Trev,

I agree with your remark. The market has been rather well performing since the long signal of the 20DMF on November 16.

My calculation for the Kelly Criterion is based on a moving window of 250 days. In the last 250 days, my strategy had a return of 39,39% non-cumulative. There where 59 positive trades and 99 negative ones. This large number of negative trades causes the current negative Kelly criterion. This has me puzzled.
Personally, I am still trading with a very small position size.

I must admit that I fear that there is something fundamental wrong with my position size calculations. Since November 16 there have been 16 trades in my strategy with a non-cumulative result of 8,81% based on the raw trades. With my position size technique, this positive raw result has turned into a negative growth of my equity of 0.51%. Frustrating!
I am working on a review of my position size technique and will report once I have found a better one with consistent equity growth over the now 3 years of trading signals that I have.

PdP