This is a nice buy setup. 89% winning trades and avg trade return of .95%

Since 1990 this system has an average annual return of 20.4% with a largest peak to trough drawdown of -20%. The system hasn’t had a down year. From 1990 to present (April 2011) This S&P system would have turned a 100,000 account into $4,634,565 without using any leverage. As a comparison buying $100,000 worth of the S&P in 1991 would now be worth $388,428 with a largest equity drawdown of 53%

An exploration of 4 position sizing strategies. Each one of these position sizing strategies has a maximum threshold when annual performance peaks and then beyond that point the account goes bust. All plungers eventually go bust!

Currently the S&P has gone up while bond prices have come down over the last week. This makes bonds a more attractive trade off, and has short term bearish implications for the S&P. Using bond prices to help predict stock returns is a very useful tool, as an example when bond prices are up 5% over a 5 day look back period the average move in the S&P futures was $3,000 over the next 5 days.