End of Quarter - March 30, 2012

[Billy]

That's a rather compelling offer, Billy, with a very clear payoff :-)

My first inclination would be to re-examine the hard-coded threshold governing the basic calculation of the MF and comparing backtest runs with different settings of those thresholds to see if the results are consistent across the range of values. There aren't too many of them, which is the good news. I would start from the 20-day span for MF calculation, e.g. use 5-day, 10-day, 40-day, 60-day, 90-day, etc. Based on the outcome of this basic test, there are other ideas to pursue which relate to multi-timeframe rule sets (may cost more than $.02)...

Trader D

These tests have already been made and 20 days was the most consistent outcome. That’s why it has been chosen.
Billy