10/27/2009: 'SPY Gopher' generated a Long Entry Signal for Monday's Close.

'SPY Gopher' generated a long entry signal for the SPY at yesterday's Close. This is one of my favorite systems. I have been trading this model (or an earlier version of it) since the summer of 2004 (trade #65 on the above Equity Curve chart). Whenever it goes through a drawdown, it has always gone on to ultimately make new Equity Curve highs. It performed extremely well during the recent bear market, and is currently trading just below ts all time high.

Model Performance Stats:

• Model Tracking Vehicle=SPY
• Start Date=2/2/1993
• Number of Trades=96
• Average Trade Return=1.16%
• Win Rate=69%
• Ration Average Win/Average Loss (RAWAL)=1.41
• Profit Factor=3.10

The caveat with this model is its dynamic Money Management Stop is moderately high, currently 3.00%. The amount of this stop can change for each day the position is open. Historically, if I can handle risking that much capital on the trade, the performance of the model over the following year has been very good. The model generates 5-6 trades/year, which on average returns 6-7%/year. Each position is modeled to be open for 5 days unless the Money Management Stop closes the position sooner.

I usually trade this model with 4 ES contracts, however for this position, I opened 2 contracts (@ 1064.50). I am expecting another model to generate a long entry signal over the next couple of days, and I want to manage the size of my total exposure.

Disclosure: The performance results shown above are for Model analysis purposes and do not include commission or slippage. The model is built on data from the SPY, but I trade the model with the ES e-mini. Actual trading results from the ES usually differ from the model results of the SPY, with the ES showing somewhat weaker performance data. Nonetheless, I still trade this model with the ES and when executed according to the plan, it has generated consistent profitability for me.

Disclosure: Long ESZ09.

***remember this is an illustration of what i am trading and my thinking...it is not a recommendation for you or anyone else to buy or sell this or any other security...trade at your own risk ***