Above are the results since inception of May 19, 2008, from the mean reversion strategy (RSI2).

The strategy is holding one position, which is marked to market, in the above results.

I have still not had the entire equity allotted to this strategy in the market. The cash is available for positions at least 2x larger than what these results reflect. I am getting more and more comfortable with the system with every new trade, and it is getting to be more automatic. Before 2008 ends, I want to go a little bigger with my positions. Common sense tells me that my returns will be twice what is reflected above, but that will remain to be seen, as changes in position size affect psychology. The hardest part of system trading is managing my psychology.

The circled area on the equity curve reflects the last days of June and the first half of July, when the indexes were moving downward, with very few spikes up or down.

This system likes trending conditions, if they have regular counter-trend moves. As long as there are swings, it is happy.

The green dot means that the account closed today at a new high. I’m hoping this means the near-term market conditions are changing to be more favorable for this type of strategy. Months like January and June will result in drawdowns or flat results.