WOW - Just WOW! My cognitive faculties have clearly gone for a toss!

Or in this case I choose to BLAME it on this guy's clumsiness in explaining the strategy :)

Third time lucky perhaps - actually the 2nd attempt was basically correct.

Here's the updated formula for the Buy and Sell sides

Buy Side = P[i-1]* ( Theta - Alpha1 + Theta*Alpha1)

Sell Side =P[i-1] * ( Theta - Alpha2 - Theta*Alpha2)

And as I thought thru the guys' examples - and in the scenario where theta = alpha ie the Drop in index is equal to the chosen threshold
you will see that the System basically leaves you to do almost nothing - ie for all practical purposes it tries to maintain a parity
of invested $ to 50% of Portfolio * ( 1- Alpha) ie drop threshold.

So in essence its a 50:50 ish strategy based on initial $ with 50% sitting in cash all the time!!

This is CRAZY - so Starts matter A LOT - ie it needs a few bears at the beginning to even hold a chance!

Honestly - I wouldn't even waste time on this if I am right this go around( I am SINCERELY HOPING I am)

Best

Mechanical Investing FAQ

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