Pascal,

I understand that the Robot has variable holding periods, and that form fitting to past calls is a fool's errand.

Rather, the issue that I'll try to resolve today is the fact that I designed the model as a guide for fundamental investing (as in the Mousetrap), and deliberately formatted it for technical mean reversion over a year.

What gave me the idea was when I analyzed my friend Len Mansky's market timing model and found that automated up and down calls had better performance in a year (% return * 1) time frame than in a quarter (% return *4), a month (% return * 12), or a week (% return * 52). It wasn't much of a stretch for me to incorporate such a model for sector and industry selection for fundamental investments -- which ALSO depend on mean reversion over the course of a year.

Here's the rub: successful technical investors usually trade in faster time frames than typical retail investors; and successful fundamental investors usually trade in slower time frames than typical retail investors. Both HFTs and fundamental investors profit over the unfortunate retailers, who sell to the fundamentalists low and buy from the HFTs high.

The Robot is designed to compete against HFTs, using sophisticated data and even more sophisticated calculation.

My Moustrap and Sector Models are designed to NOT compete with HFTs. I try to find oversold disasters caused by the HFTs so I can pick up the debris they leave in their wake.

These are completely contrary approaches.

Put simply, you make money following effective volume in real time. My model makes money finding pent up non-effective volume that needs to mean revert.

I do have one test that I plan to do today, which is adjusting the measuring period from more than a year to about a month. After measuring that effect on 23 and 14 day holding periods, I'll see if those average values carry-over into the actual dates of the Robot's past calls. If they ARE consistent, then I can adjust my real-time testing and continue. If they are NOT consistent, then the problem doesn't have to do with the holding period, but a fundamental incompatibility between non-effective volume mean reversion and effective volume timing triggers. I was hoping for a positive whiplash effect, but the concept itself could be flawed at the core.

I should have a good idea today.

Tim