Systems tend to work in products and times of high volatility. With low volatility, systems like the ones in the premium content section, since they would be very choppy. If you run the ratio ATR/price (as an estimate of volatility) in gold futures you will find that it is half of GDX ratio. Also, GDX ratio is even higher than DGP (2x gold). Therefore if you apply the system to gold futures you may not get the advantages of the system.

rp, i read that you have 2x and 3x leveraged funds in your IRA account. I don't live in the US, and therefore I am not aware of the details of this type of account, but my sense is that the investments in this type of accounts are medium/long term. If this is your case, I recommend that you read a 2 page paper from Direxion Funds http://direxionshares.com/pdfs/Compounding_Article_ETFs.pdf. Leveraged funds can be tricky in the medium term, perhaps you are right in the direction of the market, but leveraged funds are only profitable if the market trends steadily in that direction, if it has some fluctuations the daily rebalancing that leveraged funds do will go against you in a significant manner

Thanks a lot. Could you share the partial results of each improvement, so we can see how each affect the profit factor and the percent profitable? Many thanks

I think you should read documents produced by Direxion funds like:

http://www.direxionfunds.com/pdfs/Understanding_Impact_of_Changing_Market_Exposure_on_LIF2.pdf

If you plot, for instance, FAS and FAZ, you will find that they are not simmetrical in the linear scale, but they are simmetrical in a logarithmic scale. That is what leveraged ETFs try to achieve, and for that they have to increase their exposure when they are "in the right trend", and decrease their exposure when they are "against the trend". That means that if your view is bearish, you have to buy the inverse ETF (FAZ), because if you are right it will not only produce results but also will increase its exposure as the trend develops; if you are bearish and you sell FAS instead of buying FAZ, if the trend develops your way the fund will decrease its exposure to protect FAS buyers, and therefore you will not get the full potential of the trend.

The worst with leveraged ETFs is a rangebound environment, because they will increase and decrease exposure at the wrong times.

I would say that if you want to play medium to long term with leveraged ETFs, you should always buy either the direct ETF or the inverse ETF (depending on your view), but never sell. In intraday or trades that last less than a week this is meaningless and I would concentrate on the one that provides more volatility and has more volume, either buying or selling.

I hope this is helpful.

Very interesting. I use NYSI weekly as one of my key indicators for medium term swing trading. I combine it with VIV/VXV ratio and works excellent. The problem that you mention is more or less the same that we had in mid-November 08, when NYSI stochastics stopped increasing at the middle of the graphic and NYSI went down again. According to my system, that was a signal that you had to cover your longs because some exceptional events were causing the market to sell off; but as soon as it crossed again to the upside (no matter that it was in the middle of the graphic of the stochastic) it was a signal to be long again. Now, it seems that we could apply the same reasoning: the market can stay in overbougt territory for quite a while, because exceptional events could be taking place (extreme liquidity, artificial support of the market...) but as soon as the stochastics crosses down again (no matter that it is at the middle of the graphic of the stochatics) I will use it as a sell signal (provided that VIX/VXV is higher than 0.92)

I think this is widely applied. It has happened to me. Take a look at this:

http://www.interactivebrokers.com/en/trading/shortableStocks.php

Even when you have successfully shorted a stock after T+3, the lender of the shares can call them back at any time. With this rule in force it will be extremely difficult for the market to go down at normal speed. It will only go down when the people that bought shares sell them; since the buyers have been deep value investors, I find it difficult to figure out who will trigger a sell off, only a highly negative event can trigger their sales. This time the short sellers will not be able to start the process of a sell off.