For purposes of closure, I closed the NDX long scalp position that I entered Friday:
<<<My model had a buy today, at least the first laddered entry. I am in at 84% long (out of 200%) via the Profunds Ultra OTC fund (was 100% cash).>>>
As this board is meant to be instructive, I will provide rationale on the buy and sell.
I use a statistical optimization model. When a OB/OS indicator gets to be so low, then I begin to ladders in long positions.
The OB/OS trigger is set so as to optimize returns over the 8 years of the backtest. I could set trigger point lower, but this would give me alot less "action", athough the Win-Loss percentage would be greater. I could also set a shallower trigger point that would give me alot more action. During Bull markets, it makes sense to set a shallow trigger as the selloffs are most frequently very modest (like the most recent one).
So I mess around with the OB/OS trigger so as to provide the best backtested returns. In the hopes that the future will give similar results. And actually, I do not use the trigger points that give the best returns in the backtest.
My personal pain threshold is such that I would prefer not to take big hits, even if in the long term it pays off to take those hits. So I picked a set of buy triggers that provides nice backtested returns, but also keeps the backtested model from fluctuating too wildly.
AI
Market Data 
Markets 
