll keep a partial long position going until the next signal. Then again, this could be early August all over again...
Lower prices are expected and my system will sell/short any strength over the coming days. I see today as a significant shakeout before higher prices later this week surrounding the holiday. Thus, I'm expecting to hold onto this long position then go short heading into next week.
We'll see how it goes... Thanks for reading!
8:06am: Judging by the futures this morning (/es -20), I have to mention the possibility that the stop loss could get taken out. The level to watch is SPY 119.12. If we dip below that value at anytime today or this week, the system will flip to unhealthy mode. This forces the system to exit half of the long position (ie. move to 25% TNA, 75% cash) on the closing price on day in which the stop loss level is violated. Today, perhaps?