Everything performed as expected.  The two week period had the market trending higher but the last week saw it shed over 3% at a time when we reset the system (deployed all new software) while we minimized damage to less 0.7%, which is what we try to do for the most part. 

It was an interesting March and April, largely because of new contract sizes, testing in live conditions, a new hedging system, and some operational issues which have been resolved; however, the system is up 2% while the S&P is up 6.5%, so in general we are slightly down over the S&P and down by 9% in actual, with 5% coming from operational items. 

The market has been incredibly reactive during this earnings season, much more than I expected and as such the discretiony test was down over the last two weeks, though it was a solid test that confirmed the additional software added to handle overnight volatility. These tests are not part of the system, but they are interesting to review.  The test was utilizing a modification of the TRIN, called the TRIzeN and was a very solid test, though it had to be done during the day and over 1 minute intervals, so it got into positions (bad positions) and needed to get out (minimize damage).  It was a great test and performed very well.

Look for some consolidation over the next week.  Our current position is a Short Straddle.  We are not entered in the market; however, the aggressive strategy this year has been performing well and is beating the S&P and is currently exhibiting a short position (we don't trade this system live yet).

 After March and April's rough beginnings of some new development and additional features, can the system recover through the rest of 2011?  Absolutely, given that if our options expire and we collect the premium we are instantly back up 9% assuming we recover our 3% losses in the futures market.  Overall the system should be returning 3% per month, and over the next 6 months we can gain 18% closing out the year at roughly 15% plus the options at a conservative 4% for a year end at or near 20%. 

If we don't hit this, the goal of the system is still in tact, and that is to match or beat the S&P and to conserve capital in bad times (think 1999, 2008, etc). 

Having renewed and deployed a fully capable system, I feel much better having resolved these issues.  We just need to release the aggressive strategy and the multi-market strategy and the system will be fully deployed across the market.  Look for this to occur in 2012.