Per Vic, I tested out this strategy on several futures markets.
-- Ari Siegel, 06/30/2004
Strategy: Buy on breakout above 89-day hi, cover on breakout below 13-day low
  Sell on breakout below 89-day low, cover on breakout above 13-day hi
Mkt Time n Mu Stdev z % win max min
S&P 1/96-5/04 34            (6.2)        54.1         (0.7) 35%         122          (96)
NASDAQ 4/96-6/04 38           (21.5)      244.4         (0.5) 45%         783        (790)
DAX 1/97-5/04 24          156.4      474.5          1.6 58%      1,122        (615)
US treas* 1/96-5/04 35             6.4          2.3          0.4 51%             9            (3)
BUND 1/97-5/04 31             0.4          3.7          0.6 48%      15.64       (4.55)
* US Treasuries measured in 32nds
SERIAL CORRELATION
 Longs   Shorts   All Trades 
S&P       (0.28)        0.01            0.02
NASDAQ       (0.43)        0.29           (0.08)
DAX        0.08        0.45            0.27
US treas       (0.29)       (0.19)           (0.17)
BUND       (0.02)       (0.40)           (0.15)