Interesting, Vimal.  Could you tell me how you came up with that VIX number.

BTW, the last week or so some of the eod systems have been doing well.  Specifically, FAS and the AIG systems.  And, until recently, the BIDU system has been performing well.   I turned mine off today because I didn't want to go to Vegas in anticipation of earnings, but, its profit curve is still looking pretty good.

I agree - volatility is required for them to work. If volatility is too low, then you get just enough of a move for them to trigger, but you get no follow before they reverse on you. As such, I've found that I have my system off for weeks (and occasionally a few months) at a time. Mine have been off for a few weeks now, and I'm glad they are. On a more positive note, since nearly all mechanical systems are performing terribly, in a fairly consistent manner, this means that there is an opportunity to create a counter-system (a mean-reversion type) which will take advantage of these types of moves. Something like that could be quite profitable. But that would no doubt stop working as soon as the regular ones start working again.