get shorty

hey guys! 

happy holidays to you all. I have not traded in the several weeks/ months due to the arrival of my new son Kingston Carter and a few major surguries to try to fix my nose once and for all. He is our first child and we have been waiting for an adoption for 3 years! Also may be time to hang up the gloves....:->.

Noticed an interesting tendency based on the 2 period r.o.c. in the sp500 market. There are several disclaimers..... 

1. this is not a system (no stops etc)

2. earlier data 1980's does not test out as good (but i believe 80's to early 90's data had different microstructure issues)...

Anyway... here is the idea...

1. sell a 2 roc change up in the sp when below a 20 day simple moving average  and try the williams  type 1st profit close for a few days.

dangerous i know in any market, but an interesting tendency worth studying.

results on tradestation with code at end (not sure how great my data set is here.. im in the process of moving into a new house and grabbed this from an aqcuantance)

Period	Net Profit	# Trades
YTD	$16,275.00	9
12 month	$16,275.00	10
07	$18,325.00	8
06	$12,300.00	4
05	$8,025.00	7
04	($9,925.00)	7
03	($250.00)	2
02	$8,650.00	10
01	$4,250.00	8
00	$22,025.00	11
99	$3,200.00	2
98	$2,400.00	8
97	$6,612.50	5
96	($4,200.00)	5

 Performance Summary:  All Trades                 

  Total Net Profit $87,687.50  

 Open position P/L $0.00 

Gross Profit $195,587.50   

Gross Loss ($107,900.00)         

  Total # of trades 86  

 Percent profitable 77.91% 

Number winning trades 67     

Number losing trades 19           

Largest winning trade $11,000.00  

 Largest losing trade ($19,050.00) 

Average winning trade $2,919.22   

Average losing trade ($5,678.95)

Ratio avg win/avg loss .51  

 Avg trade (win & loss) $1,019.62           

Max consec. Winners 18   

Max consec. losers 2 

Profit Factor 1.81

  Max # contracts held 1 

Account size required $24,525.00   

the code is below for 2000i:
if  marketposition =0 and  c <> (c[2]+average(truerange,20)) then sell close;if  marketposition =-1 and c <  entryprice then exitshort at close;if barssinceentry=4 then exitshort close; Interesting that the short idea even worked during the great bull of  95-00 and you would expect to work during the great bear of ought-eight. maybe some plungers can add to this idea. Happy holidays and c ya in the new year! mindful