To clarify, I'm culling information as the market closes rather than after the market closes. What happens immediately after the termination of regular trading hours is generally irrelevant, although money is still changing hands. As mentioned previously, buyers at the margin'larger institutional investors'most often step into the market in the final 90 minutes of regular trading hours.

The risk-on/risk-off sensibility towards equities in all the major American stock indexes still holds, but each index is apt to perform somewhat differently on the basis of the macroeconomic climate. For example, /YM (the Dow Jones Industrial Average e-mini) performed better than the other indexes with the most recent bull run extending into late autumn'perhaps because that index is represented predominately with consumer staples rather than consumer discretionary names, and institutional investors were preoccupied with maintaining a defensive posture. /YM's signal came sooner than the others and lasted longer with no need to exit and re-enter as was necessary with /ES (the S&P 500 e-mini). /NQ (the NASDAQ 100) showed a bullish signal much later, and performed relatively poorly, probably because investors are wary of interest-rate-laden businesses such as those in microprocessors. Was I aware a priori that /YM would perform superiorly? No! That's why it is best to pay attention to all 4 indexes and exploit all of them as independent entities, even in light of the risk-on/risk-off sensibility to equities by larger investors. Intuitively, my preference would be a simpler, larger position in the S&P 500, but that index consists of greater than 60% consumer discretionary names, and such a position would have diminished returns despite the general transition to "risk-on."

All of the indexes are assessed ipso facto, and the signals are strictly mechanical (i.e. 'me-proof'). I concur that it isn't reasonable to expect anyone to show commercial interest in this on the basis of what's been shown thus far. Let me think a bit more about what to provide potential users of the strategy (I haven't examined the use of leveraged ETFs in lieu of e-mini futures, for example), and I'll post again once I've done so. Of note, short positions were closed last Friday. No bullish signals yet, however.