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)