Our big disappointment was exiting the long Russell and Shorting the S&P. Our only solace at this point is that it is the "down" season for stocks........."Sell in May and go away." Does anyone know the statistics? On average, if one had invested in November and Sold in May and stayed out of the market the rest of the year, the return would have been the same as if one had stayed in all year. That means, there were some rip-roaring declines in those months. I may not have it exactly right; maybe an astute reader can correct me on this one. Anyway, there is still hope our algorithm will be profitable.
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