Characteristically, options expiration can continue to squeeze the market. Therefore, I expect slightly better prices to short. The importance of this position is that, as I have indicated before, when these systems would trigger new shorts, the implications will likely be significant. I believe that to be the case. So, along with that plan I am looking at leap puts/protection slightly out of the money for 2012. I wanted to underscore that this trade or two should be very important. If the market is to remain uptrending then this area need to remain well defended.
Additionally, I would like to point out that I have migrated from using Tradestation as the datasource for this system to IQFeed. This does change the number of trades becuase they do not quite have as much history as Tradestation. Also, as you can see the ES long trade from the end of may is slightly different. This is because I enabled and new capability of the model. That countertrend capability gives the system significantly better performance and a win rate of better than 94%.
