'NDX OD' also gets the boot: the model is not robust and needs to be rebuilt or discontinued.

'NDX OD' is based on a similar concept as the 'NDX OU', except that OD is a short strat and OU is a long strat. It too was placed on the model discontinuation watchlist back in May. I just performed a more detailed performance analysis of 'NDX OD' and like 'NDX OU' (http://stbsmb.blogspot.com/2009/07/ndx-ou-gets-boot-model-is-not-robust.html), it is also being taken offline. Rebuilding it is a possibility, but my intuition suggests it is dead.

So the PF of 3.07 during the Historical Build Mode was quite acceptable. During the Historical Test Mode, the PF was 1.78. This is definitely below my minimal threshold, but I decided to trade the model anyway thinking that perhaps this lower performance was just a mild setback or a basing period.

During the Real Time Trading Mode, the PF was 0.50. Anything below 1.00 represents negative performance. So the PF has been in a steady decline from the Historical Build Mode, to the Historical Test Mode, to the Real Time Trading Mode. This is also true for all the other stats shown in the table above.

Adios 'NDX OD'! Thankfully I peformed this analysis before getting into the next trade with this model.