3 Years
This system trades stocks listed in S&P 900 (large- and mid-capitalization companies). It maintains diversified portfolio of about 45 different stocks with average of more than 30 trades/week (about 30% of those trades are short). Because of large number of stocks in portfolio the system is designed to use some margin. Ideal margin ratio is 120%. For 2010 performance is still far below normal levels at -1.34% YTD as of August 27, 2010 which is still better than overall market.