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We cover the recent new max drawdown in the Strategic ES/SP trading system, analyzing whether the systems remains within historical risk parameters. (it is..)

Of interest in the piece is a chart posted on Barry Ritholtz’s blog showing the American Association of Individual Investors survey, which tracks whether individual investors are bullish or bearish. (see post here: https://www.ritholtz.com/blog/2010/11/minor-excess-bullishness-post-breakout/) The survey just recorded its highest(most bullish)  reading since the all time stock market highs in 2007 (an 84% gain off the March 09 lows generates some excitement about stocks, I guess).

AAII Sentiment:

Such peaks have been met with corrections and increased volatility (cue today’s market action), in the past; and could very well do the same this time around.  That would cause some short term pain for managed futures which are generally long everything, while short the US Dollar. But a sustained down move would signal a new trend they could latch onto.