As we take a break from trading this market, we continue to research. I find it interesting to note how well the long only trades have held up when backtesting to June 2011 in Multicharts Portfolio Backtester.
The drawdown curve is very cyclical and has held up well.
We commented out all long trades in Multicharts. This was the fastest way to test this rather than re-importing long only data into my Portfolio Calculator.
The market has been unusually biased to the long side and when you watch the market trade, it is difficult to meausre but it seems like there is a constant machine like bid in the market during the day. There are occassional brief sell offs, but quickly met by machine like buying. The selling never lasts for long.
Historically, we have seen more days with more steady selling intra-day during market sell offs. We are considering the long only side as well as a way to re-work our short signals.
We also look at regime changes related to new futures contracts or changes in futures contracts.
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