Replies to post #5477 on Profunds index and sector trading (PRO)

[Namiar]

40% is the max trending position for my model. This is based on my personal comfort level.

I continue to test out my new trending methodology, but it is not as promising in terms of boosting backtest results as I had hoped. In fact, in most scenarios, my incumbent methodology (which is very simple stays 40%, but goes to 20% in extreme OB and rarely to 0%) trumps the new methodology which lowers and raises capital deployment based on state of 5 variables.

But it has not been a fruitless exercise, it looks like I will come up with a methodology which will increase backtest returns by about 10% (I was hoping for a double initially) but more importatly, should soften out the hits.